Related papers: Stochastic viscosity solution for stochastic PDIEs…
In this paper a new class of generalized backward doubly stochastic differential equations is investigated. This class involves an integral with respect to an adapted continuous increasing process. A probabilistic representation for…
We prove the existence of a $B$-continuous viscosity solution for a class of infinite dimensional semilinear partial differential equations (PDEs) using probabilistic methods. Our approach also yields a stochastic representation formula for…
This paper is intended to give a probabilistic representation for stochastic viscosity solution of semi-linear reflected stochastic partial differential equations with nonlinear Neumann boundary condition. We use it connection with…
This paper is intended to give a representation for stochastic viscosity solution of semi-linear reflected stochastic partial differential equations with nonlinear Neumann boundary condition. We use its connection with reflected generalized…
This paper, is an attempt to extend the notion of stochastic viscosity solution to reflected semi-linear stochastic partial differential equations (RSPDEs, in short) with non-Lipschitz condition on the coefficients. Our method is fully…
We consider reflected generalized backward doubly stochastic differential equations driven by a non-homogeneous L\'evy process. Under stochastic conditions on the coefficients, we prove the existence and uniqueness of a solution.…
The classical Feynman-Kac identity represents solutions of linear partial differential equations in terms of stochastic differential euqations. This representation has been generalized to nonlinear partial differential equations on the one…
We generalize the notion of pathwise viscosity solutions, put forward by Lions and Souganidis to study fully nonlinear stochastic partial differential equations, to equations set on a sub-domain with Neumann boundary conditions. Under a…
It is known that Markovian forward-backward stochastic differential equations provide nonlinear Feynman-Kac representation formulae for semilinear parabolic PDEs. We show that non-Markovian forward-backward stochastic differential equations…
We prove the existence and uniqueness of a viscosity solution of the parabolic variational inequality with a nonlinear multivalued Neumann-Dirichlet boundary condition:% {equation*} \{{array}{r} \dfrac{\partial u(t,x)}{\partial…
In this paper we propose a notion of viscosity solutions for path dependent semi-linear parabolic PDEs. This can also be viewed as viscosity solutions of non-Markovian backward SDEs, and thus extends the well-known nonlinear Feynman-Kac…
We consider a system of semilinear partial differential equations (PDEs) with a nonlinearity depending on both the solution and its gradient. The Neumann boundary condition depends on the solution in a nonlinear manner. The uniform…
We provide a representation formula for viscosity solutions to a class of nonlinear second order parabolic PDE problem involving sublinear operators. This is done through a dynamic programming principle derived from [8]. The formula can be…
A representation formula for solutions of stochastic partial differential equations with Dirichlet boundary conditions is proved. The scope of our setting is wide enough to cover the general situation when the backward characteristics that…
We consider a system of semi-linear partial differential equations with measurable coefficients and a nonlinear Neumann boundary condition. We then construct a sequence of penalized partial differential equations which converges to a…
We derive the existence and uniqueness of the generalized backward doubly stochastic differential equation with sub-differential of a lower semi-continuous convex function under a non Lipschitz condition. This study allows us give a…
The classical Feynman-Kac formula states the connection between linear parabolic partial differential equations (PDEs), like the heat equation, and expectation of stochastic processes driven by Brownian motion. It gives then a method for…
We provide a representation formula for viscosity solutions to a class of nonlinear second order parabolic PDEs given as a sup--envelope function. This is done through a dynamic programming principle derived from Denis, Hu, Peng (2010). The…
In this paper we prove an approximation result for the viscosity solution of a system of semi-linear partial differential equations with continuous coefficients and nonlinear Neumann boundary condition. The approximation we use is based on…
In this paper we study general nonlinear stochastic differential equations, where the usual Brownian motion is replaced by a L\'evy process. We also suppose that the coefficient multiplying the increments of this process is merely Lipschitz…