Related papers: Second order backward SDE with random terminal tim…
We consider a nonlinear stochastic partial differential equation (SPDE) in divergence form where the forcing term is a Gaussian noise, that is white in time and colored in space such that the gradient of the solution is H\"older-continuous,…
We study the focusing $L^2$-critical and supercritical stochastic nonlinear Schr\"odinger equation subject to additive or multiplicative noise. We investigate global or long time behavior of solutions in $H^1$, which would correspond to…
In this paper, we study the non-linear backward problems (with deterministic or stochastic durations) of stochastic differential equations on the Sierpinski gasket. We prove the existence and uniqueness of solutions of backward stochastic…
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…
A delayed term in a differential equation reflects the fact that information takes significant time to travel from one place to another within a process being studied. Despite de apparent similarity with ordinary differential equations,…
The overlap integrals of scattering states in potentials of finite widths are expressed with their asymptotic behaviors and those of energies $E_1$ and $E_2$ consist of diagonal terms that are proportional to $\delta(E_1-E_2)$ and…
Olver and Rosenau studied group-invariant solutions of (generally nonlinear) partial differential equations through the imposition of a side condition. We apply a similar idea to the special case of finite-dimensional Hamiltonian systems,…
In this paper we study a class of backward stochastic differential equations (BSDEs) of the form dY(t)= -AY(t)dt -f_0(t,Y(t))dt -f_1(t,Y(t),Z(t))dt + Z(t)dW(t) on the interval [0,T], with given final condition at time T, in an infinite…
In this paper, we analyze a semilinear damped second order evolution equation with time-dependent time delay and time-dependent delay feedback coefficient. The nonlinear term satisfies a local Lipschitz continuity assumption. Under…
Consider stochastic partial differential equations (SPDEs) with fully local monotone coefficients in a Gelfand triple $V\subseteq H \subseteq V^*$: \begin{align*} \left\{ \begin{aligned} dX(t) & = A(t,X(t))dt + B(t,X(t))dW(t), \quad t\in…
We study optimal stochastic control problem for non-Markovian stochastic differential equations (SDEs) where the drift, diffusion coefficients, and gain functionals are path-dependent, and importantly we do not make any ellipticity…
An important class of spatio-temporal models is constructed by leveraging the hierarchical structure of dynamical (or, state-space) models. This paper proposes a new statistical dynamical model for spatio-temporal processes motivated by…
The paper concerns itself with establishing large deviation principles for a sequence of stochastic integrals and stochastic differential equations driven by general semimartingales in infinite-dimensional settings. The class of…
We present a new deep primal-dual backward stochastic differential equation framework based on stopping time iteration to solve optimal stopping problems. A novel loss function is proposed to learn the conditional expectation, which…
There has been a great deal of recent interest in learning and approximation of functions that can be expressed as expectations of a given nonlinearity with respect to its random internal parameters. Examples of such representations include…
We extend Peng's maximum principle for semilinear stochastic partial differential equations (SPDEs) in one space-dimension with non-convex control domains and control-dependent diffusion coefficients to the case of general cost functionals…
The Green's function method which has been originally proposed for linear systems has several extensions to the case of nonlinear equations. A recent extension has been proposed to deal with certain applications in quantum field theory. The…
We study in this paper the wellposedness of path-dependent multidimensional forward-backward stochastic differential equations (FBSDE). By path-dependent we mean that the coefficients of the forward-backward SDE at time t can depend on the…
A wide class of non-autonomous nonlinear parabolic partial differential equations with delay is studied. We allow in our investigations different types of delays such as constant, time-dependent, state-dependent (both discrete and…
In this article, we are interested in solving numerically backward doubly stochastic differential equations (BDSDEs) with random terminal time tau. The main motivations are giving a probabilistic representation of the Sobolev's solution of…