Related papers: Representation Formula for Viscosity Solutions to …
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…
The solutions to a large class of semi-linear parabolic PDEs are given in terms of expectations of suitable functionals of a tree of branching particles. A sufficient, and in some cases necessary, condition is given for the integrability of…
We present an algorithm for the numerical solution of nonlinear parabolic partial differential equations. This algorithm extends the classical Feynman-Kac formula to fully nonlinear partial differential equations, by using random trees that…
In this work we introduce a viscosity-based notion of solution for general approximation schemes associated with partial differential equations, such as dynamic programming principles~(DPPs). A key feature of our approach is that it…
This paper is concerned with geometric motion of a closed surface whose velocity depends on a nonlocal quantity of the enclosed region. Using the level set formulation, we study a class of nonlocal Hamilton--Jacobi equations and establish a…
In this article, we propose a wellposedness theory for a class of second order backward doubly stochastic differential equation (2BDSDE). We prove existence and uniqueness of the solution under a Lipschitz type assumption on the generator,…
We study Phragm\'en-Lindel\"of properties of viscosity solutions to a class of doubly nonlinear parabolic equations in $\mathbb{R}^n\times (0,T)$. We also include an application to some doubly nonlinear equations.
In this paper we provide a generalization of a Feynmac-Kac formula under volatility uncertainty in presence of a linear term in the PDE due to discounting. We state our result under different hypothesis with respect to the derivation given…
We derive a non-linear version of the Feynman-Kac formula for the solutions of the vorticity equation in dimension 2 with space periodic boundary conditions. We prove the existence (global in time) and uniqueness for a stochastic terminal…
We introduce a notion of approximate viscosity solution for a class of nonlinear path-dependent PDEs (PPDEs), including the Hamilton-Jacobi-Bellman type equations. Existence, comparaison and stability results are established under fairly…
This paper is concerned with integral representations and asymptotic expansions of solutions to the time-periodic incompressible Navier-Stokes equations for fluid flow in the exterior of a rigid body that moves with constant velocity. Using…
In this paper, we introduce a type of path-dependent quasilinear (parabolic) partial differential equations in which the (continuous) paths on an interval [0,t] becomes the basic variables in the place of classical variables (t,x). This new…
A complex notion of backward stochastic differential equation (BSDE) is proposed in this paper to give a probabilistic interpretation for linear first order complex partial differential equation (PDE). By the uniqueness and existence of…
A representation formula for solutions of stochastic partial differential equations with Dirichlet boundary conditions is proved. The scope of our setting is wide enough to cover the general situation when the backward characteristics that…
A method for solving model nonlinear equations describing plasma oscillations in the presence of viscosity and resistivity is given. By first going to the Lagrangian variables and then transforming the space variable conveniently, the…
In this paper we introduce a multilevel Picard approximation algorithm for semilinear parabolic partial integro-differential equations (PIDEs). We prove that the numerical approximation scheme converges to the unique viscosity solution of…
We investigate various analytical and numerical techniques for the coupling of nonlinear hyperbolic systems and, in particular, we introduce here an augmented formulation which allows for the modeling of the dynamics of interfaces between…
In this paper we introduce a numerical method for nonlinear parabolic PDEs that combines operator splitting with deep learning. It divides the PDE approximation problem into a sequence of separate learning problems. Since the computational…
This paper build on our recent work where we presented a dual stochastic optimal control formulation of the nonlinear filtering problem [1]. The constraint for the dual problem is a backward stochastic differential equations (BSDE). The…
The paper is devoted to the construction of a probabilistic particle algorithm. This is related to nonlin-ear forward Feynman-Kac type equation, which represents the solution of a nonconservative semilinear parabolic Partial Differential…