Related papers: On Lipschitz continuous optimal stopping boundarie…
We prove absolute continuity of the law of the solution, evaluated at fixed points in time and space, to a parabolic dissipative stochastic PDE on $L^2(G)$, where $G$ is an open bounded domain in $\mathbb{R}^d$ with smooth boundary. The…
Consider the optimal stopping problem of a one-dimensional diffusion with positive discount. Based on Dynkin's characterization of the value as the minimal excessive majorant of the reward and considering its Riesz representation, we give…
For a class of systems of semi-linear elliptic equations, including \[ -\Delta u_i=f_i(x,u_i) - \beta u_i\sum_{j\neq i}a_{ij}u_j^p,\qquad i=1,\dots,k, \] for $p=2$ (variational-type interaction) or $p = 1$ (symmetric-type interaction), we…
In this paper we prove the local boundedness as well as the local Lipschitz continuity for solutions to a class of obstacle problems of the type $$\min\left\{\int_\Omega {F(x, Dz)}: z\in \mathcal{K}_{\psi}(\Omega)\right\}.$$ Here…
We consider the optimal stopping problem for a Gauss-Markov process conditioned to adopt a prescribed terminal distribution. By applying a time-space transformation, we show it is equivalent to stopping a Brownian bridge pinned at a random…
This short note is motivated by an attempt to understand the distinction between the Laplace operator and the hyperbolic Laplacian on the unit ball of $\mathbb{R}^n$, regarding the Lipschitz continuity of the solutions to the corresponding…
We study a class of semilinear diffusion equations on infinite, connected, weighted graphs, focusing on two types of nonlinearities: monotone decreasing and Lipschitz continuous. Under minimal structural assumptions on the graph, we…
We consider stochastic control with discretionary stopping for the drift of a diffusion process over an infinite time horizon. The objective is to choose a control process and a stopping time to minimize the expectation of a convex terminal…
This paper is concerned with first- and second-order optimality conditions as well as the stability for non-smooth semilinear optimal control problems involving the $L^1$-norm of the control in the cost functional. In addition to the…
It has recently been shown that complete Bernstein functions of the Laplace operator map the Dirichlet boundary condition of a related elliptic PDE to the Neumann boundary condition. The importance of this mapping consists in being able to…
We propose a discrete analogue for the boundary local time of reflected diffusions in bounded Lipschitz domains. This discrete analogue, called the discrete local time, can be effectively simulated in practice and is obtained pathwise from…
We study a general class of elliptic free boundary problems equipped with a Dirichlet boundary condition. Our primary result establishes an optimal $C^{1,1}$-regularity estimate for $L^p$-strong solutions at points where the free and fixed…
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 parabolic stochastic partial differential equation (SPDE) on $[0\,,1]$ that is forced with multiplicative space-time white noise with a bounded and Lipschitz diffusion coefficient and a drift coefficient that is locally…
In this paper we study the inverse boundary value problem of determining the potential in the Schr\"{o}dinger equation from the knowledge of the Dirichlet-to-Neumann map, which is commonly accepted as an ill-posed problem in the sense that,…
We study distribution dependent stochastic differential equation driven by a continuous process, without any specification on its law, following the approach initiated in [16]. We provide several criteria for existence and uniqueness of…
We provide a general approach to Lipschitz regularity of solutions for a large class of vector-valued, nonautonomous variational problems exhibiting nonuniform ellipticity. The functionals considered here range amongst those with unbalanced…
We prove that an a priori BMO gradient estimate for the two phase singular perturbation problem implies Lipschitz regularity for the limits. This problem arises in the mathematical theory of combustion where the reaction-diffusion is…
In this paper, we consider the pointwise boundary Lipschitz regularity of solutions for the semilinear elliptic equations in divergence form mainly under some weaker assumptions on nonhomogeneous term and the boundary. If the domain…
Diffusion models, which employ stochastic differential equations to sample images through integrals, have emerged as a dominant class of generative models. However, the rationality of the diffusion process itself receives limited attention,…