Related papers: Strong solutions for jump-type stochastic differen…
We consider the following stochastic partial differential equation, \begin{align*} &dY_t=L^\ast Y_tdt+A^\ast Y_t\cdot dB_t\\ &Y_0=\psi, \end{align*} associated with a stochastic flow $\{X(t,x)\}$, for $t \geq 0$, $x \in \mathbb{R}^d$, as in…
We establish an integration by parts formula based on jumps times in an abstract framework in order to study the regularity of the law for processes solution of stochastic differential equations with jumps.
In this article, we prove the existence of bounded solutions of quadratic backward SDEs with jumps, that is to say for which the generator has quadratic growth in the variables (z,u). From a technical point of view, we use a direct fixed…
This article aims to investigate sufficient conditions for the stability of stochastic differential equations with a random structure, particularly in contexts involving the presence of concentration points. The proof of asymptotic…
We study the rate of convergence of an explicit and an implicit-explicit finite difference scheme for linear stochastic integro-differential equations of parabolic type arising in non-linear filtering of jump-diffusion processes. We show…
The stochastic Euler scheme is known to converge to the exact solution of a stochastic differential equation with globally Lipschitz continuous drift and diffusion coefficient. Recent results extend this convergence to coefficients which…
In this report, we address differential systems with Lipschitz non linearities; this study is motivated by the subject of vibrations of structures with unilateral springs or non linear stress-strain law close to the linear case. We consider…
We study a nonlinear elliptic equation driven by the degenerate fractional p-Laplacian, with Dirichlet type condition and a jumping reaction, i.e., (p-1)-linear both at infinity and at zero but with different slopes crossing the principal…
The strong convergence of Euler approximations of stochastic delay differential equations is proved under general conditions. The assumptions on drift and diffusion coefficients have been relaxed to include polynomial growth and only…
By using coupling arguments, Harnack type inequalities are established for a class of stochastic (functional) differential equations with multiplicative noises and non-Lipschitzian coefficients. To construct the required couplings, two…
The work concerns a class of path-dependent McKean-Vlasov stochastic differential equations with unknown parameters. First, we prove the existence and uniqueness of these equations under non-Lipschitz conditions. Second, we construct…
In this paper, we obtain stability results for backward stochastic differential equations with jumps (BSDEs) in a very general framework. More specifically, we consider a convergent sequence of standard data, each associated to their own…
We address a class of backward stochastic differential equations on a bounded interval, where the driving noise is a marked, or multivariate, point process. Assuming that the jump times are totally inaccessible and a technical condition…
It is well-known that a stochastic differential equation (sde) on a Euclidean space driven by a (possibly infinite-dimensional) Brownian motion with Lipschitz coefficients generates a stochastic flow of homeomorphisms. If the Lipschitz…
Motivated by applications to a manifold of semilinear and quasilinear stochastic partial differential equations (SPDEs) we establish the existence and uniqueness of strong solutions to coercive and locally monotone SPDEs driven by L\'{e}vy…
In this article, we establish integration by parts formulas for the solutions of McKean-Vlasov stochastic differential equations with jumps under elliptic coefficients. The derived formulas accommodate both derivatives with respect to…
Strong solutions of the non-stationary Navier-Stokes equations under non-linearized slip or leak boundary conditions are investigated. We show that the problems are formulated by a variational inequality of parabolic type, to which…
In this paper, we study backward stochastic differential equations (BSDEs shortly) with jumps that have Lipschitz generator in a general filtration supporting a Brownian motion and an independent Poisson random measure. Under just…
We study semi-dynamical systems associated to delay differential equations. We give a simple criteria to obtain weak and strong persistence and provide sufficient conditions to guarantee uniform persistence. Moreover, we show the existence…
This work concerns a type of coupled McKean-Vlasov stochastic differential equations (MVSDEs in short) with jumps. First, we prove superposition principles for these coupled MVSDEs with jumps and non-local space-distribution dependent…