Related papers: Stochastic viscosity solution for stochastic PDIEs…
We consider a stochastic model of incompressible non-Newtonian fluids of second grade on a bounded domain of $\mathbb{R}^2$ driven by L\'evy noise. Applying the variational approach, global existence and uniqueness of strong probabilistic…
In this paper, we pursue the study of second order BSDEs with jumps (2BSDEJs for short) started in our accompanying paper [15]. We prove existence of these equations by a direct method, thus providing complete wellposedness for 2BSDEJs.…
We consider stochastic Navier-Stokes equations in a 2D-bounded domain with the Navier with friction boundary condition. We establish the existence and the uniqueness of the solutions and study the vanishing viscosity limit. More precisely,…
In this paper, by virtue of Malliavin calculus, we establish a relationship between backward doubly stochastic differential equations with random coefficients and quasilinear stochastic PDEs, and thus extend the well-known nonlinear…
We study viscosity solutions to a system of nonlinear degenerate parabolic partial integro-differential equations with interconnected obstacles. This type of problem occurs in the context of optimal switching problems when the dynamics of…
The Fokker-Planck equation has been very useful for studying dynamic behavior of stochastic differential equations driven by Gaussian noises. In this paper, we derive a Fractional Fokker--Planck equation for the probability distribution of…
In this paper, we establish a new uniqueness result of a (continuous) viscosity solution for some integro-partial differential equation (IPDE in short). The novelty is that we relax the so-called monotonicity assumption on the driver,…
We study Neumann type boundary value problems for nonlocal equations related to L\'evy processes. Since these equations are nonlocal, Neumann type problems can be obtained in many ways, depending on the kind of reflection we impose on the…
We study the regularity properties of integro-partial differential equations of Hamilton-Jocobi-Bellman type with terminal condition, which can be interpreted through a stochastic control system, composed of a forward and a backward…
The non--static generalized Langevin equation and its corresponding Fokker--Planck equation for the position of a viscous fluid particle were solved in closed form for a time dependent external force. Its solution for a constant external…
In this work, we study the Cauchy problem of Poiseuille flow of the full Ericksen-Leslie model for nematic liquid crystals. The model is a coupled system of two partial differential equations: One is a quasi-linear wave equation for the…
In this work, we derive sufficient and necessary conditions for the existence of a weak and mild solution of an abstract stochastic Cauchy problem driven by an arbitrary cylindrical Levy process. Our approach requires to establish a…
Using a recently introduced representation of the second order adjoint state as the solution of a function-valued backward stochastic partial differential equation (SPDE), we calculate the viscosity super- and subdifferential of the value…
An existence result is proved for a nonlinear diffusion problem of phase-field type, consisting of a parabolic system of two partial differential equations, complemented by Neumann homogeneous boundary conditions and initial conditions.…
We study the asymtotic behavior of solutions to the two-dimensional stochasitc Navier-Stokes (SNS) equation in the small viscosity limit. The SNS equation is supplemented with no-slip boundary condition, in which a strong boundary layer…
We are concerned with multidimensional stochastic balance laws. We identify a class of nonlinear balance laws for which uniform spatial $BV$ bounds for vanishing viscosity approximations can be achieved. Moreover, we establish temporal…
Using probabilistic methods we study the existence of viscosity solutions to non-linear integro-differential equations $$\partial_t u(t,x) - \sup_{\alpha \in I} \bigg( b_{\alpha}(x) \cdot \nabla_x u(t,x) + \frac{1}{2}…
We prove that weakly continuous solutions to martingale problems admit a canonical regular conditional probability distribution. This allows for the construction of time consistent convex dynamic procedures in a non dominated setting.…
We introduce a new definition of viscosity solution to path-dependent partial differential equations, which is a slight modification of the definition introduced in [8]. With the new definition, we prove the two important results till now…
A novel approximate Bayesian filter based on backward stochastic differential equations is introduced. It uses a nonlinear Feynman--Kac representation of the filtering problem and the approximation of an unnormalized filtering density using…