Related papers: Coupling Levy measures and comparison principles f…
A strong comparison principle for semicontinuous viscosity solutions of the prescribed mean curvature equation is considered. The difficulties of the problem come from the fact that this nonlinear equation is non-uniformly elliptic, does…
We introduce a notion of duality solution for a single or a system of transport equations in spaces of probability measures reminiscent of the viscosity solution notion for nonlinear parabolic equations. Our notion of solution by duality…
This paper is an attempt to extend the notion of viscosity solution to nonlinear stochastic partial differential integral equations with nonlinear Neumann boundary condition. Using the recently developed theory on generalized backward…
We prove the comparison principle for viscosity sub and super solutions of degenerate nonlocal operators with general nonlocal gradient nonlinearities. The proofs apply to purely Hamilton-Jacobi equations of order $0<s<1$.
In this article, a notion of viscosity solutions is introduced for fully nonlinear second order path-dependent partial differential equations in the spirit of [Zhou, Ann. Appl. Probab., 33 (2023), 5564-5612]. We prove the existence,…
It is well known that the quadratic-cost optimal transportation problem is formally equivalent to the second boundary value problem for the Monge-Amp\`ere equation. Viscosity solutions are a powerful tool for analysing and approximating…
We introduce a probabilistic version of the classical Perron's method to construct viscosity solutions to linear parabolic equations associated to stochastic differential equations. Using this method, we construct easily two viscosity (sub…
The paper develops new methods of non-parametric estimation a compound Poisson distribution. Such a problem arise, in particular, in the inference of a Levy process recorded at equidistant time intervals. Our key estimator is based on…
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 show existence and uniqueness of a continuous with polynomial growth viscosity solution of a system of second order integral-partial differential equations (IPDEs for short) without assuming the usual monotonicity condition of the…
Using probabilistic methods we study the existence of viscosity solutions to non-linear integro-differential equations $$\partial_t u(t,x) - \sup_{\alpha \in I} \bigg( b_{\alpha}(x) \cdot \nabla_x u(t,x) + \frac{1}{2}…
This paper presents a self-contained account for coupling arguments and applications in the context of Markov processes. We first use coupling to describe the transport problem, which leads to the concepts of optimal coupling and…
We present a novel idea for a coupling of solutions of stochastic differential equations driven by L\'{e}vy noise, inspired by some results from the optimal transportation theory. Then we use this coupling to obtain exponential…
L\'evy processes, known for their ability to model complex dynamics with skewness, heavy tails and discontinuities, play a critical role in stochastic modeling across various domains. However, inference for most L\'evy processes, whether in…
We use Perron's method to construct viscosity solutions of fully nonlinear degenerate parabolic pathwise (rough) partial differential equations. This provides an intrinsic method for proving the existence of solutions that relies only on a…
This series of papers is devoted to the formulation and the approximation of coupling problems for nonlinear hyperbolic equations. The coupling across an interface in the physical space is formulated in term of an augmented system of…
We propose a method to couple local and nonlocal diffusion models. By inheriting desirable properties such as patch tests, asymptotic compatibility and unintrusiveness from related splice and optimization-based coupling schemes, it enables…
In this article, we explore some of the main mathematical problems connected to multidimensional fractional conservation laws driven by L\'evy processes. Making use of an adapted entropy formulation, a result of existence and uniqueness of…
There are two useful ways to extend nonlinear partial differential inequalities of second order: one uses viscosity theory and the other uses the theory of distributions. This paper considers the convex situation where both extensions can…
This article considers the variational wave equation with viscosity and transport noise as a system of three coupled nonlinear stochastic partial differential equations. We prove pathwise global existence, uniqueness, and temporal…