Related papers: Second order backward SDE with random terminal tim…
A stationary random sequence admits under some assumptions a representation as the sum of two others: one of them is a martingale difference sequence, and another is a so-called coboundary. Such a representation can be used for proving some…
In that paper, we provide a new characterization of the solutions of specific reflected backward stochastic differential equations (or RBSDEs) whose driver $g$ is convex and has quadratic growth in its second variable: this is done by…
In this paper, we study reflected backward stochastic differential equation (reflected BSDE in abbreviation) with rank-based data in a Markovian framework; that is, the solution to the reflected BSDE is above a prescribed boundary process…
We study the large time behavior of solutions to fully nonlinear parabolic equations of Hamilton-Jacobi-Bellman type arising typically in stochastic control theory with control both on drift and diffusion coefficients. We prove that, as…
The paper introduces a new way to construct dissipative solutions to a second order variational wave equation. By a variable transformation, from the nonlinear PDE one obtains a semilinear hyperbolic system with sources. In contrast with…
This paper presents an analysis approach to finite-time attraction in probability concerns with nonlinear systems described by nonlinear random differential equations (RDE). RDE provide meticulous physical interpreted models for some…
In this work, we introduce a new Skorokhod problem with two reflecting barriers when the trajectories of the driven process and the barriers are right and left limited. We show that this problem has an explicit unique solution in a…
Parabolic partial differential equations (PDEs) and backward stochastic differential equations (BSDEs) have a wide range of applications. In particular, high-dimensional PDEs with gradient-dependent nonlinearities appear often in the…
Most previous contributions to BSDEs, and the related theories of nonlinear expectation and dynamic risk measures, have been in the framework of continuous time diffusions or jump diffusions. Using solutions of BSDEs on spaces related to…
In this paper, we establish a theory of well-posedness for delay differential equations (DDEs) via notions of \textit{prolongations} and \textit{$C^1$-prolongations}, which are continuous and continuously differentiable extensions of…
In a preceding article, we have studied a generalization of the problem of finding a martingale on a manifold whose terminal value is known. This article completes the results obtained in the first article by providing uniqueness and…
The integral representation theorem for martingales has been widely used in probability theory. In this work, we propose and prove a general representation theorem for a class of set-valued submartingales. We also extend the stochastic…
In this paper, we study the doubly conditional reflected backward stochastic differential equations (BSDEs), where constraints are made on the conditional expectation of the first component of the solution with respect to a general…
We focus here on a class of fourth-order parabolic equations that can be written as a system of second-order equations by introducing an auxiliary variable. We design a novel second-order fully discrete mixed finite element method to…
A long-time behavior of solutions to a nonlinear plate model subject to non-conservative and non-dissipative effects and nonlinear damping is considered. The model under study is a prototype for a suspension bridge under the effects of…
The aim of this paper is to study the wellposedness and $L^2$-regularity, firstly for a linear heat equation with dynamic boundary conditions by using the approach of sesquilinear forms, and secondly for its backward adjoint equation using…
By using a simple observation that the density processes appearing in Ito's martingale representation theorem are invariant under the change of measures, we establish a non-linear version of the Cameron-Martin formula for solutions of a…
The aim of this paper is to introduce a new formalism for the deterministic analysis associated with backward stochastic differential equations driven by general c{\`a}dl{\`a}g martingales. When the martingale is a standard Brownian motion,…
The connection between forward backward doubly stochastic differential equations and the optimal filtering problem is established without using the Zakai's equation. The solutions of forward backward doubly stochastic differential equations…
A system of partial differential equations representing stochastic neural fields was recently proposed with the aim of modelling the activity of noisy grid cells when a mammal travels through physical space. The system was rigorously…