Related papers: A Feynman-Kac formula for stochastic Dirichlet pro…
The classical solvability of the initial-boundary problem for the Davey-Stewartson-II type system of equations is proved.
Differential equations are a powerful tool to tackle Feynman integrals. In this talk we discuss recent progress, where the method of differential equations has been applied to Feynman integrals which are not expressible in terms of multiple…
The paper deals with the existence and uniqueness of the solution of the backward stochastic variational inequality: \begin{equation} \left\{\begin{array} {l}-dY_{t}+\partial \varphi(Y_{t})dt \ni F(t,Y_{t},Z_{t})dt-Z_{t}dB_{t},\;0\leq t<T…
In this paper, we consider the Cauchy problem of semi-linear degenerate backward stochastic partial differential equations (BSPDEs in short) under general settings without technical assumptions on the coefficients. For the solution of…
We study some functional inequalities satisfied by the distribution of the solution of a stochastic differential equation driven by fractional Brownian motions. Such functional inequalities are obtained through new integration by parts…
We study stochastic differential equations with jumps with no diffusion part. We provide some basic stochastic characterizations of solutions of the corresponding non-local partial differential equations and prove the Harnack inequality for…
A stochastic solution is constructed for a fractional generalization of the KPP (Kolmogorov, Petrovskii, Piskunov) equation. The solution uses a fractional generalization of the branching exponential process and propagation processes which…
We prove multidimensional integration by parts formulas for generalized fractional derivatives and integrals. The new results allow us to obtain optimality conditions for multidimensional fractional variational problems with Lagrangians…
We consider a stochastic parabolic partial differential equation with Dirichlet boundary conditions, multiplicative stochastic noise, and a monotone parabolic operator A. The growth and coercivity of A is controlled by a general N-function…
An unsteady problem is considered for a space-fractional diffusion equation in a bounded domain. A first-order evolutionary equation containing a fractional power of an elliptic operator of second order is studied for general boundary…
We first state a special type of It\^o formula involving stochastic integrals of both standard and fractional Brownian motions. Then we use Doss-Sussman transformation to establish the link between backward doubly stochastic differential…
In this paper, a class of non-Markovian forward-backward doubly stochastic systems is studied. By using the technique of functional It\^o (or path-dependent) calculus, the relationship between the systems and related path-dependent…
We use a numerical-analytic technique to construct a sequence of successive approximations to the solution of a system of fractional differential equations, subject to Dirichlet boundary conditions. We prove the uniform convergence of the…
The probabilistic representation of weak solutions to a parabolic boundary value problem is established in the following framework. The boundary value problem consists of a second order parabolic equation defined on a time-varying Lipschitz…
We study function-valued solutions of a class of stochastic partial differential equations, involving operators with polynomially bounded coefficients. We consider semilinear equations under suitable parabolicity hypotheses. We provide…
Usually Fokker-Planck type partial differential equations (PDEs) are well-posed if the initial condition is specified. In this paper, alternatively, we consider the inverse problem which consists in prescribing final data: in particular we…
In this paper, we present a novel Feynman-Kac formula and investigate learning-based methods for approximating general nonlinear time-dependent Schr\"odinger equations which may be high-dimensional. Our formulation integrates both the…
We study a space-fractional Stefan problem with the Dirichlet boundary conditions. It is a model that describes superdiffusive phenomena. Our main result is the existence of the unique classical solution to this problem. In the proof we…
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…
In this work we study regularity properties of solutions to fractional elliptic problems with mixed Dirichlet-Neumann boundary data when dealing with the Spectral Fractional Laplacian.