Related papers: On existence and uniqueness properties for solutio…
In this article, we obtain existence and uniqueness results to some problems involving complex nonlinear fractional differential equations (FDEs) in the closed unit disc of C. By help of these results, we prove that some IVPs for some…
In this paper, we propose efficient quantum algorithms for solving nonlinear stochastic differential equations (SDE) via the associated Fokker-Planck equation (FPE). We discretize the FPE in space and time using two well-known numerical…
We examine the Lie symmetries of a semi-linear partial differential equations and their connections to the analogous symmetries of the forward-backward stochastic differential equations (FBSDEs), established through the generalized…
We prove a new uniqueness result for solutions to Fokker-Planck-Kolmogorov (FPK) equations for probability measures on infinite-dimensional spaces. We consider infinite-dimensional drifts that admit certain finite-dimensional…
We consider regularity properties of stochastic kinetic equations with multiplicative noise and drift term which belongs to a space of mixed regularity ($L^p$-regularity in the velocity-variable and Sobolev regularity in the…
A large class of physically important nonlinear and nonhomogeneous evolution problems, characterized by advection-like and diffusion-like processes, can be usefully studied by a time-differential form of Kolmogorov's solution of the…
It is known that Markovian forward-backward stochastic differential equations provide nonlinear Feynman-Kac representation formulae for semilinear parabolic PDEs. We show that non-Markovian forward-backward stochastic differential equations…
We prove the existence and uniqueness of the fundamental solution for Kolmogorov operators associated to some stochastic processes, that arise in the Black & Scholes setting for the pricing problem relevant to path dependent options. We…
In this paper, we consider the Cauchy problem of semi-linear degenerate backward stochastic partial differential equations (BSPDEs in short) under general settings without technical assumptions on the coefficients. For the solution of…
In this paper we study time-inhomogeneous versions of one-dimensional Stochastic Differential Equations (SDE) involving the Local Time of the unknown process on curves. After proving existence and uniqueness for these SDE under mild…
We provide an existence and uniqueness theory for an extension of backward SDEs to the second order. While standard Backward SDEs are naturally connected to semilinear PDEs, our second order extension is connected to fully nonlinear PDEs,…
We prove and implement stochastic solution (or Feynman-Kac) formulas for boundary value problems involving the spectral fractional Laplacian with nonzero Dirichlet boundary condition. The main tools used in the proofs are the abstract…
In this paper, we study the existence of random periodic solutions for semilinear stochastic partial differential equations with multiplicative linear noise on a bounded open domain ${\cal O}\subset {\mathbb R}^d$ with smooth boundary. We…
A summary of the relationship between the Langevin equation, Fokker-Planck-Kolmogorov forward equation (FPKfe) and the Feynman path integral descriptions of stochastic processes relevant for the solution of the continuous-discrete filtering…
Unique existence of analytically strong solutions to stochastic partial differential equations (SPDE) with drift given by the subdifferential of a quasi-convex function and with general multiplicative noise is proven. The proof applies a…
We study a semilinear PDE generalizing the Fujita equation whose evolution operator is the sum of a fractional power of the Laplacian and a convex non-linearity. Using the Feynman-Kac representation we prove criteria for asymptotic…
In this paper we prove several results related to the existence and uniqueness of solution to coupled highly nonlinear stochastic partial differential equations (PDEs). These equations are motivated by the dynamics of nematic liquid…
In this paper, we study the existence of random periodic solutions for semilinear SPDEs on a bounded domain with a smooth boundary. We identify them as the solutions of coupled forward-backward infinite horizon stochastic integral 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 use some tools from nonlinear analysis to study two examples of singular stochastic elliptic PDEs that cannot be solved by the contraction principle or the Schauder fixed point theorem. Let $\xi$ stand for a spatial white noise on a…