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We study the optimal investment stopping problem in both continuous and discrete case, where the investor needs to choose the optimal trading strategy and optimal stopping time concurrently to maximize the expected utility of terminal…
This paper concerns the use of asymptotic expansions for the efficient solving of forward and inverse problems involving a nonlinear singularly perturbed time-dependent reaction--diffusion--advection equation. By using an asymptotic…
We establish a Large Deviations Principle for stochastic processes with Lipschitz continuous oblique reflections on regular domains. The rate functional is given as the value function of a control problem and is proved to be good. The proof…
The Graetz problem is a convection-diffusion equation in a pipe invariant along a direction. The contribution of the present work is to propose a mathematical analysis of the Neumann, Robin and periodic boundary condition on the boundary of…
We propose finite difference methods for degenerate fully nonlinear elliptic equations and prove the convergence of the schemes. Our focus is on the pure equation and a related free boundary problem of transmission type. The cornerstone of…
We consider a jump-diffusion process on a bounded domain with reflection at the boundary, and establish long-term results for a general additive process of its path. This includes the long-term behaviour of its occupation time in the…
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 present a numerical approximation method for linear diffusion-reaction problems with possibly discontinuous Dirichlet boundary conditions. The solution of such problems can be represented as a linear combination of explicitly known…
We propose a numerical method to approximate viscosity solutions of fully nonlinear free transmission problems. The method discretises a two-layer regularisation of a PDE, involving a functional and a vanishing parameter. The former is…
In this paper, we introduce a new type of backward stochastic differential equations (BSDEs) with infinite anticipation, where the generator depends on the entire future values of the solution in infinite horizon. We show that the new BSDEs…
In this paper, we study the Hessian equation with infinite Dirichlet (blow-up) boundary value conditions. Using radial functions and techniques of ordinary differential inequality, we construct various barrier functions (super-solution and…
We put forward and prove several existence and uniqueness results for $L^p\ (p>1)$ solutions of reflected BSDEs with continuous barriers and generators satisfying a one-sided Osgood condition together with a general growth condition in $y$…
We consider the Cauchy problem for semilinear parabolic equation in divergence form with obstacle. We show that under natural conditions on the right-hand side of the eqution and mild conditions on the obstacle a unique continuous solution…
We solve the optimal control problem of a one-dimensional reflected stochastic differential equation, whose coefficients can be path dependent. The value function of this problem is characterized by a backward stochastic partial…
We study boundary regularity of viscosity solutions to fully nonlinear degenerate or singular parabolic equations. The gradient-dependent degeneracy or singularity, along with the time derivative, introduces significant challenges beyond…
We consider quasi-variational inequalities (QVIs) with general non-local drivers and related systems of reflected backward stochastic differential equations (BSDEs) in a Brownian filtration. We show existence and uniqueness of viscosity…
This paper establishes the well-posedness of stochastic partial differential equations with reflection in an infinite-dimensional ball, within the fully local monotone framework. Our result is very general, including many important models…
We consider generalized gradient systems with rate-independent and rate-dependent dissipation potentials. We provide a general framework for performing a vanishing-viscosity limit leading to the notion of parametrized and true…
In this paper, we mainly introduce a general method to study the existence and uniqueness of solution of free boundary problems with partially degenerate diffusion.
We establish sufficient conditions for the existence and uniqueness of different types of delayed BSDEs in finite time horizon. We consider then infinite horizon, replacing the terminal value condition in the finite horizon case with a…