Related papers: Obstacle problem for SPDE with nonlinear Neumann b…

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…

We study linear backward stochastic partial differential equations of parabolic type with special boundary condition that connect the terminal value of the solution with a functional over the entire past solution. Uniqueness, solvability…

We study a new class of ergodic backward stochastic differential equations (EBSDEs for short) which is linked with semi-linear Neumann type boundary value problems related to ergodic phenomenas. The particularity of these problems is that…

This paper proves the existence and uniqueness of a solution to doubly reflected backward stochastic differential equations where the coefficient is stochastic Lipschitz, by means of the penalization method.

Sticky diffusion models a Markovian particle experiencing reflection and temporary adhesion phenomena at the boundary. Numerous numerical schemes exist for approximating stopped or reflected stochastic differential equations (SDEs), but…

In this paper, we study the doubly conditional reflected backward stochastic differential equations (BSDEs), where constraints are made on the conditional expectation of the first component of the solution with respect to a general…

We prove an existence and uniqueness result for the obstacle problem of quasilinear parabolic stochastic PDEs. The method is based on the probabilistic interpretation of the solution by using the backward doubly stochastic differential…

Backward stochastic partial differential equations of parabolic type in bounded domains are studied in the setting where the coercivity condition is not necessary satisfied and the equation can be degenerate. Some generalized solutions…

We investigate two-barriers-reflected backward stochastic differential equations with data from rank-based stochastic differential equation. More specifically, we focus on the solution of backward stochastic differential equations…

In this paper, we investigate mean-field backward stochastic differential equation (MFBSDE) with double mean reflections and nonlinear resistance. Specifically, the constraints are formulated in terms of the expectation of the solution, and…

In this paper, a solution is given to reflected backward doubly stochastic differential equations when the barrier is not necessarily right-continuous, and the noise is driven by two independent Brownian motions and an independent Poisson…

In this paper, a class of generalized backward doubly stochastic differential equations whose coefficient contains the subdifferential operators of two convex functions (also called generalized backward doubly stochastic variational…

The regularity and characterization of solutions to degenerate, quasilinear SPDE is studied. Our results are two-fold: First, we prove regularity results for solutions to certain degenerate, quasilinear SPDE driven by Lipschitz continuous…

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…

In this work, we prove existence and uniqueness of a bounded viscosity solution for the Cauchy problem of degenerate parabolic equations with variable exponent coefficients. We construct the solution directly using the stochastic…

In this paper, we establish an existence and uniqueness result for system of quasilinear stochastic partial differential equations (SPDEs for short) with reflection in a convex domain in R^k by analytical approach. The method is based on…

In this paper, we study a multi-dimensional backward stochastic differential equation (BSDE) with oblique reflection, which is a BSDE reflected on the boundary of a special unbounded convex domain along an oblique direction, and which…

We study the problem of existence of solutions for generalized backward stochastic differential equation with two reflecting barriers (GRBSDE for short) under weaker assumptions on the data. Roughly speaking we show the existence of a…

We study fully nonlinear second-order (forward) stochastic partial differential equations (SPDEs). They can also be viewed as forward path-dependent PDEs (PPDEs) and will be treated as rough PDEs (RPDEs) under a unified framework. We…

In this paper we propose a new type of viscosity solutions for fully nonlinear path dependent PDEs. By restricting to certain pseudo Markovian structure, we remove the uniform non- degeneracy condition imposed in our earlier works [9, 10].…