Related papers: A Feynman-Kac result via Markov BSDEs with general…
In this note, we introduce and study a new class of "half integrands" in Cachazo-He-Yuan (CHY) formula, which naturally generalize the so-called Parke-Taylor factors; these are dubbed Cayley functions as each of them corresponds to a…
A method of generating differential operators is used to solve the spectral problem for a generalisation of the Sylvester-Kac matrix. As a by-product, we find a linear differential operator with polynomial coefficients of the first order…
The BMO martingale theory is extensively used to study nonlinear multi-dimensional stochastic equations (SEs) in $\cR^p$ ($p\in [1, \infty)$) and backward stochastic differential equations (BSDEs) in $\cR^p\times \cH^p$ ($p\in (1, \infty)$)…
We are concerned with high-dimensional coupled FBSDE systems approximated by the deep BSDE method of Han et al. (2018). It was shown by Han and Long (2020) that the errors induced by the deep BSDE method admit a posteriori estimate…
A Feynman formula is a representation of a solution of an initial (or initial-boundary) value problem for an evolution equation (or, equivalently, a representation of the semigroup resolving the problem) by a limit of $n$-fold iterated…
This paper is devoted to a general solvability of a multi-dimensional backward stochastic differential equation (BSDE) of a diagonally quadratic generator $g(t,y,z)$, by relaxing the assumptions of \citet{HuTang2016SPA} on the generator and…
Rational-function simplification is key bottlenecks in integration-by-parts (IBP) reduction of Feynman integrals. We study denominator factorization patterns appearing in IBP coefficients and develop practical algorithms for extracting and…
A general framework for solving the Boltzmann equation for a 2-dimensional electron gas (2DEG) in random magnetic fields is presented, when the random fields are included in the driving force. The formalism is applied to some recent…
We consider an infinite horizon, obliquely reflected backward stochastic differential equation (RBSDE). The main contribution of the present work is that we generalize previous results on infinite horizon reflected BSDEs to the setting…
This paper is devoted to several existence results for a generalized version of the Yamabe problem. First, we prove the remaining global cases for the range of powers $\gamma\in (0,1)$ for the generalized Yamabe problem introduced by…
The challenge to fruitfully merge state-of-the-art techniques from mathematical finance and numerical analysis has inspired researchers to develop fast deterministic option pricing methods. As a result, highly efficient algorithms to…
We characterize generalized derivatives of the solution operator of the obstacle problem. This precise characterization requires the usage of the theory of so-called capacitary measures and the associated solution operators of relaxed…
In this paper we propose a notion of viscosity solutions for path dependent semi-linear parabolic PDEs. This can also be viewed as viscosity solutions of non-Markovian backward SDEs, and thus extends the well-known nonlinear Feynman-Kac…
We consider stochastic differential equations driven by a general L\'evy processes (SDEs) with infinite activity and the related, via the Feynman-Kac formula, Dirichlet problem for parabolic integro-differential equation (PIDE). We…
We prove the existence of a weak solution to a backward stochastic differential equation (BSDE) $$ Y_t=\xi+\int_t^T f(s,X_s,Y_s,Z_s)\,ds-\int_t^T Z_s\,d\wien_s$$ in a finite-dimensional space, where $f(t,x,y,z)$ is affine with respect to…
We give an alternative proof of a sharp generalization of an integral inequality for the dyadic maximal operator due to which the evaluation of the Bellman function of this operator with respect to two variables, is possible. This last…
In this paper, a probabilistic interpretation for the viscosity solution of a parabolic partial differential equation is obtained by virtue of the solution of a class of quadratic backward stochastic differential equations (BSDEs, for…
We show existence and uniqueness of solutions to BSDEs of the form $$ Y_t = \xi + \int_t^T f(s,Y_s,Z_s)ds - \int_t^T Z_s dW_s$$ in the case where the terminal condition $\xi$ has bounded Malliavin derivative. The driver $f(s,y,z)$ is…
In this short communication I generalize the method of obtaining quasi-Feynman formulas described in my previous paper on that topic. The theorem presented allows to obtain the solution to the Cauchy problem for the Schr\"odinger equation…
In this paper we consider backward stochastic differential equations with time-delayed generators of a moving average type. The classical framework with linear generators depending on $(Y(t),Z(t))$ is extended and we investigate linear…