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In this paper, we study the existence and (H\"older) regularity of local times of stochastic differential equations driven by fractional Brownian motions. In particular, we show that in one dimension and in the rough case H<1/2, the…
The Skorokhod embedding problem is to represent a given probability as the distribution of Brownian motion at a chosen stopping time. Over the last 50 years this has become one of the important classical problems in probability theory and a…
In this paper we are concerned with backward stochastic differential equations with random default time and their applications to default risk. The equations are driven by Brownian motion as well as a mutually independent martingale…
The aim of this note is to propose a novel numerical scheme for drift-less one dimensional stochastic differential equations of It\^o's type driven by standard Brownian motion. Our approximation method is equivalent to the well known…
A computational PDE-constrained optimization approach is proposed for optimal trajectory planning under uncertainty by means of an associated Schroedinger Bridge Problem (SBP). The proposed SBP formulation is interpreted as the mean-field…
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…
In this paper, we study the doubly reflected backward stochastic differential equations driven by $G$-Brownian motion ($G$-BSDEs for short) when the generator has quadratic growth in the $z$-component. Based on the theory of $G$-BMO…
In this work, we prove a version of H\"{o}rmander's theorem for a stochastic evolution equation driven by a trace-class fractional Brownian motion with Hurst exponent $\frac{1}{2} < H < 1$ and an analytic semigroup on a given separable…
In this paper, we study backward doubly stochastic differential equations driven by Brownian motions and Poisson process (BDSDEP in short) with non-Lipschitz coefficients on random time interval. The probabilistic interpretation for the…
Two finite element approximations of the Oldroyd-B model for dilute polymeric fluids are considered, in bounded 2- and 3-dimensional domains, under no flow boundary conditions. The pressure and the symmetric conformation tensor are…
The aim of this paper is to study the $d$-dimensional stochastic heat equation with a multiplicative Gaussian noise which is white in space and it has the covariance of a fractional Brownian motion with Hurst parameter $% H\in (0,1)$ in…
We propose a new numerical method for one dimensional stochastic differential equations (SDEs). The main idea of this method is based on a representation of a weak solution of a SDE with a time changed Brownian motion, dated back to Doeblin…
We address a general optimal switching problem over finite horizon for a stochastic system described by a differential equation driven by Brownian motion. The main novelty is the fact that we allow for infinitely many modes (or regimes,…
This paper presents existence and uniqueness results for reflected backward doubly stochastic differential equations (in short RBDDSEs) in a convex domain D. Moreover, using a stochastic flow approach a probabilistic interpretation for a…
We consider cost minimizing stopping time solutions to Skorokhod embedding problems, which deal with transporting a source probability measure to a given target measure through a stopped Brownian process. PDEs and a free boundary problem…
Brownian Dynamics simulations are an important tool for modeling the dynamics of soft matter. However, accurate and rapid computations of the hydrodynamic interactions between suspended, microscopic components in a soft material is a…
The study of both sensitivity analysis and differentiability of the stochastic flow of a reflected process in a convex polyhedral domain is challenging because the dynamics are discontinuous at the boundary of the domain and the boundary of…
In this note we prove an existence and uniqueness result of solution for stochastic differential delay equations with hereditary drift driven by a fractional Brownian motion with Hurst parameter $H > 1/2$. Then, we show that, when the delay…
We give a new take on the error analysis of approximations of stochastic differential equations (SDEs), utilizing and developing the stochastic sewing lemma of L\^e (2020). This approach allows one to exploit regularization by noise effects…
Let $\{B_t,t\geq0\}$ be a d-dimensional Brownian motion. We prove that the approximation of the higher derivative of renormalized self-intersection local time $$…