Related papers: On Classical Solutions of Linear Stochastic Integr…
The paper concerns classical solution of path-dependent partial differential equations (PPDEs) with coefficients depending on both variables of path and path-valued measure, which are crucial to understanding large-scale mean-field…
In this paper, we prove that a particular nondegenerate, nonlinear, autonomous parabolic partial differential equation with a nonlocal mass transfer admits the local existence of classical solutions. The equation was developed to…
We obtain an existence and uniqueness theorem for fully coupled forward-backward SDEs (FBSDEs) with jumps via the classical solution to the associated quasilinear parabolic partial integro-differential equation (PIDE), and provide the…
In this work we mainly prove the existence and pathwise uniqueness of solutions to general backward doubly stochastic differential equations with jumps appearing in both forward and backward integral parts. Several comparison theorems under…
This paper presents a novel approach to numerically solve stochastic differential games for nonlinear systems. The proposed approach relies on the nonlinear Feynman-Kac theorem that establishes a connection between parabolic deterministic…
We study nonlinear parabolic stochastic partial differential equations with Wick-power and Wick-polynomial type nonlinearities set in the framework of white noise analysis. These equations include the stochastic Fujita equation, the…
In this paper, we use forward-backward stochastic differential systems to study the solution of two and d dimensional ($d\geq 3$) Navier-Stokes-$\alpha$ equation. For the two dimensional Navier-Stokes-$\alpha$ equation with space periodic…
In this paper, we provide a direct approach to the existence and uniqueness of strong (in the probabilistic sense) and weak (in the PDE sense) solutions to quasilinear stochastic partial differential equations, which are neither monotone…
The goal of the paper is to show, under possibly weak assumptions, that the function given by the Feynman-Kac formula is a classical solution of the associated Kolmogorov equation. We also show that although this solution is unbounded it…
We develop fully noncommutative Feynman-Kac formulae by employing quantum stochastic processes. To this end we establish some theory for perturbing quantum stochastic flows on von Neumann algebras by multiplier cocycles. Multiplier cocycles…
The classical system of shallow-water (Saint--Venant) equations describes long surface waves in an inviscid incompressible fluid of a variable depth. Although shock waves are expected in this quasilinear hyperbolic system for a wide class…
In this paper, we establish the relationship between backward stochastic Volterra integral equations (BSVIEs, for short) and a kind of non-local quasilinear (and possibly degenerate) parabolic equations. We first introduce the extended…
We prove and implement stochastic solution (or Feynman-Kac) formulas for boundary value problems involving the spectral fractional Laplacian with nonzero Dirichlet boundary condition. The main tools used in the proofs are the abstract…
In this paper we analyze the global existence of classical solutions to the initial boundary-value problem for a nonlinear parabolic equation describing the collective behavior of an ensemble of neurons. These equations were obtained as a…
We examine the Lie symmetries of a semi-linear partial differential equations and their connections to the analogous symmetries of the forward-backward stochastic differential equations (FBSDEs), established through the generalized…
Several classic one-dimensional problems of variational calculus originating in non-relativistic particle mechanics have solutions that are analogues of spatially homogeneous and isotropic universes. They are ruled by an equation which is…
This paper is concerned with the relationship between forward-backward stochastic Volterra integral equations (FBSVIEs, for short) and a system of (non-local in time) path dependent partial differential equations (PPDEs, for short). Due to…
In this paper we show the existence and uniqueness of strong solutions for a large class of backward SPDE where the coefficients satisfy a specific type Lyapunov condition instead of the classical coercivity condition. Moreover, based on…
We give a proof of existence and uniqueness of viscosity solutions to parabolic quasilinear equations for a fairly general class of nonconvex Hamiltonians with superlinear growth in the gradient variable. The approach is mainly based on…
We study the Cauchy problem for a scalar semilinear degenerate parabolic partial differential equation with stochastic forcing. In particular, we are concerned with the well-posedness in any space dimension. We adapt the notion of kinetic…