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We introduce the notion of \delta-viscosity solutions for fully nonlinear uniformly parabolic PDE on bounded domains. We prove that \delta-viscosity solutions are uniformly close to the actual viscosity solution. As a consequence we obtain…
Gradient Langevin dynamics and a variety of its variants have attracted increasing attention owing to their convergence towards the global optimal solution, initially in the unconstrained convex framework while recently even in convex…
In this paper we investigate the existence and uniqueness of bounded, periodic and almost periodic solutions for second order differential equations involving reflection of the argument.The relationship between frequency modules of forced…
In this paper we the formulation of inverse problems as constrained minimization problems and their iterative solution by gradient or Newton type. We carry out a convergence analysis in the sense of regularization methods and discuss…
We study a continuous-time, finite horizon, stochastic partially reversible investment problem for a firm producing a single good in a market with frictions. The production capacity is modeled as a one-dimensional, time-homogeneous, linear…
This paper is concerned with the output feedback boundary stabilization of general 1-D reaction diffusion PDEs in the presence of an arbitrarily large input delay. We consider the cases of Dirichlet/Neumann/Robin boundary conditions for the…
In this paper, we prove new convergence results improving the ones by Chassagneux, Elie and Kharroubi [Ann. Appl. Probab. 22 (2012) 971--1007] for the discrete-time approximation of multidimensional obliquely reflected BSDEs. These BSDEs,…
In this paper, we study the asymptotic estimate of solution for a mixed-order time-fractional diffusion equation in a bounded domain subject to the homogeneous Dirichlet boundary condition. Firstly, the unique existence and regularity…
We consider a spatially inhomogeneous public goods game model with diffusion. By utilising a generalised Hamiltonian structure of the model we study the existence of global classical solutions as well as the large time behaviour: First, the…
In this paper we investigate the convergence of the Policy Iteration Algorithm (PIA) for a class of general continuous-time entropy-regularized stochastic control problems. In particular, instead of employing sophisticated PDE estimates for…
We introduce a new type of reflected backward stochastic differential equations (BSDEs) for which the reflection constraint is imposed on its main solution component, denoted as $Y$ by convention, but in terms of its conditional expectation…
We solve the Skorokhod embedding problem (SEP) for a general time-homogeneous diffusion $X$: given a distribution $\rho$, we construct a stopping time $\tau$ such that the stopped process $X_{\tau}$ has the distribution $\rho$. Our solution…
We introduce a new theory of generalised solutions which applies to fully nonlinear PDE systems of any order and allows for merely measurable maps as solutions. This approach bypasses the standard problems arising by the application of…
We prove the existence of maximal (and minimal) solution for one-dimensional generalized doubly reflected backward stochastic differential equation (RBSDE for short) with irregular barriers and stochastic quadratic growth, for which the…
We consider a system of particles undergoing correlated diffusion with elastic boundary conditions on the half-line. By taking the large particle limit we establish existence and uniqueness for the limiting empirical measure valued process…
We investigate singularly perturbed elliptic problems with multiplicative nonlocal diffusion terms subject to Robin boundary conditions. The diffusion depends on a global quantity of the solution, which introduces a nonlocal coupling…
This paper includes a proof of well-posedness of an initial-boundary value problem involving a system of degenerate non-local parabolic PDE which naturally arises in the study of derivative pricing in a generalized market model. In a…
We show strong uniform convergence of monotone P1 finite element methods to the viscosity solution of isotropic parabolic Hamilton-Jacobi-Bellman equations with mixed boundary conditions on unstructured meshes and for possibly degenerate…
In this paper, we build a procedure that allows to establish regularity and controls in time for probabilistic solutions to PDEs. Probabilistic approaches to global wellposedness problems usually provide ensemble bounds on the solutions.…
We present a general scheme to calculate within the independent interval approximation generalized (level-dependent) persistence properties for processes having a finite density of zero-crossings. Our results are especially relevant for the…