Related papers: Approximation Theorems For Reflected Stochastic Di…

Solutions to many important partial differential equations satisfy bounds constraints, but approximations computed by finite element or finite difference methods typically fail to respect the same conditions. Chang and Nakshatrala enforce…

This article deals with the numerical approximation of effective coefficients in stochastic homogenization of discrete linear elliptic equations. The originality of this work is the use of a well-known abstract spectral representation…

We establish a quantitative normal approximation result for sums of random variables with multilevel local dependencies. As a corollary, we obtain a quantitative normal approximation result for linear functionals of random fields which may…

We derive a diffusion approximation for the kinetic Vlasov-Fokker-Planck equation in bounded spatial domains with specular reflection type boundary conditions. The method of proof involves the construction of a particular class of test…

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…

In this paper, we show how approximating Rockafellians serve as a principled and effective alternative for improving the stability of stochastic programs under distributional changes. Unlike previous efforts that focus on special…

The set-theoretical reflection equation and its solutions, the reflection maps, recently introduced by two of the authors, is presented in general and then applied in the context of quadrirational Yang-Baxter maps. We provide a method for…

In this paper, we introduce the idea of stochastic integrals with respect to an increasing process in the $G$-framework and extend $G$-It\^o's formula. Moreover, we study the solvability of the scalar valued stochastic differential…

In this paper, we study doubly reflected Backward Stochastic Differential Equations defined on probability spaces equipped with filtration satisfying only the usual assumptions of right continuity and completeness in the case where the…

In this paper we investigate the existence and uniqueness of bounded, periodic and almost periodic solutions for second order differential equations involving reflection of the argument.The relationship between frequency modules of forced…

This paper is devoted to the study of reflected Stochastic Differential Equations with jumps when the constraint is not on the paths of the solution but acts on the law of the solution. This type of reflected equations have been introduced…

We study the problem of the existence, uniqueness and stability of solutions of reflected stochastic differential equations (SDEs) with a minimality condition depending on the law of the solution (and not on the paths). We require that some…

In this paper, we study the mean reflected stochastic differential equations driven by G-Brownian motion, where the constraint depends on the expectation of the solution rather than on its paths. Well-posedness is achieved by first…

In this paper, we study the backward stochastic differential equation (BSDE) with two nonlinear mean reflections, which means that the constraints are imposed on the distribution of the solution but not on its paths. Based on the backward…

We propose a new dynamical reflection algebra, distinct from the previous dynamical boundary algebra and semi-dynamical reflection algebra. The associated Yang-Baxter equations, coactions, fusions, and commuting traces are derived. Explicit…

We study the convergence of these operators in a weighted space of functions on a positive semi-axis and estimate the approximation by using a new type of weighted modulus of continuity and error estimation.

An existence and uniqueness theorem for a class of stochastic delay differential equations is presented, and the convergence of Euler approximations for these equations is proved under general conditions. Moreover, the rate of almost sure…

In this paper, we provide a theoretical analysis of the recently introduced weakly adversarial networks (WAN) method, used to approximate partial differential equations in high dimensions. We address the existence and stability of the…

In this paper, we prove new convergence results improving the ones by Chassagneux, Elie and Kharroubi [Ann. Appl. Probab. 22 (2012) 971--1007] for the discrete-time approximation of multidimensional obliquely reflected BSDEs. These BSDEs,…

We consider the stochastic Swift-Hohenberg equation on a large domain near its change of stability. We show that, under the appropriate scaling, its solutions can be approximated by a periodic wave, which is modulated by the solutions to a…