Related papers: The Viability Property for Path-dependent SDE unde…
We obtain a probabilistic proof of the local Lipschitz continuity for the optimal stopping boundary of a class of problems with state space $[0,T]\times\mathbb{R}^d$, $d\ge 1$. To the best of our knowledge this is the only existing proof…
In this note we provide conditions for local invariance of finite dimensional submanifolds for solutions to stochastic partial differential equations (SPDEs) in the framework of the variational approach. For this purpose, we provide a…
We prove pathwise uniqueness for stochastic differential equations driven by non-degenerate symmetric $\alpha$-stable L\'evy processes with values in $\R^d$ having a bounded and $\beta$-H\"older continuous drift term. We assume $\beta > 1 -…
Consider control systems described by a differential equation with a control term or, more generally, by a differential inclusion with velocity set $F(t,x)$. Certain properties of state trajectories can be derived when, in addition to other…
In this paper, we establish the Stroock-Varadhan type support theorems for stochastic differential equations (SDEs) under Lyapunov conditions, which significantly improve the existing results in the literature where the coefficients of the…
In this paper the existence of a smooth density is proved for the solution of an SDE, with locally Lipschitz coefficients and semi-monotone drift, under H\"ormander condition. We prove the nondegeneracy condition for the solution of the…
The objective of this work is to prove, in a first step, the existence and the uniqueness of a solution of the following multivalued deterministic differential equation: $dx(t)+\partial ^-\varphi (x(t))(dt)\ni dm(t),\ t>0$, $x(0)=x_0$,…
We consider the existence and $L^q$ gradient estimates for perturbed Stokes systems with divergence-free critical drift in a bounded Lipschitz domain in $\mathbb{R}^n$, $n \ge 3$. The first two results assume the drift is either in $L^n$ or…
Motivated by applications in economics and finance, in particular to the modeling of limit order books, we study a class of stochastic second-order PDEs with non-linear Stefan-type boundary interaction. To solve the equation we transform…
We consider a process given as the solution of a stochastic differential equation with irregular, path dependent and time-inhomogeneous drift coefficient and additive noise. Explicit and optimal bounds for the Lebesgue density of that…
This paper is devoted to the stochastic optimal control problem of ordinary differential equations allowing for both path-dependence and measurable randomness. As opposed to the deterministic path-dependent cases, the value function turns…
In the paper, we consider a type of stochastic differential equations driven by G-L\'evy processes. We prove that a kind of their additive functionals has path independence and extend some known results.
A new method is introduced for studying boundary value problems for a class of linear PDEs with {\it variable} coefficients. This method is based on ideas recently introduced by the author for the study of boundary value problems for PDEs…
It is well-known that a stochastic differential equation (sde) on a Euclidean space driven by a (possibly infinite-dimensional) Brownian motion with Lipschitz coefficients generates a stochastic flow of homeomorphisms. If the Lipschitz…
This paper investigates neutral-type McKean-Vlasov stochastic differential equations in which the drift and diffusion coefficients depend on both the segment process and its distribution. Under a one-sided Lipschitz condition on the drift…
We study functional stochastic differential equations with a locally unbounded, functional drift focusing on well-posedness, stability and the strong Feller property. Following the non-functional case, we only consider integrability…
A version of the fundamental mean-square convergence theorem is proved for stochastic differential equations (SDE) which coefficients are allowed to grow polynomially at infinity and which satisfy a one-sided Lipschitz condition. The…
We present a theory of backward stochastic differential equations in continuous time with an arbitrary filtered probability space. No assumptions are made regarding the left continuity of the filtration, of the predictable quadratic…
We introduce the notion of mean viability for controlled stochastic differential equations and establish counterparts of Nagumo's classical viability theorems (necessary and sufficient conditions for mean viability). As an application, we…
In this article we show that the ordinary stochastic differential equations of K.It\^{o} maybe considered as part of a larger class of second order stochastic PDE's that are quasi linear and have the property of translation invariance. We…