Related papers: Solvability of finite state forward-backward stoch…
The ensemble-averaged dynamics of open quantum systems are typically irreversible. We show that this irreversibility need not hold at the level of individually monitored quantum trajectories. Our main results are analytical stochastic…
In this paper implicit and explicit exact difference schemes (EDS) for system $\textbf{x}' = A\textbf{x}$ of three linear differential equations with constant coefficients are constructed. Numerical simulations for stiff problem and for…
In the present paper, a robust approach to a special class of convex feasibility problems is considered. By techniques of convex and variational analysis, conditions for the existence of robust feasible solutions and related error bounds…
In this paper we show the existence and uniqueness of strong solutions for a large class of backward SPDE where the coefficients satisfy a specific type Lyapunov condition instead of the classical coercivity condition. Moreover, based on…
Explicit solutions for a class of linear backward stochastic differential equations (BSDE) driven by Gaussian Volterra processes are given. These processes include the multifractional brownian motion and the multifractional…
In this paper, we focus on a family of backward stochastic differential equations (BSDEs) with sub-differential operators that are driven by infinite-dimensional martingales which involve symmetry, that is, the process involves a positive…
In this note, we present a new numerical method for solving backward stochastic differential equations. Our method can be viewed as an analogue of the classical finite element method solving deterministic partial differential equations.
In this paper, we study the existence of random periodic solutions for semilinear stochastic differential equations. We identify these as the solutions of coupled forward-backward infinite horizon stochastic integral equations in general…
We propose a new method for the numerical solution of backward stochastic differential equations (BSDEs) which finds its roots in Fourier analysis. The method consists of an Euler time discretization of the BSDE with certain conditional…
We consider a system of semilinear partial differential equations (PDEs) with a nonlinearity depending on both the solution and its gradient. The Neumann boundary condition depends on the solution in a nonlinear manner. The uniform…
In the paper we develop a general theory of solvability of linear inhomogeneous boundary-value problems for systems of first-order ordinary differential equations in spaces of smooth functions on a finite interval. This problems are set…
This paper addresses the challenge of time-inconsistent stochastic control within a continuous-time framework. Its primary focus lies in uncovering a probabilistic representation, specifically in the shape of a system of backward stochastic…
The objective of the present paper is to investigate the solution of fully coupled mean-field forward-backward stochastic differential equations (FBSDEs in short) and to study the stochastic control problems of mean-field type as well as…
With the terminal value $|\xi|$ admitting some given exponential moment, we put forward and prove several existence and uniqueness results for the unbounded solutions of quadratic backward stochastic differential equations whose generators…
The exponential stability, in both mean square and almost sure senses, for energy solutions to a class of nonlinear and non-autonomous stochastic PDEs with finite memory is investigated. Various criteria for stability are obtained. An…
A nonlinear stochastic differential equation with the order of nonlinearity higher than one, with several discrete and distributed delays and time varying coefficients is considered. It is shown that the sufficient conditions for…
In this paper, we study the multi-dimensional mean-field backward stochastic differential equations (BSDEs, for short) with quadratic growth. Under small terminal value, the existence and uniqueness are proved for the multi-dimensional…
A supersymmetric method for the construction of so-called conditionally exactly solvable quantum systems is reviewed and extended to classical stochastic dynamical systems characterized by a Fokker-Planck equation with drift. A class of…
We propose a forward-backward splitting dynamical system for solving inclusion problems of the form $0\in A(x)+B(x)$ in Hilbert spaces, where $A$ is a maximal operator and $B$ is a single-valued operator. Involved operators are assumed to…
We study stochastic delay differential equations (SDDE) where the coefficients depend on the moving averages of the state process. As a first contribution, we provide sufficient conditions under which a linear path functional of the…