Related papers: SPDEs with Polynomial Growth Coefficients and Mall…
We establish a general existence and uniqueness result of $L^1$ solution for a multidimensional backward stochastic differential equation (BSDE for short) with generator $g$ satisfying a one-sided Osgood condition as well as a general…
This paper aims at solving one-dimensional backward stochastic differential equations (BSDEs) under weaker assumptions. We establish general existence, uniqueness, and comparison results for bounded solutions, $L^p (p>1)$ solutions and…
We present existence, uniqueness, and sharp regularity results of solution to the stochastic partial differential equation (SPDE) \begin{align} \label{abs eqn} du=(a^{ij}(\omega,t)u_{x^ix^j}+f)dt + (\sigma^{ik}(\omega,t)u_{x^i}+g^k)dw^k_t,…
In this paper, we study the well-posedness of backward doubly stochastic differential equations (BDSDEs), both with and without reflection, under weak conditions. First, when the generator $f$ is of general growth in $y$ and linear growth…
In this paper we show the existence and uniqueness of strong solutions for a large class of backward SPDE where the coefficients satisfy a specific type Lyapunov condition instead of the classical coercivity condition. Moreover, based on…
The aim of this paper is threefold. Firstly, we prove the existence and the uniqueness of a global strong (in both the probabilistic and the PDE senses) $\mathrm{H}^{1}_2$-valued solution to the 2D stochastic Navier-Stokes equations (SNSEs)…
In this paper, we study the existence of random periodic solutions for semilinear stochastic partial differential equations with multiplicative linear noise on a bounded open domain ${\cal O}\subset {\mathbb R}^d$ with smooth boundary. We…
In this paper, we are concerned with a multidimensional backward stochastic differential equation (BSDE) with a general random terminal time $\tau$, which may take values in $[0,+\infty]$. Firstly, we establish an existence and uniqueness…
This paper aims at solving a one-dimensional backward stochastic differential equation (BSDE for short) with only integrable parameters. We first establish the existence of a minimal $L^1$ solution for the BSDE when the generator $g$ is…
We obtain existence and uniqueness in L^p, p>1 of the solutions of a backward stochastic differential equations (BSDEs for short) driven by a marked point process, on a bounded interval. We show that the solution of the BSDE can be…
This paper is concerned with the existence and uniqueness of weak solutions to the Cauchy-Dirichlet problem of backward stochastic partial differential equations (BSPDEs) with nonhomogeneous terms of quadratic growth in both the gradient of…
In this paper, we first prove existence and uniqueness of the solution of a backward doubly stochastic differential equation (BDSDE) and of the related stochastic partial differential equation (SPDE) under monotonicity assumption on the…
Recently, it has been shown in [Jentzen, A., M\"uller-Gronbach, T., and Yaroslavtseva, L., Commun. Math. Sci., 14, 2016] that there exists a system of autonomous stochastic differential equations (SDE) on the time interval $[0,T]$ with…
We investigate the periodic and stationary solutions of distribution-dependent stochastic differential equations. While generally, the semigroups associated with the equations are nonlinear, we show that the methods of weak convergence and…
We study multidimensional generalized backward stochastic differential equations (GBSDEs) within a general filtration that supports a Brownian motion under weak assumptions on the associated data. We establish the existence and uniqueness…
In this paper, we are interested in solving general time interval multidimensional backward stochastic differential equations in $L^p$ $(p\geq 1)$. We first study the existence and uniqueness for $L^p$ $(p>1)$ solutions by the method of…
We study strong existence and pathwise uniqueness for stochastic differential equations in $\RR^d$ with rough coefficients, and without assuming uniform ellipticity for the diffusion matrix. Our approach relies on direct quantitative…
We establish the well-posedness of stationary solutions for a class of SPDEs with locally monotone coefficients, and prove the Freidlin--Wentzell large deviation principle (LDP) for these stationary solutions. The LDP for the associated…
We study backward stochastic differential equations (BSDEs) in infinite horizon and design efficient numerical schemes for solving them. We establish a probabilistic representation of the solution of the BSDE using Malliavin derivative and…
In this paper, we are interested in solving multidimensional backward stochastic differential equations (BSDEs) with a new kind of non-Lipschitz coefficients. We establish an existence and uniqueness result of solutions in $L^p\ (p>1)$,…