Related papers: A Feynman-Kac formula for stochastic Dirichlet pro…
We are interested in stochastic control problems coming from mathematical finance and, in particular, related to model uncertainty, where the uncertainty affects both volatility and intensity. This kind of stochastic control problems is…
This article is concerned with the existence and uniqueness of solutions to some fractional order boundary value problems. Our results are based on some fixed point theorems. For the applicability of our results, we provide an example.
The Allen-Cahn equation, coupled with dynamic boundary conditions, has recently received a good deal of attention. The new issue of this paper is the setting of a rather general mass constraint which may involve either the solution inside…
This paper deals with the Cauchy-Dirichlet problem for the fractional Cahn-Hilliard equation. The main results consist of global (in time) existence of weak solutions, characterization of parabolic smoothing effects (implying under proper…
In this article, we introduce the notion of stochastic symmetry of a differential equation. It consists in a stochastic flow that acts over a solution of a differential equation and produces another solution of the same equation. In the…
Point-to-point reflection holding for harmonic functions subject to the Dirichlet or Neumann conditions on an analytic curve in the plane almost always fails for solutions to more general elliptic equations. We develop a non-local,…
We address a class of backward stochastic differential equations on a bounded interval, where the driving noise is a marked, or multivariate, point process. Assuming that the jump times are totally inaccessible and a technical condition…
We consider a variational problem with boundary singularity and Dirichlet condition. We give a blow-up analysis for sequences of solutions of an equation with exponential nonlinearity. Also, we derive a compactness criterion under some…
The goal of the paper is to show, under possibly weak assumptions, that the function given by the Feynman-Kac formula is a classical solution of the associated Kolmogorov equation. We also show that although this solution is unbounded it…
A Feynman formula is a representation of a solution of an initial (or initial-boundary) value problem for an evolution equation (or, equivalently, a representation of the semigroup resolving the problem) by a limit of $n$-fold iterated…
A stochastic representation for the solutions of the Poisson-Vlasov equation is obtained. The representation involves both an exponential and a branching process. The stochastic representation, besides providing an alternative existence…
We study existence and uniqueness of solutions for second order ordinary stochastic differential equations with Dirichlet boundary conditions on a given interval. In the first part of the paper we provide sufficient conditions to ensure…
This note is concerned with an important for modelling question of existence of solutions of stochastic partial differential equations as proper stochastic processes, rather than processes in the generalized sense. We consider a first order…
In this paper we investigate the well-posedness of backward or forward stochastic differential equations whose law is constrained to live in an a priori given (smooth enough) set and which is reflected along the corresponding ''normal''…
We solve the Dirichlet problem for fully nonlinear elliptic equations on Riemannian manifolds under essentially optimal structure conditions, especially with no restrictions to the curvature of the underlying manifold and the second…
We prove that the solution of certain linear stochastic differential equations in Hilbert spaces, namely those with bounded operators as well as the conservative stochastic Schr\"odinger equations, can be obtained - along the lines of the…
In the framework of fractional stochastic calculus, we study the existence and the uniqueness of the solution for a backward stochastic differential equation, formally written as: [{[c]{l}% -dY(t)= f(t,\eta(t),Y(t),Z(t))dt-Z(t)\delta…
The present paper is concerned with the Cauchy-Dirichlet problem for fractional (and non-fractional) nonlinear diffusion equations posed in bounded domains. Main results consist of well-posedness in an energy class with no sign restriction…
In this work, we adapt our recent article [BDD25] to the setting of Dirichlet boundary conditions. A key part is the study of the parabolic equation $a\partial_t w - \Delta w = f$ with a rough coefficient $a$, homogeneous Dirichlet boundary…
A Riemannian stochastic representation of model uncertainties in molecular dynamics is proposed. The approach relies on a reduced-order model, the projection basis of which is randomized on a subset of the Stiefel manifold characterized by…