Related papers: Maximum Principle for Quasi-linear Backward Stocha…

We investigate three types of averaging principles and the normal deviation for multi-scale stochastic differential equations (in short, SDEs) with polynomial nonlinearity. More specifically, we first demonstrate the strong convergence of…

We establish an explicit maximum principle for the Dirichlet problem associated with the $p$-Laplacian ($p>1$), where the constant depends on both $p$ and the geometry of the domain. From this result we derive two main applications. First,…

We study the large deviations principle (LDP) for stationary solutions of a class of stochastic differential equations (SDE) in infinite time intervals by the weak convergence approach, and then establish the LDP for the invariant measures…

A refined version of the strong maximum principle is proven for a class of second order ordinary differential equations with possibly discontinuous non-monotone nonlinearities. Then, exploiting this tool, some optimal regularity results…

We study a control problem where the state equation is a nonlinear partial differential equation of the calculus of variation in a bounded domain, perturbed by noise. We allow the control to act on the boundary and set stochastic boundary…

The necessity of a Maximum Principle arises naturally when one is interested in the study of qualitative properties of solutions to partial differential equations. In general, to ensure the validity of these kind of principles one has to…

We present a new deep primal-dual backward stochastic differential equation framework based on stopping time iteration to solve optimal stopping problems. A novel loss function is proposed to learn the conditional expectation, which…

We propose a new multistep deep learning-based algorithm for the resolution of moderate to high dimensional nonlinear backward stochastic differential equations (BSDEs) and their corresponding parabolic partial differential equations (PDE).…

We give full boundary extensions to two fundamental estimates in the theory of elliptic PDE, the weak Harnack inequality and the quantitative strong maximum principle, for uniformly elliptic equations in non-divergence form.

For 1-D parabolic PDEs with disturbances at both boundaries and distributed disturbances we provide ISS estimates in various norms. Due to the lack of an ISS Lyapunov functional for boundary disturbances, the proof methodology uses (i) an…

We prove an existence and uniqueness result for two-obstacle problem for quasilinear Stochastic PDEs (DOSPDEs for short). The method is based on the probabilistic interpretation of the solution by using the backward doubly stochastic…

In this paper, a highly parallel and derivative-free martingale neural network learning method is proposed to solve Hamilton-Jacobi-Bellman (HJB) equations arising from stochastic optimal control problems (SOCPs), as well as general…

We consider a general class of infinite dimensional reversible differential systems. Assuming a non resonance condition on the linear frequencies, we construct for such systems almost invariant pseudo norms that are closed to Sobolev-like…

This paper studies a new gradient regularity in Lorentz spaces for solutions to a class of quasilinear divergence form elliptic equations with nonhomogeneous Dirichlet boundary conditions: \begin{align*} \begin{cases} div(A(x,\nabla u)) &=…

We introduce a notion of quasilinear parabolic equations over metric measure spaces. Under sharp structural conditions, we prove that local weak solutions are locally bounded and satisfy the parabolic Harnack inequality. Applications…

The coefficients in a second order parabolic linear stochastic partial differential equation (SPDE) are estimated from multiple spatially localised measurements. Assuming that the spatial resolution tends to zero and the number of…

In this paper, we consider the following non-linear equations in unbounded domains $\Omega$ with exterior Dirichlet condition: \begin{equation*}\begin{cases} (-\Delta)_p^s u(x)=f(u(x)), & x\in\Omega,\\ u(x)>0, &x\in\Omega,\\ u(x)\leq0,…

We propose a probabilistic numerical algorithm to solve Backward Stochastic Differential Equations (BSDEs) with nonnegative jumps, a class of BSDEs introduced in [9] for representing fully nonlinear HJB equations. In particular, this allows…

We develop subrepresentation inequalities for infinitely degenerate metrics, and obtain corresponding Poincare and Sobolev inequalities. We then derive conditions on the degenerate metric under which weak solutions to associated infinitely…

The ubiquity of semilinear parabolic equations has been illustrated in their numerous applications ranging from physics, biology, to materials and social sciences. In this paper, we consider a practically desirable property for a class of…