Related papers: Approximation Theorems For Reflected Stochastic Di…
According to the Smoluchowski-Kramers approximation, the solution of the equation ${\mu}\ddot{q}^{\mu}_t=b(q^{\mu}_t)-\dot{q}^{\mu}_t+{\Sigma}(q^{\mu}_t)\dot{W}_t, q^{\mu}_0=q, \dot{q}^{\mu}_0=p$ converges to the solution of the equation…
We propose a general algorithm for approximating nonstandard Bayesian posterior distributions. The algorithm minimizes the Kullback-Leibler divergence of an approximating distribution to the intractable posterior distribution. Our method…
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…
To the Yang-Baxter equation an additional relation can be added. This is the reflection equation which appears in various places, with or without spectral parameter. For example, in factorizable scattering on a half-line, integrable lattice…
We provide a probabilistic proof of the fundamental gap estimate for Schr\"odinger operators in convex domains on the sphere, which extends the probabilistic proof of F. Gong, H. Li, and D. Luo for the Euclidean case. Our results further…
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…
We generalize the Brezzi-Rappaz-Raviart approximation theorem, which allows to obtain existence and a priori error estimates for approximations of solutions to some nonlinear partial differential equations. Our contribution lies in the fact…
Backward stochastic partial differential equations of parabolic type with variable coefficients are considered in the whole Euclidean space. Improved existence and uniqueness results are given in the Sobolev space $H^n$ ($=W^n_2$) under…
In this note, we prove the Freidlin-Wentzell's large deviation principle for BSDEs with one-sided reflection.
In this paper we study different algorithms for reflected backward stochastic differential equations (BSDE in short) with two continuous barriers basing on random work framework. We introduce different numerical algorithms by penalization…
In this work, we provide a fundamental unified convergence theorem used for deriving expected and almost sure convergence results for a series of stochastic optimization methods. Our unified theorem only requires to verify several…
Differential constraints compatible with the linearized equations of partial differential equations are examined. Recursion operators are obtained by integrating the differential constraints.
In this paper, we deal with a class of one-dimensional reflected backward stochastic differential equations with stochastic Lipschitz coefficient. We derive the existence and uniqueness of the solutions for those equations via Snell…
In this paper, we study reflected generalized backward doubly stochastic differential equations driven by Teugels martingales associated with L\'evy process (RGBDSDELs, in short) with one continuous barrier. Under uniformly Lipschitz…
The aim of this paper is to review how some approximation results in commutative algebra are being used to construct equisingular deformations of singularities. The first example of such an approximation result appeared for the first time…
We consider stationary autoregressive processes with coefficients restricted to an ellipsoid, which includes autoregressive processes with absolutely summable coefficients. We provide consistency results under different norms for the…
We study stochastic differential equations (SDEs) with multiplicative Stratonovich-type noise of the form $ dX_t = b(X_t) dt + \sigma(X_t)\circ d W_t, X_0=x_0\in\mathbb{R}^d, t\geq0,$ with a possibly singular drift $b\in…
We develop a general technique for proving convergence of repeated quantum interactions to the solution of a quantum stochastic differential equation. The wide applicability of the method is illustrated in a variety of examples. Our main…
In this paper, we study existence and uniqueness to multidimensional Reflected Backward Stochastic Differential Equation in an open convex domain, allowing for oblique directions of reflection. In a Markovian framework, combining \emph{a…
The problem of the construction of strong approximations with a given order of convergence for jump-diffusion equations is studied. General approximation schemes are constructed for L\'evy type stochastic differential equation. In…