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This work concerns generalized backward stochastic differential equations, which are coupled with a family of reflecting diffusion processes. First of all, we establish the large deviation principle for forward stochastic differential…
We consider the discrete "fast" penalization scheme for SDE's driven by general semimartingale on orthant $\mathbb{R}_{+}^{d}$ with oblique reflection.
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 study a large deviation principle for a reflected stochastic partial differential equation on infinite spatial domain. A new sufficient condition for the weak convergence criterion proposed by Matoussi, Sabbagh and Zhang ({\it Appl.…
We consider variational problems that model the bending behavior of curves that are constrained to belong to given hypersurfaces. Finite element discretizations of corresponding functionals are justified rigorously via Gamma-convergence.…
We consider reflected backward stochastic different equations with optional barrier and so-called regulated trajectories, i.e trajectories with left and right finite limits. We prove existence and uniqueness results. We also show that the…
We study the convergence of the method of reflections for the Stokes equations in domains perforated by countably many spherical particles with boundary conditions typical for the suspension of rigid particles. We prove that a relaxed…
In this paper, we study reflected backward stochastic differential equation (reflected BSDE in abbreviation) with rank-based data in a Markovian framework; that is, the solution to the reflected BSDE is above a prescribed boundary process…
We study reflected solutions of one-dimensional backward doubly stochastic differential equations (BDSDEs in short). The "reflected" keeps the solution above a given stochastic process. We get the uniqueness and existence by penalization.…
Inverse problems are ubiquitous in science and engineering. Many of these are naturally formulated as a PDE-constrained optimization problem. These non-linear, large-scale, constrained optimization problems know many challenges, of which…
We obtain well-posedness results for a class of ODE with a singular drift and additive fractional noise, whose right-hand-side involves some bounded variation terms depending on the solution. Examples of such equations are reflected…
The inverse problem of backward diffusion is known to be ill-posed and highly unstable. Backward diffusion processes appear naturally in image enhancement and deblurring applications. It is therefore greatly desirable to establish a…
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,…
This paper is devoted to the study of reflected Stochastic Differential Equations when the constraint is not on the paths of the solution but acts on the law of the solution. These reflected equations have been introduced recently by…
We provide several characterizations to identify Strong envelop (for bounded measurable process) and Strong super-martingale (for non-negative right upper semi-continuous process of the class $\Dc$). As examples of application, we prove…
This paper presents existence and uniqueness results for reflected backward doubly stochastic differential equations (in short RBDDSEs) in a convex domain D. Moreover, using a stochastic flow approach a probabilistic interpretation for a…
Take a multidimensional normally or obliquely reflected diffusion in a smooth domain. Approximate it by solutions of stochastic differential equations without reflection using the penalty method. That is, we approximate the reflection term…
An algorithm for the direct inversion of the linear systems arising from Nystrom discretization of integral equations on one-dimensional domains is described. The method typically has O(N) complexity when applied to boundary integral…
Here is an English summary of the abstract: This research investigates a geometric dynamical mechanism within a specific class of domains that contain a fixed convex core. By using a radial structure that links the boundaries of the core…
We consider a reflected backward stochastic differential equations with default time and an optional barrier in a filtration generated by a one-dimensional Brownian motion and a defaultable process. We suppose that the barrier have…