Related papers: Backward Stochastic Differential Equations Associa…
We study a class of second order variational inequalities with bilateral constraints. Under certain conditions we show the existence of a unique viscosity solution of these variational inequalities and give a stochastic representation to…
This article is concerned with the existence and uniqueness of solutions to some fractional order boundary value problems. Our results are based on some fixed point theorems. For the applicability of our results, we provide an example.
In this article, we study the large time behavior of solutions of first-order Hamilton-Jacobi Equations, set in a bounded domain with nonlinear Neumann boundary conditions, including the case of dynamical boundary conditions. We establish…
This paper deals with the Vlasov-Stokes' system in three dimensions with periodic boundary conditions in the spatial variable. We prove the existence of a unique strong solution to this two-phase model under the assumption that initial…
We provide a representation formula for viscosity solutions to a class of nonlinear second order parabolic PDEs given as a sup--envelope function. This is done through a dynamic programming principle derived from Denis, Hu, Peng (2010). The…
It is well known that for solutions of semi-linear parabolic PDEs, there are equivalent probabilistic interpretations, which yields the so called nonlinear Feymman-Kac formula. By adopting such formula, we consider in this work a novel…
This paper, is an attempt to extend the notion of stochastic viscosity solution to reflected semi-linear stochastic partial differential equations (RSPDEs, in short) with non-Lipschitz condition on the coefficients. Our method is fully…
We define fully coupled forward-backward stochastic differential equations on spaces related to continuous time, finite state Markov Chains. Existence and uniqueness results of the fully coupled forward-backward stochastic differential…
We prove that a single-jump quantum stochastic unitary evolution is equivalent to a Dirac boundary value problem on the half line in an extra dimension. This amounts to the equivalence of the quantum measurement boundary-value problem in…
In the framework of stochastic functional differential equations (SFDE's) and the corresponding calculus developed in the recent years by F. Yan and S. Mohammed, we provide a series of representation formulae for a variety of highly…
We consider the vorticity formulation of the 2-D viscous Camassa-Holm equations in the whole space. We establish global existence for solutions corresponding to initial data in $L^1$ and describe the large time behavior of solutions with…
The Cauchy- and periodic boundary value problem for the nonlinear Schroedinger equations in $n$ space dimensions [u_t - i\Delta u = (\nabla \bar{u})^{\beta}, |\beta|=m \ge 2, u(0)=u_0 \in H^{s+1}_x] is shown to be locally well posed for $s…
We consider stochastic PDEs \[dY_t = L(Y_t)\, dt + A(Y_t).\, dB_t, t > 0\] and associated PDEs \[du_t = L u_t\, dt, t > 0\] with regular initial conditions. Here, $L$ and $A$ are certain partial differential operators involving…
In this paper, we initiate the study of backward doubly stochastic differential equations (BDSDEs, for short) with quadratic growth. The existence, comparison, and stability results for one-dimensional BDSDEs are proved when the generator…
We consider an inverse problem for the nonlinear Boltzmann equation with a time-dependent kernel in dimensions $n\ge 2$. We establish a logarithm-type stability result for the collision kernel from measurements under certain additional…
We consider the 2D incompressible Navier-Stokes equations with Dirichlet boundary condition in the exterior of one obstacle. Assuming that the circulation at infinity of the velocity is sufficiently small, we prove that the large time…
Forward-backward stochastic differential equations (FBSDEs) have attracted significant attention since they were introduced almost 30 years ago, due to their wide range of applications, from solving non-linear PDEs to pricing American-type…
In this paper, we consider a nonlinear Fuchsian type partial differential equation of the second order in the complex domain. Under a very weak assumption, we show the uniqueness of the solution. The result is applied to the problem of…
In this paper we describe a method to derive classical solutions of the Navier-Stokes equations for non-stationary initial value problems in domain R^n (n = 2, 3 or higher). A new closed-form analytic solution of the incompressible…
The time-dependent Dirac equation is solved using the three-dimensional Finite Difference-Time Domain (FDTD) method. The dynamics of the electron wave packet in a scalar potential is studied in the arrangements associated with the Klein…