Related papers: $L^{p}$ - Variational Solution of Backward Stochas…

We study a nonlinear stochastic partial differential equation whose solution is the conditional log-Laplace functional of a superprocess in a random environment. We establish its existence and uniqueness by smoothing out the nonlinear term…

In this paper, we aim to develop a new weak formulation that ensures well-posedness for a broad range of stochastic partial differential equations with pseudo-differential operators whose symbols depend only on time and spatial frequencies.…

In this work, we study the existence of weak solution to the following quasi linear elliptic problem involving the fractional $p$-Laplacian operator, a Hardy potential and multiple critical Sobolev nonlinearities with singularities,…

Let $X=(X_t)_{t \ge 0}$ be a stochastic process which has an (not necessarily stationary) independent increment on a probability space $(\Omega, \mathbb{P})$. In this paper, we study the following Cauchy problem related to the stochastic…

The existence and uniqueness in fractional Sobolev spaces of the Cauchy problem to a stochastic parabolic integro-differential equation is investigated. A model problem with coefficients independent of space variable is considered. The…

In this article we show the existence of a random-field solution to linear stochastic partial differential equations whose partial differential operator is hyperbolic and has variable coefficients that may depend on the temporal and spatial…

Time-varying parameter VARs with stochastic volatility are routinely used for structural analysis and forecasting in settings involving a few endogenous variables. Applying these models to high-dimensional datasets has proved to be…

Existence, uniqueness and stability of the solutions of linear stochastic evolution equations are investigated. The results obtained are used to prove theorems on solvability of linear second order stochastic partial differential equations…

In this paper we investigate the $L^p$-boundedness of certain classes of periodic pseudo-differential operators. The operators considered arise from the study of symbols on $\mathbb{T}^n\times\mathbb{Z}^n$ with limited regularity.

We consider a stochastic differential equation of the form \[dX_t=\theta a(t,X_t)\,dt+\sigma_1(t,X_t)\sigma_2(t,Y_t)\,dW_t\] with multiplicative stochastic volatility, where $Y$ is some adapted stochastic process. We prove…

In this paper, we deal with a class of backward doubly stochastic differential equations (BDSDEs, in short) involving subdifferential operator of a convex function and driven by Teugels martingales associated with a L\'evy process. We show…

We study multidimensional backward stochastic differential equations (BSDEs) which cover the logarithmic nonlinearity u log u. More precisely, we establish the existence and uniqueness as well as the stability of p-integrable solutions (p >…

This paper deals with the existence of solutions for an elliptic system of partial differential equations. The solution method is based on the sub- and super-solutions approach. An application to a stochastic control problem is presented.…

We study Cauchy problems of fractional differential equations in both space and time variables by expressing the solution in terms of ``stochastic composition" of the solutions to two simpler problems. These Cauchy sub-problems respectively…

Using the variational approach and the critical point theory, we established several criteria for the existence of at least one nontrivial solution for a discrete elliptic boundary value problem with a weight $p(\cdot, \cdot)$ and depending…

In this paper we give an $L_p$-theory for stochastic parabolic equations with random fractional Laplacian operator. The driving noises are general L\'evy processes.

We introduce a fractional variant of the Cahn-Hilliard equation settled in a bounded domain and with a possibly singular potential. We first focus on the case of homogeneous Dirichlet boundary conditions, and show how to prove the existence…

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…

For backward stochastic Volterra integral equations (BSVIEs, for short), under some mild conditions, the so-called adapted solutions or adapted M-solutions uniquely exist. However, satisfactory regularity of the solutions is difficult to…

This paper is concerned with the differential sensitivity analysis of variational inequalities in Banach spaces whose solution operators satisfy a generalized Lipschitz condition. We prove a sufficient criterion for the directional…