Related papers: Reflected rough differential equations via control…
In this paper, we study reflected backward stochastic difference equations (RBSDEs for short) with finitely many states in discrete time. The general existence and uniqueness result, as well as comparison theorems for the solutions, are…
We establish the existence theory of several commonly used finite element (FE) nonlinear fully discrete solutions, and the convergence theory of a linearized iteration. First, it is shown for standard FE, SUPG and edge-averaged method…
We establish a consistency result by comparing two independent notions of generalised solutions to a large class of linear hyperbolic first order PDE systems with constant coefficients, showing that they eventually coincide. The first is…
In this paper we prove a general approximation result for reflected stochastic differential equations in bounded domains satisfying conditions reorganized by Ren and Wu. Then we show that it includes Wong-Zakai approximation, mollifier…
In this paper, we deal with a class of reflected backward stochastic differential equations associated to the subdifferential operator of a lower semi-continuous convex function driven by Teugels martingales associated with L\'{e}vy…
This paper aims at reviewing and analysing the method of reflections. The latter is an iterative procedure designed to linear boundary value problems set in multiply connected domains. Being based on a decomposition of the domain boundary,…
Incorporating symmetries into the numerical solution of differential equations has been a mainstay of research over the last 40 years, however, one aspect is less known and under-utilised: discretisations of partial differential equations…
The aim of this very short note is to relate the directed paths in ${\stackrel{\rm \longrightarrow}{\rm \mathbb{R}^n}}$ to the irreversible paths in ${\stackrel{\rm ir}{\rm \mathbb{R}^n}}$. We first show that there is a directed path from…
We prove the existence of explicit linear multistep methods of any order with positive coefficients. Our approach is based on formulating a linear programming problem and establishing infeasibility of the dual problem. This yields a number…
In this paper, we prove a large deviation principle for the empirical measures of a system of weakly interacting diffusion with reflection. We adopt the weak convergence approach. To make this approach work, we show that the sequence of…
We prove Hida-style control theorems in the derived setting for a large class of reductive groups tailored for applications to Euler systems.
In this work, we introduce a solution theory for scalar-valued rough differential equations driven by multi-indices rough paths. To achieve this task, we will show how the flow approach using the log-ODE method introduced by Bailleul fits…
In this paper, we prove the existence and uniqueness of the solution to reflected backward doubly stochastic differential equations driven by Teugels martingales associated with a L\'evy process where the barrier process is not necessarily…
We consider one-step methods for integrating stochastic differential equations and prove pathwise convergence using ideas from rough path theory. In contrast to alternative theories of pathwise convergence, no knowledge is required of…
In this paper, several nonlinear elliptic systems are investigated on graphs. One type of the sobolev embedding theorem and a new version of the strong maximum principle are established. Then, by using the variational method, the existence…
This work develops moment bounds for the controlled rough path norm of the solution of semilinear rough partial differential equations.~The novel aspects are two-fold: first we consider rough paths of low time regularity…
We describe a method to construct smooth and compactly supported solutions of 3D incompressible Euler equations and related models. The method is based on localizable Grad-Shafranov equations and is inspired by the recent result \cite{gav}.
In the context of controlled differential equations, the signature is the exponential function on paths. B. Hambly and T. Lyons proved that the signature of a bounded variation path is trivial if and only if the path is tree-like. We extend…
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.
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…