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

This paper shows that penalized backward stochastic differential equation (BSDE), which is often used to approximate and solve the corresponding reflected BSDE, admits both optimal stopping representation and optimal control representation.…

This paper considers the problem of uniqueness of the solutions to a class of Markovian backward stochastic differential equations (BSDEs) which are also connected to certain nonlinear partial differential equation (PDE) through a…

We consider the following quasi-linear parabolic system of backward partial differential equations on a Banach space $E$: $(\partial_t+L)u+f(\cdot,\cdot,u, A^{1/2}\nabla u)=0$ on $[0,T]\times E,\qquad u_T=\phi$, where $L$ is a possibly…

We consider Backward Stochastic Differential Equations in a setting where noise is generated by a countable state, continuous time Markov chain, and the terminal value is prescribed at a stopping time. We show that, given sufficient…

We study a non-linear Schroedinger equation with a Hartree-type nonlinearity and a localized random time-dependent external potential. Sharp dispersive estimates for the linear Schroedinger equation with a random time-dependent potential…

This article deals with the existence and the uniqueness of solutions to quadratic and superquadratic Markovian backward stochastic differential equations (BSDEs for short) with an unbounded terminal condition. Our results are deeply linked…

Convergence of a full discretization of a second order stochastic evolution equation with nonlinear damping is shown and thus existence of a solution is established. The discretization scheme combines an implicit time stepping scheme with…

We prove a global well-posedness result for defocusing nonlinear Schrodinger equations with time dependent potential. We then focus on time dependent harmonic potentials. This aspect is motivated by Physics (Bose--Einstein condensation),…

There is a tendency to write the equations of general relativity as a first order symmetric system of time dependent partial differential equations. However, for numerical reasons, it might be advantageous to use a second order formulation…

We deal with a class of second order in time nonlinear evolution equations with state-dependent delay. This class covers several important PDE models arising in the theory ofnonlinear plates. Our first result states well-posedness in a…

The work deals with a study of a nonlinear parabolic equation with hysteresis, containing a nonlinear monotone operator in the diffusion term. The well-posedness of the model equation is addressed by using an implicit time discretization…

Forward-backward stochastic differential equations (FBSDEs) have attracted significant attention since they were introduced almost 30 years ago, due to their wide range of applications, from solving non-linear PDEs to pricing American-type…

Let $(\mathbb{P}^{s,x})_{(s,x)\in[0,T]\times E}$ be a family of probability measures, where $E$ is a Polish space,defined on the canonical probability space ${\mathbb D}([0,T],E)$ of $E$-valued cadlag functions. We suppose that a martingale…

Backward stochastic partial differential equations of parabolic type in bounded domains are studied in the setting where the coercivity condition is not necessary satisfied and the equation can be degenerate. Some generalized solutions…

We consider a reflected backward stochastic differential equations with default time and an optional barrier in a filtration generated by a one-dimensional Brownian motion and a defaultable process. We suppose that the barrier have…

We show the continuous dependence of solutions of linear nonautonomous second order parabolic partial differential equations (PDEs) with bounded delay on coefficients and delay. The assumptions are very weak: only convergence in the weak-*…

In this note, we review some of the recent developments in the well-posedness theory of nonlinear dispersive partial differential equations with random initial data.

This paper addresses reflected backward stochastic differential equations (RBSDE hereafter) that take the form of \begin{eqnarray*} \begin{cases} dY_t=f(t,Y_t, Z_t)d(t\wedge\tau)+Z_tdW_t^{\tau}+dM_t-dK_t,\quad Y_{\tau}=\xi, Y\geq…

In this paper, we introduce a class of backward stochastic equations (BSEs) that extend classical BSDEs and include many interesting examples of generalized BSDEs as well as semimartingale backward equations. We show that a BSE can be…

A theory of time dependent nonlinear dispersive equations of the Schroedinger / Gross-Pitaevskii and Hartree type is developed. The short, intermediate and large time behavior is found, by deriving nonlinear Master equations (NLME),…