Related papers: BSDE and generalized Dirichlet forms: the infinite…

We consider the following quasi-linear parabolic system of backward partial differential equations: $(\partial_t+L)u+f(\cdot,\cdot,u, \nabla u\sigma)=0$ on $[0,T]\times \mathbb{R}^d\qquad u_T=\phi$, where $L$ is a possibly degenerate second…

In this paper, a probabilistic interpretation for the viscosity solution of a parabolic partial differential equation is obtained by virtue of the solution of a class of quadratic backward stochastic differential equations (BSDEs, for…

We derive the existence and uniqueness of the generalized backward doubly stochastic differential equation with sub-differential of a lower semi-continuous convex function under a non Lipschitz condition. This study allows us give a…

This paper is devoted to solving a multidimensional backward stochastic differential equation (BSDE for short) with a general random terminal time $\tau$ taking values in $[0,+\infty]$. The generator $g$ of such BSDE satisfies a stochastic…

In this paper we study the class of backward doubly stochastic differential equations (BDSDEs, for short) whose terminal value depends on the history of forward diffusion. We first establish a probabilistic representation for the spatial…

Based on the analysis of a certain class of linear operators on a Banach space, we provide a closed form expression for the solutions of certain linear partial differential equations with non-autonomous input, time delays and stochastic…

We study the problem of existence, uniqueness and regularity of probabilistic solutions of the Cauchy problem for nonlinear stochastic partial differential equations involving operators corresponding to regular (nonsymmetric) Dirichlet…

We study the Cauchy problem for fully nonlinear (stochastic) parabolic partial differential equations. We provide both in deterministic and stochastic case the existence of a maximal defined solution for the problem and we provide suitable…

We prove an $L^2$-regularity result for the solutions of Forward Backward Doubly Stochastic Differentiel Equations (FBDSDEs in short) under globally Lipschitz continuous assumptions on the coefficients. Therefore, we extend the well known…

The present paper continues the study of infinite dimensional calculus via regularization, started by C. Di Girolami and the second named author, introducing the notion of weak Dirichlet process in this context. Such a process X, taking…

We study the existence of solutions to abstract equations of the form $0 = Au + F(u)$, $u\in K\subset E$, where A is an abstract differential operator acting in a Banach space $E$, $K$ is a closed convex set of constraints being invariant…

We investigate the abstract Cauchy problem for a quasilinear parabolic equation in a Banach space of the form \( du_t -L_t(u_t)u_t dt = N_t(u_t)dt + F(u_t)\cdot d\mathbf X_t \), where \( \mathbf X\) is a \( \gamma\)-H\"older rough path for…

Let the abstract fractional space-time operator $(\partial_t + A)^s$ be given, where $s \in (0,\infty)$ and $-A \colon \mathsf{D}(A) \subseteq X \to X$ is a linear operator generating a uniformly bounded strongly measurable semigroup…

In this paper we first prove a general representation theorem for generators of backward stochastic differential equations (BSDEs for short) by utilizing a localization method involved with stopping time tools and approximation techniques,…

We discuss existence, uniqueness, and space-time H\"older regularity for solutions of the parabolic stochastic evolution equation dU(t) = (AU(t) + F(t,U(t))) dt + B(t,U(t)) dW_H(t), t\in [0,\Tend], U(0) = u_0, where $A$ generates an…

We study positive solutions to the problem $-\Delta_p u + \vartheta |\nabla u|^q = \frac{1}{u^\gamma} + f(u)$ in $\mathbb{R}^N_+$ with the zero Dirichlet boundary condition, where $p>1$, $\gamma>0$, $0<q\le p$, $\vartheta\ge0$ and…

A representation formula for solutions of stochastic partial differential equations with Dirichlet boundary conditions is proved. The scope of our setting is wide enough to cover the general situation when the backward characteristics that…

We are mainly concerned with equations of the form $-Lu=f(x,u)+\mu$, where $L$ is an operator associated with a quasi-regular possibly nonsymmetric Dirichlet form, $f$ satisfies the monotonicity condition and mild integrability conditions,…

In the present paper, we consider multidimensional nonlinear backward stochastic differential equations (BSDEs) with a driver depending on the martingale part $M$ of a solution. We assume that the nonlinear term is merely monotone…

The problem of finding a martingale on a manifold with a fixed random terminal value can be solved by considering BSDEs with a generator with quadratic growth. We study here a generalization of these equations and we give uniqueness and…