Related papers: Reflected BSDE of Wiener-Poisson type in Time-depe…
In the first part of the paper, we study reflected backward stochastic differential equations (RBSDEs) with lower obstacle which is assumed to be right upper-semicontinuous but not necessarily right-continuous. We prove existence and…
When dilute charged particles are confined in a bounded domain, boundary effects are crucial in the global dynamics. We construct a unique global-in-time solution to the Vlasov-Poisson-Boltzmann system in convex domains with the diffuse…
In this short article we present new results that bring about hitherto unknown relations between certain Bernstein diffusions wandering in bounded convex domains of Euclidean space on the one hand, and processes which typically occur in…
In this paper, we study doubly reflected Backward Stochastic Differential Equations defined on probability spaces equipped with filtration satisfying only the usual assumptions of right continuity and completeness in the case where the…
We consider the Cauchy problem for semilinear parabolic equation in divergence form with obstacle. We show that under natural conditions on the right-hand side of the eqution and mild conditions on the obstacle a unique continuous solution…
We construct solutions to the randomly-forced Navier--Stokes--Poisson system in periodic three-dimensional domains or in the whole three-dimensional Euclidean space. These solutions are weak in the sense of PDEs and also weak in the sense…
We study linear backward stochastic partial differential equations of parabolic type with special boundary condition that connect the terminal value of the solution with a functional over the entire past solution. Uniqueness, solvability…
We consider one-dimensional stochastic differential equations with a boundary condition, driven by a Poisson process. We study existence and uniqueness of solutions and the absolute continuity of the law of the solution. In the case when…
The deterministic Skorohod problem plays an important role in the construction and analysis of diffusion processes with reflection. In the form studied here, the multidimensional Skorohod problem was introduced, in time-independent domains,…
We study a class of backward stochastic differential equations (BSDEs) driven by a random measure or, equivalently, by a marked point process. Under appropriate assumptions we prove well-posedness and continuous dependence of the solution…
In this paper we discuss new types of differential equations which we call anticipated backward stochastic differential equations (anticipated BSDEs). In these equations the generator includes not only the values of solutions of the present…
We introduce a class of backward stochastic differential equations (BSDEs) on the Wasserstein space of probability measures. This formulation extends the classical correspondence between BSDEs, stochastic control, and partial differential…
In this paper, a class of reflected backward stochastic differential equations (RBSDE) driven by a marked point process (MPP) with a convex/concave generator is studied. Based on fixed point argument, $\theta$-method and truncation…
This paper is concerned with the quasi-linear reflected backward stochastic partial differential equation (RBSPDE for short). Basing on the theory of backward stochastic partial differential equation and the parabolic capacity and…
We prove the existence and uniqueness of solutions to a one-dimensional Stefan Problem for reflected SPDEs which are driven by space-time white noise. The solutions are shown to exist until almost surely positive blow-up times. Such…
We introduce a discrete time reflected scheme to solve doubly reflected Backward Stochastic Differential Equations with jumps (in short DRBSDEs), driven by a Brownian motion and an independent compensated Poisson process. As in…
We study a system of two reflected SPDEs which share a moving boundary. The equations describe competition at an interface and are motivated by the modelling of the limit order book in financial markets. The derivative of the moving…
In this paper we study reflected backward stochastic differential equations with a continuous, linear growth coefficient and two barriers which belong to L^2. We prove that there exists at least by penalization method.
In this paper, we study backward stochastic differential equations driven by a G-Brownian motion. The solution of such new type of BSDE is a triple (Y,Z,K) where K is a decreasing G-martingale. Under a Lipschitz condition for generator f…
We study an ordinary differential equation controlled by a stochastic process. We present results on existence and uniqueness of solutions, on associated local times (Trotter and Ray-Knight theorems), and on time and direction of…