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We prove the existence and uniqueness of a strong solution for an SDE on a semi-axis with singularities at the point 0. The result obtained yields, for example, the strong uniqueness of non-negative solutions to SDEs governing Bessel…
We consider the boundary value problem \begin{equation*} - \Delta u = \lambda c(x)u+ \mu(x) |\nabla u|^2 + h(x), \quad u \in H^1_0(\Omega) \cap L^{\infty}(\Omega) \eqno{(P_{\lambda})} \end{equation*} where $\Omega \subset \R^N, N \geq 3$ is…
We consider a backward stochastic differential equation with a generator that can be subjected to delay, in the sense that its current value depends on the weighted past values of the solutions, for instance a distorted recent average.…
We put forward and prove several existence and uniqueness results for $L^p\ (p>1)$ solutions of reflected BSDEs with continuous barriers and generators satisfying a one-sided Osgood condition together with a general growth condition in $y$…
In this paper, we study the uniqueness of the solution of reflected BSDE with one or two barriers, under continuous and linear increasing condition of generator $g$. Before that we study the construction of solution of of reflected BSDE…
In this study, we consider a class of backward SDE driven by jump Markov process. An existence and uniqueness result to this kind of equations is obtained in a locally Lipschitz case. We essentially approximate the initial problem by…
We study Backward Stochastic Differential Equations on a probability space equipped with a Brownian filtration. We assume that the terminal value and the generator at zero are merely integrable. Moreover, the generator is assumed to be…
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We study two types of unique continuation properties for the higher order Schr\"{o}dinger equation with potential $$ i\partial_tu=(-\Delta_x)^mu+V(t,x)u,\quad(t,x)\in\mathbb{R}^{1+n},\,2\leq m\in\mathbb{N}_+. $$ The first one says if $u$…
\begin{equation*} \left\{ \begin{array}{l} u'' + \lambda h(x,\alpha) e^u = 0, \quad x \in (-1,1), \\[1ex] u(-1) = u(1) = 0, \end{array} \right. \end{equation*} where $\lambda>0$, $0<\alpha<1$, $h(x,\alpha)=0$ for $|x|<\alpha$, and…
We prove a uniqueness result of the unbounded solution for a quadratic backward stochastic differential equation whose terminal condition is unbounded and whose generator $g$ may be non-Lipschitz continuous in the state variable $y$,…
Given $p \in (1, 2)$, we study $L^p$-solutions of a multi-dimensional backward stochastic differential equation with jumps (BSDEJ) whose generator may not be Lipschitz continuous in $(y,z)-$variables. We show that such a BSDEJ with a…
Results on the existence, uniqueness and strict comparison for solutions to a BSDE driven by a multi-dimensional RCLL martingale are established. The goal is to develop a general multi-asset framework encompassing a wide spectrum of…
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We consider the existence and nonexistence of positive solution for the following Br\'ezis-Nirenberg problem with logarithmic perturbation: \begin{equation*} \begin{cases} -\Delta u={\left|u\right|}^{{2}^{\ast }-2}u+\lambda u+\mu u\log…
This paper is dedicated to the analysis of backward stochastic differential equations (BSDEs) with jumps, subject to an additional global constraint involving all the components of the solution. We study the existence and uniqueness of a…
We consider the stochastic differential equation $$ dX_t = b(X_t) dt + dL_t,$$ where the drift $b$ is a generalized function and $L$ is a symmetric one dimensional $\alpha$-stable L\'evy processes, $\alpha \in (1, 2)$. We define the notion…
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