Related papers: Boundary value problems for functionals of Ito pro…

The boundary value problems for linear and nonlinear singular degenerate differential-operator equations are studied. We prove a well-posedeness of linear problem and optimal regularity result for the nonlinear problem which occur in fluid…

In this paper, we aim to study a stochastic process from a macro point of view, and thus periodic solution of a stochastic process in distributional sense is introduced. We first give the definition and then establish the existence of…

In this paper, we are concerned with the stochastic time-fractional diffusion-wave equations in a Hilbert space. The main objective of this paper is to establish properties of the stochastic weak solutions of the initial-boundary value…

We consider the Cauchy problem for a linear stochastic partial differential equation. By extending the parametrix method for PDEs whose coefficients are only measurable with respect to the time variable, we prove existence, regularity in…

In this paper, we study weakly nonlinear boundary value problems on infinite intervals. For such problems, we provide criteria for the existence of solutions as well as a qualitative description of the behavior of solutions depending on a…

We study initial-boundary value problems for linear evolution equations of arbitrary spatial order, subject to arbitrary linear boundary conditions and posed on a rectangular 1-space, 1-time domain. We give a new characterisation of the…

We study utility maximization problem for general utility functions using dynamic programming approach. We consider an incomplete financial market model, where the dynamics of asset prices are described by an $R^d$-valued continuous…

The representation of the solution of some Backward Stochastic Differential Equation as an infinite series is obtained. Some exactly solvable examples are considered.

In this paper we study the homeomorphic properties of the solutions to one dimensional backward doubly stochastic differential equations under suitable assumptions, where the terminal values depend on a real parameter. Then, we apply them…

We study boundary value problems associated with singular, strongly nonlinear differential equations with functional terms of type $$\big(\Phi(k(t)\,x'(t))\big)' + f(t,\mathcal{G}_x(t))\,\rho(t, x'(t)) = 0$$ on a compact interval $[a,b]$.…

We prove an existence and uniqueness result for Neumann boundary problem of a parabolic partial differential equation (PDE for short) with a singular nonlinear divergence term which can only be understood in a weak sense. A probabilistic…

In this paper we further study the stochastic partial differential equation first proposed by Xiong (2013). Under localized conditions on the coefficients we show that the solution is in fact distribution-function-valued and we establish…

We prove the first positive results concerning boundary value problems in the upper half-space of second order parabolic systems only assuming measurability and some transversal regularity in the coefficients of the elliptic part. To do so,…

In this paper we study dynamic backward problems, with the computation of conditional expectations as a main objective, in a framework where the (forward) state process satisfies a Volterra type SDE, with fractional Brownian motion as a…

This article describes the extension of recent methods for a posteriori error estimation such as dual-weighted residual methods to node-centered finite volume discretizations of second order elliptic boundary value problems including upwind…

In this paper, we establish an analytic framework for studying set-valued backward stochastic differential equations (set-valued BSDE), motivated largely by the current studies of dynamic set-valued risk measures for multi-asset or…

In this paper the concept of measure of noncompactness is applied to prove the existence of solution for a boundary value problem for an infinite system of second order differential equations in $\ell_{p}$ space. We change the boundary…

We consider the problem of estimating stochastic volatility for a class of second-order parabolic stochastic PDEs. Assuming that the solution is observed at a high temporal frequency, we use limit theorems for multipower variations and…

In this note we devise and analyse well-posed variational formulations and operator theoretical methods for boundary value problems associated to the biharmonic operator. Of particular interest are Neumann type and over- and underdetermined…

This paper is concerned with the existence and uniqueness of weak solutions to the Cauchy-Dirichlet problem of backward stochastic partial differential equations (BSPDEs) with nonhomogeneous terms of quadratic growth in both the gradient of…