Related papers: Approximation Theorems For Reflected Stochastic Di…
The aim of this paper is to develop a general method for constructing approximation schemes for viscosity solutions of fully nonlinear pathwise stochastic partial differential equations, and for proving their convergence. Our results apply…
We present new generalized Jacobson's lemma for generalized Drazin inverses. This extend the main results on g-Drazin inverse of Yan, Zeng and Zhu (Linear $\&$ Multilinear Algebra, {\bf 68}(2020), 81--93).
In this paper, we study reflected backward stochastic differential equation (reflected BSDE in abbreviation) with rank-based data in a Markovian framework; that is, the solution to the reflected BSDE is above a prescribed boundary process…
We consider the Boltzmann equation with external fields in strictly convex domains with diffuse reflection boundary condition. As long as the normal derivative of external fields satisfy some sign condition on the boundary (1.8) we…
The paper analyzes and compares some spectral filtering methods as truncated singular/eigen-value decompositions and Tikhonov/Re-blurring regularizations in the case of the recently proposed Reflective [M.K. Ng, R.H. Chan, and W.C. Tang, A…
In this paper, we build the equivalence between rough differential equations driven by the lifted $G$-Brownian motion and the corresponding Stratonovich type SDE through the Wong-Zakai approximation. The quasi-surely convergence rate of…
We investigate properties of holomorphic extensions in the one-variable case of Whitney's Approximation Theorem on intervals. Improving a result of Gauthier-Kienzle, we construct tangentially approximating functions which extend…
We show that for general-type self-adjoint and skew-self-adjoint Dirac systems on the semi-axis Weyl functions are unique analytic extensions of the reflection coefficients. New results on the extension of the Weyl functions to the real…
The symmetric decreasing rearrangement of functions on $\mathbb{R}^n$ features in several seminal inequalities, such as the P\'olya-Szeg\H{o} inequality. The latter was shown by the authors to hold for all smoothing rearrangements, a class…
In this paper, we first establish the reflected backward stochastic difference equations with finite state (FS-RBSDEs for short). Then we explore the Existence and Uniqueness Theorem as well as the Comparison Theorem by "one step" method.…
We present a short overview of the recent results in the theory of diffusion and wave equations with generalised derivative operators. We give generic examples of such generalised diffusion and wave equations, which include time-fractional,…
We introduce a new class of reflected backward stochastic differential equations with two c\`adl\`ag barriers, which need not satisfy any separation conditions. For that reason, in general, the solutions are not semimartingales. We prove…
In this paper we study random iterated function systems. Our main result gives sufficient conditions for an analogue of a well known theorem due to Khintchine from Diophantine approximation to hold almost surely for stochastically…
In this paper, we provide an estimate for the solutions of reflected backward stochastic differential equations (RBSDEs) driven by a Markov chain, derive a continuous dependence property for their solutions with respect to the parameters of…
We show that for any uniformly elliptic fully nonlinear second-order equation with bounded measurable "coefficients" and bounded "free" term one can find an approximating equation which has a unique continuous and having the second…
We consider systems of backward stochastic differential equations with c\`adl\`ag upper barrier $U$ and oblique reflection from below driven by an increasing continuous function $H$. Our equations are defined on general probability spaces…
In this work, an efficient approximation scheme has been proposed for getting accurate approximate solution of nonlinear partial differential equations with constant or variable coefficients satisfying initial conditions in a series of…
We develop a diffusion approximation for systems subject to fast random resetting by small amplitudes. Equivalently, this describes systems with frequent but small catastrophes. We demonstrate the validity of the approximation by computing…
We extend the Ito -to- Stratonovich analysis or quantum stochastic differential equations, introduced by Gardiner and Collett for emission (creation), absorption (annihilation) processes, to include scattering (conservation) processes.…
In this paper, we study discrete approximation of reflected Brownian motions on domains in Euclidean space. Our approximation is given by a sequence of Markov chains on partitions of the domain, where we allow uneven or random partitions.…