Related papers: Viscosity solutions for second order integro-diffe…
We obtain new quantitative estimates of the vanishing viscosity approximation for time-dependent, degenerate, Hamilton-Jacobi equations that are neither concave nor convex in the gradient and Hessian entries of the form $\partial_t…
In this article we study the existence and uniqueness of solutions of stochastic continuity equation with irregular coefficients.
In this paper, we study the existence and uniqueness of viscosity solutions to a kind of Hamilton-Jacobi-Bellman (HJB) equations combined with algebra equations. This HJB equation is related to a stochastic optimal control problem for which…
This paper focuses on zero-sum stochastic differential games in the framework of forward-backward stochastic differential equations on a finite time horizon with both players adopting impulse controls. By means of BSDE methods, in…
The optimization problems associated with training generative adversarial neural networks can be largely reduced to certain {\em non-monotone} variational inequality problems (VIPs), whereas existing convergence results are mostly based on…
In this paper a new class of generalized backward doubly stochastic differential equations is investigated. This class involves an integral with respect to an adapted continuous increasing process. A probabilistic representation for…
We consider a class of elliptic and parabolic problems, featuring a specific nonlocal operator of fractional-laplacian type, where integration is taken on variable domains. Both elliptic and parabolic problems are proved to be uniquely…
We show removability of half-line singularities for viscosity solutions of fully nonlinear elliptic PDEs which have classical density and a Jacobi inequality. An example of such a PDE is the Monge-Amp\`ere equation, and the original proof…
We propose a probabilistic definition of solutions of semilinear elliptic equations with (possibly nonlocal) operators associated with regular Dirichlet forms and with measure data. Using the theory of backward stochastic differential…
The numerical solution methods for partial differential equation (PDE) solution allow obtaining a discrete field that converges towards the solution if the method is applied to the correct problem. Nevertheless, the numerical methods…
Like many numerical methods, solvers for initial value problems (IVPs) on ordinary differential equations estimate an analytically intractable quantity, using the results of tractable computations as inputs. This structure is closely…
The three-dimensional jump conditions for the pressure and velocity fields, up to the second normal derivative,across an incompressible/inextensible interface in the Stokes regime are derived herein. The fluid viscosity is only piecewise…
In this paper we consider viscosity solutions of a class of non-homogeneous singular parabolic equations $$\partial_t u-|Du|^\gamma\Delta_p^N u=f,$$ where $-1<\gamma<0$, $1<p<\infty$, and $f$ is a given bounded function. We establish…
Initial-boundary value problems for second order fully nonlinear PDEs with Caputo time fractional derivatives of order less than one are considered in the framework of viscosity solution theory. Associated boundary conditions are Dirichlet…
We generalize the algorithm for semi-linear parabolic PDEs in Henry-Labord\`ere (2012) to the non-Markovian case for a class of Backward SDEs (BSDEs). By simulating the branching process, the algorithm does not need any backward regression.…
In multi-phase fluid flow, fluid-structure interaction, and other applications, partial differential equations (PDEs) often arise with discontinuous coefficients and singular sources (e.g., Dirac delta functions). These complexities arise…
We establish in this paper the existence of weak solutions of infinite-dimensional shift invariant stochastic differential equations driven by a Brownian term. The drift function is very general, in the sense that it is supposed to be…
Backward stochastic differential equations (BSDEs) belong nowadays to the most frequently studied equations in stochastic analysis and computational stochastics. In this paper we prove that Picard iterations of BSDEs with globally Lipschitz…
In this paper, we propose two parallel extragradient - viscosity methods for finding a particular element in the common solution set of a system of equilibrium problems and finitely many fixed point problems. This particular point is the…
The global equi-continuity estimate on Lp-viscosity solutions of bilateral obstacle problems with unbounded ingredients is established when obstacles are merely continuous. The existence of Lp-viscosity solutions is established via an…