Related papers: Second order backward SDE with random terminal tim…

We study linear stochastic partial differential equations of parabolic type with non-local in time or mixed in time boundary conditions. The standard Cauchy condition at the terminal time is replaced by a condition that mixes the random…

This paper is devoted to the well-posedness of stochastic nonlinear Schr\"odinger equations in the energy space H1(Rd), which is a natural continuation of our recent work [1]. We consider both focusing and defocusing nonlinearities and…

We consider a class of backward stochastic differential equations (BSDEs) with singular terminal condition and develop a numerical scheme to approximate their solution. To this end, we extend an asymptotic development of the BSDE solution…

We consider reflected backward stochastic differential equations with two optional barriers of class (D) satisfying Mokobodzki's separation condition and coefficient which is only continuous and non-increasing. We assume that data are…

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 paper, we obtain stability results for martingale representations in a very general framework. More specifically, we consider a sequence of martingales each adapted to its own filtration, and a sequence of random variables…

In this paper, we introduce a specific kind of doubly reflected Backward Stochastic Differential Equations (in short DRBSDEs), defined on probability spaces equipped with general filtration that is essentially non quasi-left continuous,…

We study a backward stochastic differential equation whose terminal condition is an integrable function of a local martingale and generator has bounded growth in $z$. When the local martingale is a strict local martingale, the BSDE admits…

We prove the well-posedness results, i.e. existence, uniqueness, and stability, of the solutions to a class of nonlocal fully nonlinear parabolic partial differential equations (PDEs), where there is an external time parameter $t$ on top of…

We formulate a well-posedness and approximation theory for a class of generalised saddle point problems. In this way we develop an approach to a class of fourth order elliptic partial differential equations using the idea of splitting into…

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…

In this paper a new class of generalized backward doubly stochastic differential equations is investigated. This class involves an integral with respect to an adapted continuous increasing process. A probabilistic representation for…

We analyze the sensitivity of the extremal equations that arise from the first order necessary optimality conditions of nonlinear optimal control problems with respect to perturbations of the dynamics and of the initial data. To this end,…

In this paper, we study a kind of constrained backward stochastic differential equations (BSDEs) such that the nonlinear expectation of the composition of a loss function and the solution remains above zero. The existence and uniqueness…

In this paper, we study the connections between three concepts - the reverse H\"older inequality for matrix-valued martingales, the well-posedness of linear BSDEs with unbounded coefficients, and the well-posedness of quadratic BSDE…

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…

We investigate the well-posedness theory of the 2-D fractional nonlinear Schr\"odinger equation (NLSE) with a mixed degree of derivatives. Motivated by models in optics and photonics where the light propagation is governed by non-quadratic,…

We consider a nonlinear fourth order in space partial differential equation arising in the context of the modeling of nonlinear acoustic wave propagation in thermally relaxing viscous fluids. We use the theory of operator semigroups in…

This paper is intended to give a probabilistic representation for stochastic viscosity solution of semi-linear reflected stochastic partial differential equations with nonlinear Neumann boundary condition. We use it connection with…

We show that first order semilinear PDEs by stochastic perturbation are well-posedness for globally Holder continuous and bounded vector field, with an integrability condition on the divergence. This result extends the liner case presented…