Related papers: Viscosity methods giving uniqueness for martingale…
We study the vanishing viscosity limit for $2\times2$ triangular system of hyperbolic conservation laws when the viscosity coefficients are non linear. In this article, we assume that the viscosity matrix $B(u)$ is commutating with the…
We study viscosity solutions to a system of nonlinear degenerate parabolic partial integro-differential equations with interconnected obstacles. This type of problem occurs in the context of optimal switching problems when the dynamics of…
We consider a scalar, possibly degenerate parabolic equation with a source term, in several space dimensions. For initial data with bounded variation we prove the existence of solutions to the initial-value problem. Then we show that these…
We provide a stochastic representation for a general class of viscous Hamilton-Jacobi (HJ) equations, which has convexity and superlinear nonlinearity in its gradient term, via a type of backward stochastic differential equation (BSDE) with…
We study the vanishing viscosity method for the eikonal equation $|Du|=V$ in $B(0,1)$ with homogeneous Dirichlet boundary value condition. By assuming $V$ is radially symmetric and restricting attention to radially symmetric solutions, we…
We consider the Cauchy problem for a strictly hyperbolic, $n\times n$ system in one space dimension: $u_t+A(u)u_x=0$, assuming that the initial data has small total variation. We show that the solutions of the viscous approximations…
In this paper we explain that the natural filtration of a continuous Hunt process is continuous, and show that martingales over such a filtration are continuous. We further establish a martingale representation theorem for a class of…
The global existence of martingale solutions to the compressible Navier-Stokes equations driven by stochastic external forces, with density-dependent viscosity and vacuum, is established in this paper. This work can be regarded as a…
This work provides a comparison principle for viscosity solutions to boundary value problems on (partially) bounded, cylindrical spaces. The comparison principle is based on a test function framework, that allows for the simultaneous…
Here we provide a uniqueness result for viscosity solutions to sub-Riemannian mean curvature flow. In this setting the uniqueness cannot be deduced via comparison principle, which is known only for graphs and for radially symmetric…
We construct a class of discontinuous superprocesses with dependent spatial motion and general branching mechanism. The process arises as the weak limit of critical interacting-branching particle systems where the spatial motions of the…
In this note we study the singular vanishing-viscosity limit of a gradient flow set in a finite-dimensional Hilbert space and driven by a smooth, but possibly non convex, time-dependent energy functional. We resort to ideas and techniques…
This paper studies Hamilton-Jacobi equations of evolution type defined in a general metric space. We give a notion of a solution through optimal principles and establish a unique existence theorem of the solution for initial value problems.…
We propose \textit{DeepMartingale}, a deep-learning framework for the dual formulation of discrete-monitoring optimal stopping problems under continuous-time models. Leveraging a martingale representation, our method implements a…
Given a continuous Hamiltonian $H : (x,p,u) \mapsto H(x,p,u)$ defined on $ T^*M \times \mathbb R $, where $M$ is a closed connected manifold, we study viscosity solutions, $u_\lambda : M\to \mathbb R$, of discounted equations: $ H(x, d_x…
In this paper, we study a system of second order integro-partial differential equations with interconnected obstacles with non-local terms, related to an optimal switching problem with the jump-diffusion model. Getting rid of the…
We prove uniqueness of a martingale problem with boundary conditions on a simplex associated to a differential operator with an unbounded drift. We show that the solution of the martingale problem remains absorbed at the boundary once it…
In this paper we first study the penalization approximation of stochastic differential equations reflected in a domain which satisfies conditions (A) and (B) and prove that the sequence of solutions of the penalizing equations converges in…
We introduce a new definition of viscosity solution to path-dependent partial differential equations, which is a slight modification of the definition introduced in [8]. With the new definition, we prove the two important results till now…
We study a backward stochastic differential equation whose terminal condition is an integrable function of a local martingale and generator has bounded growth in $z$. When the local martingale is a strict local martingale, the BSDE admits…