Related papers: SDE with oblique reflection on domains defined by …
We solve a class of doubly reflected backward stochastic differential equation whose generator depends on the resistance due to reflections, which extend the recent work of Qian and Xu on reflected BSDE with one barrier. We then obtain the…
We prove existence and uniqueness of L^p solutions of reflected backward stochastic differential equations with p-integrable data and generators satisfying the monotonicity condition. We also show that the solution may be approximated by…
We consider reflected backward stochastic differential equations, with two barriers, defined on probability spaces equipped with filtration satisfying only the usual assumptions of right continuity and completeness. As for barriers we…
In this paper, we study the discrete-time approximation of multidimensional reflected BSDEs of the type of those presented by Hu and Tang [Probab. Theory Related Fields 147 (2010) 89-121] and generalized by Hamad\`ene and Zhang [Stochastic…
In this paper, we continue in solving reflected generalized backward stochastic differential equations (RGBSDE for short) and fixed terminal time with use some new technical aspects of the stochastic calculus related to the reflected…
Parameter estimation for non-stationary stochastic differential equations (SDE) with an arbitrary nonlinear drift, and nonlinear diffusion is accomplished in combination with a non-parametric clustering methodology. Such a model-based…
The present paper is devoted to the study of backward stochastic differential equations with mean reflection formulated by Briand et al. [7]. We investigate the solvability of a generalized mean reflected BSDE, whose driver also depends on…
We introduce a mean-reverting SDE whose solution is naturally defined on the space of correlation matrices. This SDE can be seen as an extension of the well-known Wright-Fisher diffusion. We provide conditions that ensure weak and strong…
In this paper, we consider a class of Mckean-Vlasov stochastic differential equation with oblique reflection over an non-smooth time dependent domain. We establish the existence and uniqueness results of this class, address the propagation…
We employ appropriate realizations of the affine Hecke algebra and we recover previously known non-diagonal solutions of the reflection equation for the $U_{q}(\hat{gl_n})$ case. With the help of linear intertwining relations involving the…
We study solutions of a class of one-dimensional continuous reflected backward stochastic Volterra integral equations driven by Brownian motion, where the reflection keeps the solution above a given stochastic process (lower obstacle). We…
We study dynamical recurrences of a Bose-Einstein condensate in an optical crystal subject to a periodic external driving force. The recurrence behavior of the condensate is analyzed as a function of time close to nonlinear resonances…
We consider the problem of analyzing and designing gradient-based discrete-time optimization algorithms for a class of unconstrained optimization problems having strongly convex objective functions with Lipschitz continuous gradient. By…
We consider reaction-diffusion equations on a thick curved surface and obtain a set of effective R-D equation to ${\cal O}(\epsilon^2)$, where $\epsilon$ is the surface thickness. We observe that the R-D systems on these curved surfaces can…
We compute the first order correction of the effective viscosity for a suspension containing solid particles with arbitrary shapes. We rewrite the computation as an homogenization problem for the Stokes equations in a perforated domain.…
In this paper, we study a new type of BSDE, where the distribution of the Y-component of the solution is required to satisfy an additional constraint, written in terms of the expectation of a loss function. This constraint is imposed at any…
We propose a stochastic gradient framework for solving stochastic composite convex optimization problems with (possibly) infinite number of linear inclusion constraints that need to be satisfied almost surely. We use smoothing and homotopy…
Consider an exterior problem of the three-dimensional elastic wave equation, which models the scattering of a time-harmonic plane wave by a rigid obstacle. The scattering problem is reformulated into a boundary value problem by introducing…
We introduce a new formulation of reflected BSDEs and doubly reflected BSDEs associated with irregular obstacles. In the first part of the paper, we consider an extension of the classical optimal stopping problem over a larger set of…
The Stokes system with constant viscosity can be cast into different formulations by exploiting the incompressibility constraint. For instance the strain in the weak formulation can be replaced by the gradient to decouple the velocity…