Related papers: Representation for filtration-consistent nonlinear…
Consider $\mathbb{G}$ the progressive enlargement of a filtration $\mathbb{F}$ with a random time $\tau$. Assuming that, in $\mathbb{F}$, the martingale representation property holds, we examine conditions under which the martingale…
The corepresentation theory of continuous groups is presented without the assumption that the subgroup $G$ of the group with antilinear operations is unitary. The formulas of the corepresentation theory with unitary groups $G$ can be…
For the normal linear model variable selection problem, we propose selection criteria based on a fully Bayes formulation with a generalization of Zellner's $g$-prior which allows for $p>n$. A special case of the prior formulation is seen to…
We formulate and solve the martingale problem in a nonlinear expectation space. Unlike the classical work of Stroock and Varadhan (1969) where the linear operator in the associated PDE is naturally defined from the corresponding diffusion…
We use a novel parameterization of the flowing Hamiltonian to show that the flow equations based on continuous unitary transformations, as proposed by Wegner, can be implemented through a nonlinear partial differential equation involving…
We analyse the exponential stability properties of a class of measure-valued equations arising in nonlinear multi-target filtering problems. We also prove the uniform convergence properties w.r.t. the time parameter of a rather general…
In this paper, the quenching behavior of the non-Newtonian filtration equation $(\phi (u))_{t}=(\left \vert u_{x}\right \vert ^{r-2}u_{x})_{x}$ with singular boundary conditions, $u_{x}\left( 0,t\right) =u^{-p}(0,t)$, $u_{x}\left(…
This paper focuses on the study of infinite horizon fully coupled nonlinear forward-backward stochastic difference equations (FBS$\bigtriangleup$Es). Firstly, we establish a pair of priori estimates for the solutions to forward stochastic…
The continuous-discrete filtering problem requires the solution of a partial differential equation known as the Fokker-Planck-Kolmogorov forward equation (FPKfe). In this paper, it is pointed out that for a state model with an affine,…
Let $G$ be a finite group of odd order admitting an involutory automorphism $\phi$. We obtain two results bounding the exponent of $[G,\phi]$. Denote by $G_{-\phi}$ the set $\{[g,\phi]\,\vert\, g\in G\}$ and by $G_{\phi}$ the centralizer of…
Selection of 25 examples from extensive nontrivial families for different types of nonlinear PDEs and their formal general solutions are given. The main goal here is to show on examples the types of solvable PDEs and what their general…
We introduce a new class of reflected backward stochastic differential equations with two c\`adl\`ag barriers, which need not satisfy any separation conditions. For that reason, in general, the solutions are not semimartingales. We prove…
We study the regularity properties of the solutions to the nonlinear equation with fractional diffusion $$ \partial_tu+(-\Delta)^{\sigma/2}\varphi(u)=0, $$ posed for $x\in \mathbb{R}^N$, $t>0$, with $0<\sigma<2$, $N\ge1$. If the…
We prove generalized Gaffney inequalities and the discrete compactness for finite element differential forms on $s$-regular domains, including general Lipschitz domains. In computational electromagnetism, special cases of these results have…
We study the nonlinear diffusion equation $ u_t=\Delta\phi(u) $ on general Euclidean domains, with homogeneous Neumann boundary conditions. We assume that $ \phi^\prime(u) $ is bounded from below by $ |u|^{m_1-1} $ for small $ |u| $ and by…
We deduce the asymptotic error distribution of the Euler method for the nonlinear filtering problem with continuous-time observations. Previous works by several authors have shown that the error structure of the method is characterized by…
In this paper, we study a fast approximate inference method based on expectation propagation for exploring the posterior probability distribution arising from the Bayesian formulation of nonlinear inverse problems. It is capable of…
This paper is intended to give a representation for stochastic viscosity solution of semi-linear reflected stochastic partial differential equations with nonlinear Neumann boundary condition. We use its connection with reflected generalized…
We consider fractional wave equations with exponential or arbitrary polynomial nonlinearities. We prove the global well-posedness on the support of the corresponding Gibbs measures. We provide ill-posedness constructions showing that the…
In this paper, we establish the existence, uniqueness and stability results for the obstacle problem associated with a degenerate nonlinear diffusion equation perturbed by conservative gradient noise. Our approach revolves round introducing…