Related papers: Boundary value problems for functionals of Ito pro…
By analogy with the theory of Backward Stochastic Differential Equations, we define Backward Stochastic Difference Equations on spaces related to discrete time, finite state processes. This paper considers these processes as constructions…
In this paper, we study linear backward parabolic SPDEs in bounded domains and present new a priori estimates for their weak solutions. Inspired by the seminal work of Y. Hu, J. Ma and J. Yong from 2002 on strong solutions, we establish…
The aim of this article is to study the asymptotic behaviour for large times of solutions to a certain class of stochastic partial differential equations of parabolic type. In particular, we will prove the backward uniqueness result and the…
We pose some open problems related to boundedness of real-valued functions on balleans and coarse spaces. Also we prove that the Bergman property of groups is a coarse invariant. A special attention is payed to balleans on groups.
We present a construction of harmonic functions on bounded domains for the spectral fractional Laplacian operator and we classify them in terms of their divergent profile at the boundary. This is used to establish and solve boundary value…
In this article, we propose a Milstein finite difference scheme for a stochastic partial differential equation (SPDE) describing a large particle system. We show, by means of Fourier analysis, that the discretisation on an unbounded domain…
Based upon elements of the modern Pseudoanalytic Function Theory, we analyse a new method for numerically approaching the solution of the Dirichlet boundary value problem, corresponding to the two-dimensional Electrical Impedance Equation.…
In this work, we investigate a unique solvability of a direct and inverse source problem for a time-fractional partial differential equation with the Caputo and Bessel operators. Using spectral expansion method, we give explicit forms of…
Linear differential equations and recurrences reveal many properties about their solutions. Therefore, these equations are well-suited for representing solutions and computing with special functions. We identify a large class of existing…
This paper investigates a nonlocal boundary value problem for a multi-parametric integral-differential equation involving the Caputo-Prabhakar type operator in a bounded rectangular domain. The nonlocal conditions are given as partial…
In this paper the Green formula for the operator of fractional differentiation in Caputo sense is proved. By using this formula the integral representation of all regular in a rectangular domains solutions is obtained in the form of the…
In this note we define and study a Hilbert space-valued stochastic integral of operator-valued functions with respect to Hilbert space-valued measures. We show that this integral generalizes the classical Ito stochastic integral of adapted…
In this paper we solve the eigenvalue problem of stochastic Hamiltonian system with boundary conditions. Firstly, we extend the results in S. Peng \cite{peng} from time-invariant case to time-dependent case, proving the existence of a…
In this note, we derive an existence and uniqueness results for delayed backward stochastic differential equation with only integrable data.
One of the open problems in scientific computing is the long-time integration of nonlinear stochastic partial differential equations (SPDEs). We address this problem by taking advantage of recent advances in scientific machine learning and…
We study multidimensional difference equations with a continual variable in the Sobolev--Slobodetskii spaces. Using ideas and methods of the theory of boundary value problems for elliptic pseudo differential equations we suggest to consider…
Two boundary value problems for an elliptic equation in divergence form with bounded discontinuous coefficient are studied in a bidomain. On the interface, generalized dynamic boundary conditions such as of the Wentzell-type and…
We consider the spectral structure of indefinite second order boundary-value problems on graphs. A variational formulation for such boundary-value problems on graphs is given and we obtain both full and half-range completeness results. This…
In this paper the boundary value problem for one class of the operator-differential equations of the third order on a semi-axis, where one of the boundary conditions is perturbed by some linear operator is researched. There are received…
A general backward stochastic linear-quadratic optimal control problem is studied, in which both the state equation and the cost functional contain the nonhomogeneous terms. The main feature of the problem is that the weighting matrices in…