Related papers: Stochatic Perron's method and verification without…
Let $E$ be a complete, separable metric space and $A$ be an operator on $C_b(E)$. We give an abstract definition of viscosity sub/supersolution of the resolvent equation $\lambda u-Au=h$ and show that, if the comparison principle holds,…
This paper shows how the theory of dynamic risk measures provides viscosity solutions to a family of second-order parabolic partial differential equations, even in the degenerate case. First, motivated by the martingale problem approach of…
We study the steady-state Navier-Stokes equations in the context of stochastic finite element discretizations. Specifically, we assume that the viscosity is a random field given in the form of a generalized polynomial chaos expansion. For…
In this paper, we investigate the controlled system described by forward-backward stochastic differential equations with the control contained in drift, diffusion and generator of BSDE. A new verification theorem is derived within 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 prove a convergence theorem for singular perturbations problems for a class of fully nonlinear parabolic partial differential equations with ergodic structures. The limit function is represented as the viscosity solution…
We consider a problem of stochastic optimal control with separable drift uncertainty in strong formulation on a finite horizon. The drift coefficient of the state $Y^{u}$ is multiplicatively influenced by an unknown random variable…
In the 2nd version of this note we introduce the notion of viscosity solution for a type of fully nonlinear parabolic path-dependent partial differential equations (P-PDE). We then prove the comparison theorem (or maximum principle) of this…
In this paper we study the fully nonlinear stochastic Hamilton-Jacobi-Bellman (HJB) equation for the optimal stochastic control problem of stochastic differential equations with random coefficients. The notion of viscosity solution is…
We study the backward Kolmogorov equation on the space of probability measures associated to the Kushner-Stratonovich equation of nonlinear filtering. We prove existence and uniqueness in the viscosity sense and, in particular, we provide a…
In this paper, we propose two parallel extragradient - viscosity methods for finding a particular element in the common solution set of a system of equilibrium problems and finitely many fixed point problems. This particular point is the…
We introduce a modification of Perron's method, where semi-solutions are considered in a carefully defined asymptotic sense. With this definition, we can show, in a rather elementary way, that in a zero-sum game or a control problem (with…
The aim of the present work is the introduction of a viscosity type solution, called strong-viscosity solution to distinguish it from the classical one, with the following peculiarities: it is a purely analytic object; it can be easily…
A probabilistic representation formula for general systems of linear parabolic equations, coupled only through the zero-order term, is given. On this basis, an implicit probabilistic representation for the vorticity in a 3D viscous fluid…
We introduce a notion of viscosity solutions for a general class of elliptic-parabolic phase transition problems. These include the Richards equation, which is a classical model in filtration theory. Existence and uniqueness results are…
This paper aims to make a new contribution to the study of lifetime ruin problem by considering investment in two hedge funds with high-watermark fees and drift uncertainty. Due to multi-dimensional performance fees that are charged…
This paper is a survey of methods for solving smooth (strongly) monotone stochastic variational inequalities. To begin with, we give the deterministic foundation from which the stochastic methods eventually evolved. Then we review methods…
We introduce the notion of mean viability for controlled stochastic differential equations and establish counterparts of Nagumo's classical viability theorems (necessary and sufficient conditions for mean viability). As an application, we…
Stochastic solutions provide new rigorous results for nonlinear PDE's and, through its local non-grid nature, are a natural tool for parallel computation. There are two different approaches for the construction of stochastic solutions:…
In this work we introduce a viscosity-based notion of solution for general approximation schemes associated with partial differential equations, such as dynamic programming principles~(DPPs). A key feature of our approach is that it…