Related papers: Forward and Backward Stochastic Differential Equat…
In this paper, we first investigate the well-posedness of a backward stochastic differential equation where the driver depends on the law of the solution conditioned to a common noise. Under standard assumptions, we show that existence and…
This work concerns generalized backward stochastic differential equations, which are coupled with a family of reflecting diffusion processes. First of all, we establish the large deviation principle for forward stochastic differential…
In order to understand the impact of random influences at physical boundary on the evolution of multiscale systems, a stochastic partial differential equation model under a fast random dynamical boundary condition is investigated. The…
In this paper a new class of generalized backward doubly stochastic differential equations is investigated. This class involves an integral with respect to an adapted continuous increasing process. A probabilistic representation for…
In this paper, we deal with Reflected Backward Stochastic Differential Equations for which the constraint is not on the paths of the solution but on its law as introduced by Briand, Elie and Hu in [3]. We extend the recent work [2] of…
This paper is devoted to the study of reflected Stochastic Differential Equations when the constraint is not on the paths of the solution but acts on the law of the solution. These reflected equations have been introduced recently by…
We study the asymptotic behaviour of solutions of Forward Backward Stochastic Differential Equations in the coupled case, when the diffusion coefficient of the forward equation is multiplicatively perturbed by a small parameter that…
In this paper, we study the asymptotic behavior of a semi-linear slow-fast stochastic partial differential equation with singular coefficients. Using the Poisson equation in Hilbert space, we first establish the strong convergence in the…
This paper develops a theory of propagation of chaos for a system of weakly interacting particles whose terminal configuration is fixed as opposed to the initial configuration as customary. Such systems are modeled by backward stochastic…
We derive the existence and uniqueness of the generalized backward doubly stochastic differential equation with sub-differential of a lower semi-continuous convex function under a non Lipschitz condition. This study allows us give a…
We consider one-dimensional stochastic differential equations with a boundary condition, driven by a Poisson process. We study existence and uniqueness of solutions and the absolute continuity of the law of the solution. In the case when…
We study the asymptotic behavior of stochastic hyperbolic parabolic equations with slow and fast time scales. Both the strong and weak convergence in the averaging principe are established, which can be viewed as a functional law of large…
We consider reflected generalized backward doubly stochastic differential equations driven by a non-homogeneous L\'evy process. Under stochastic conditions on the coefficients, we prove the existence and uniqueness of a solution.…
A recently proposed stochastic hidden variable model for quantum mechanics has been claimed to involve "retrocausality" due to the appearance of equations of motion with future-time boundary conditions. We formulate an equivalent system of…
A system of partial differential equations representing stochastic neural fields was recently proposed with the aim of modelling the activity of noisy grid cells when a mammal travels through physical space. The system was rigorously…
The connection between forward backward doubly stochastic differential equations and the optimal filtering problem is established without using the Zakai's equation. The solutions of forward backward doubly stochastic differential equations…
This paper is intended to give a probabilistic representation for stochastic viscosity solution of semi-linear reflected stochastic partial differential equations with nonlinear Neumann boundary condition. We use it connection with…
In this paper, we study a class of multi-dimensional reflected backward stochastic differential equations when the noise is driven by a Brownian motion and an independent Poisson point process, and when the solution is forced to stay in a…
This paper analyzes the discretization of a Neumann boundary control problem with a stochastic parabolic equation, where an additive noise occurs in the Neumann boundary condition. The convergence is established for general filtrations, and…
By analogy with the theory of Backward Stochastic Differential Equations, we define Backward Stochastic Difference Equations on spaces related to discrete time, finite state processes. This paper considers these processes as constructions…