Related papers: Boundary value problems for functionals of Ito pro…
In this paper, we deal with a class of multivalued backward doubly stochastic differential equations with time delayed coefficients. Based on a slight extension of the existence and uniqueness of solutions for backward doubly stochastic…
We study the large time behaviour of the solution of a linear dispersive PDEs posed on a finite interval, when the prescribed boundary conditions are time periodic. We use the approach pioneered in Fokas & Lenells 2012 for nonlinear…
In [5] the authors obtained Mean-Field backward stochastic differential equations (BSDE) associated with a Mean-field stochastic differential equation (SDE) in a natural way as limit of some highly dimensional system of forward and backward…
In this paper, we mainly focus on the set-valued (stochastic) analysis on the space of convex, closed, but possibly unbounded sets, and try to establish a useful theoretical framework for studying the set-valued stochastic differential…
We study a new class of ergodic backward stochastic differential equations (EBSDEs for short) which is linked with semi-linear Neumann type boundary value problems related to ergodic phenomenas. The particularity of these problems is that…
We study some functionals associated with a process driven by a fractional boundary value problem (FBVP for short). By FBVP we mean a Cauchy problem with boundary condition written in terms of a fractional equation, that is an equation…
We establish existence, uniqueness and regularity of solution results for a class of backward stochastic partial differential equations with singular terminal condition. The equation describes the value function of non-Markovian stochastic…
In this work a discontinuous boundary-value problem with retarded argument which contains spectral parameter in the transmission conditions at the point of discontinuity are investigated. We obtained asymptotic formulas for the eigenvalues…
We derive an Ito-formula for the Dawson-Watanabe superprocess, a well-known class of measure-valued processes, extending the classical Ito-formula with respect to two aspects. Firstly, we extend the state-space of the underlying process…
In this paper, we consider a boundary value problem (BVP) for a fourth order nonlinear functional integro-differential equation. We establish the existence and uniqueness of solution and construct a numerical method for solving it. We prove…
This paper provides well-posedness results and stochastic representations for the solutions to equations involving both the right- and the left-sided generalized operators of Caputo type. As a special case, these results show the interplay…
This course is intended as an introduction to the analysis of elliptic partial differential equations. The objective is to provide a large overview of the different aspects of elliptic partial differential equations and their modern…
This paper is concerned with a class of partial differential equations, which are the linear combinations, with constant coefficients, of the classical flows of the KdV hierarchy. A boundary value problem with inhomogeneous boundary…
Using the theory of stochastic integration for processes with values in a UMD Banach space developed recently by the authors, an Ito formula is proved which is applied to prove the existence of strong solutions for a class of stochastic…
In this paper, we consider the solvability problems for the fully coupled forward-backward stochastic difference equations (FBS{\Delta}Es) on spaces related to discrete time, finite state processes. On one hand, we provide the necessary and…
We propose to study a new type of Backward stochastic differential equations driven by a family of It\^o's processes. We prove existence and uniqueness of the solution, and investigate stability and comparison theorem.
The paper is devoted to the existence of integral functionals $\int_0^\infty f(X(t))\,{\mathrm{d}t}$ for several classes of processes in $\mathbb{R}$ with $d\ge 3$. Some examples such as Brownian motion, fractional Brownian motion, compound…
We investigate linear boundary value problems for first-order one-dimensional hyperbolic systems in a strip. We establish conditions for existence and uniqueness of bounded continuous solutions. For that we suppose that the non-diagonal…
We define a fractional Ito stochastic integral with respect to a randomly scaled fractional Brownian motion via an $S$-transform approach. We investigate the properties of this stochastic integral, prove the Ito formula for functions of…
This paper deals with the boundary value problems for the singularly perturbed differential-algebraic system of equations. The case of turning points has been studied. The sufficient conditions for existence and uniqueness of the solution…