Related papers: Deterministic and Stochastic Differential Equation…
We prove existence and pathwise uniqueness results for four different types of stochastic differential equations (SDEs) perturbed by the past maximum process and/or the local time at zero. Along the first three studies, the coefficients are…
The aim of the book is to present some recent results in the theory of stochastic It\^o equations with singular deterministic part (drift) and its applications to second-order elliptic and parabolic equations with singular first-order…
In this paper we discuss existence and uniqueness for a one-dimensional time inhomogeneous stochastic differential equation directed by an $\mathbb{F}$-semimartingale $M$ and a finite cubic variation process $\xi$ which has the structure…
We characterize the optimal control for a class of singular stochastic control problems as the unique solution to a related Skorokhod reflection problem. The considered optimization problems concern the minimization of a discounted cost…
In this paper, we study the following nonlinear backward stochastic integral partial differential equation with jumps \begin{equation*} \left\{ \begin{split} -d V(t,x) =&\displaystyle\inf_{u\in U}\bigg\{H(t,x,u, DV(t,x),D \Phi(t,x), D^2…
A review of the authors's results is given. Several methods are discussed for solving nonlinear equations $F(u)=f$, where $F$ is a monotone operator in a Hilbert space, and noisy data are given in place of the exact data. A discrepancy…
Consider an operator equation (*) $B(u)-f=0$ in a real Hilbert space. Let us call this equation ill-posed if the operator $B'(u)$ is not boundedly invertible, and well-posed otherwise. The DSM (dynamical systems method) for solving equation…
The paper studies the uniqueness problem for the one-dimensional Schr\"{o}dinger operator associated with the formal differential expression \begin{equation*} l[u] =-u''+qu + i[(ru)'+ru'], \end{equation*} in the complex Hilbert space…
Consider the Skorokhod problem in the closed non-negative orthant: find a solution $(g(t),m(t))$ to \[ g(t)= f(t)+ Rm(t),\] where $f$ is a given continuous vector-valued function with $f(0)$ in the orthant, $R$ is a given $d\times d$ matrix…
We investigate elliptic boundary-value problems for which the maximum of the orders of the boundary operators is equal to or greater than the order of the elliptic differential equation. We prove that the operator corresponding to an…
The numerical analysis of stochastic parabolic partial differential equations of the form $$ du + A(u) = f \,dt + g \, dW, $$ is surveyed, where $A$ is a partial operator and $W$ a Brownian motion. This manuscript unifies much of the theory…
This note is concerned with an important for modelling question of existence of solutions of stochastic partial differential equations as proper stochastic processes, rather than processes in the generalized sense. We consider a first order…
We consider the stochastic evolution equation $ du=Audt+G(u)d\omega,\quad u(0)=u_0 $ in a separable Hilbert--space $V$. Here $G$ is supposed to be three times Fr\'echet--differentiable and $\omega$ is a trace class fractional…
We study multivalued stochastic differential equations (MSDEs) with maximal monotone operators driven by semimartingales with jumps. We discuss in detail some methods of approximation of solutions of MSDEs based on discretization of…
The rigorous linking of exact stochastic models to mean-field approximations is studied. Starting from the differential equation point of view the stochastic model is identified by its Kolmogorov equations, which is a system of linear ODEs…
In this paper we study the existence and uniqueness of the strong solution of following d dimensional stochastic differential equation (SDE) driven by Brownian motion: dX(t)=b(t,X(t))dt+a(t,X(t))dB(t), X(0)= x, where B is a d-dimensional…
We consider a stochastic parabolic partial differential equation with Dirichlet boundary conditions, multiplicative stochastic noise, and a monotone parabolic operator A. The growth and coercivity of A is controlled by a general N-function…
Optimal control of interacting particles governed by stochastic evolution equations in Hilbert spaces is an open area of research. Such systems naturally arise in formulations where each particle is modeled by stochastic partial…
We investigate the following fractional order in time Cauchy problem \begin{equation*} \begin{cases} \mathbb{D}_{t}^{\alpha }u(t)+Au(t)=f(u(t)), & 1<\alpha <2, \\ u(0)=u_{0},\,\,\,u^{\prime }(0)=u_{1}. & \end{cases}% \end{equation*}% where…
In this paper we investigate a discrete approximation in time and in space of a Hilbert space valued stochastic process $\{u(t)\}_{t\in [0,T]}$ satisfying a stochastic linear evolution equation with a positive-type memory term driven by an…