Related papers: Cadlag Skorokhod problem driven by a maximal monot…
In this paper we solve Kolmogorov problem about existence of a function with given norms of derivatives for classes of multiple monotone functions and absolute monotone functions in the case of arbitrary number of norms. We also show the…
We establish the existence (and in an appropriate sense uniqueness) of Markovian solutions for ergodic BSDEs under a novel monotonicity condition. Our monotonicity condition allows us to prove existence even when the driver f has arbitrary…
We study the problem of stopping a Brownian motion at a given distribution $\nu$ while optimizing a reward function that depends on the (possibly randomized) stopping time and the Brownian motion. Our first result establishes that the set…
In this paper, we investigate the deterministic multidimensional Skorokhod problem with normal reflection in a family of time-dependent convex domains that are c\`adl\`ag with respect to the Hausdorff metric. We then show the existence and…
The stochastic Allen-Cahn equation with multiplicative noise involves the nonlinear drift operator ${\mathscr A}(x) = \Delta x - \bigl(\vert x\vert^2 -1\bigr)x$. We use the fact that ${\mathscr A}(x) = -{\mathcal J}^{\prime}(x)$ satisfies a…
In this article we propose a model for stochastic delay differential equation with jumps (SDDEJ) in a differentiable manifold $M$ endowed with a connection $\nabla$. In our model, the continuous part is driven by vector fields with a fixed…
This paper is concerned with a discounted optimal control problem of partially observed forward-backward stochastic systems with jumps on infinite horizon. The control domain is convex and a kind of infinite horizon observation equation is…
We examine a Wong-Zakai type approximation of a family of stochastic differential equations driven by a general cadlag semimartingale. For such an approximation, compared with the pointwise convergence result by Kurtz, Pardoux and Protter…
We study a catching-up algorithm for a class of differential inclusions driven by maximal monotone operators with continuous perturbations. Using a decomposition of the monotone operator into the closed convex hull of its single-valued part…
In ergodic singular stochastic control problems, a decision-maker can instantaneously adjust the evolution of a state variable using a control of bounded variation, with the goal of minimizing a long-term average cost functional. The cost…
We propose a numerical algorithm for the computation of multi-marginal optimal transport (MMOT) problems involving general probability measures that are not necessarily discrete. By developing a relaxation scheme in which marginal…
We introduce an $\mathcal{M}$-operator approach to establish the uniqueness of continuous or bounded solutions for a broad class of Landau-type nonlinear kinetic equations. The specific $\mathcal{M}$-operator, originally developed in [3],…
We study linear boundary-value problems for systems of first-order ordinary differential equations with the most general boundary conditions in the normed spaces of continuously differentiable functions on a finite closed interval. The…
Let $D$ be a bounded $C^2$-domain. Consider the following Dirichlet initial-boundary problem of nonlocal operators with a drift: $$ \partial_t u={\mathscr L}^{(\alpha)}_\kappa u+b\cdot \nabla u+f\ \mathrm{in}\ \mathbb R_+\times D,\ \…
We study the existence, uniqueness and approximation of solutions of stochastic differential equations with constraints driven by processes with bounded p-variation. Our main tool are new estimates showing Lipschitz continuity of the…
This paper is concerned with the stochastic generalized Ginzburg-Landau equation driven by a multiplicative noise of jump type. By a prior estimate, weak convergence and monotonicity technique, we prove the existence and uniqueness of the…
Let $\mathcal{O}\subset\mathbb{R}^d$ be a bounded domain of class $C^{2p}$. In $L_2(\mathcal{O};\mathbb{C}^n)$, we study a selfadjoint strongly elliptic operator $A_{N,\varepsilon}$ of order $2p$ given by the expression $b({\mathbf D})^*…
Motivated by a new formulation of the classical dividend problem, we show that Peskir's maximality principle can be transferred to singular stochastic control problems with 2-dimensional degenerate dynamics and absorption along the diagonal…
We shall consider a stochastic maximum principle of optimal control for a control problem associated with a stochastic partial differential equations of the following type: d x(t) = (A(t) x(t) + a (t, u(t)) x(t) + b(t, u(t)) dt +…
The paper is concerned with an optimal control problem governed by a state equation in form of a generalized abstract operator differential equation involving a maximal monotone operator. The state equation is uniquely solvable, but the…