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In this paper, we develop numerical methods for solving Stochastic Differential Equations (SDEs) with solutions that evolve within a hypercube $D$ in $\mathbb{R}^d$. Our approach is based on a convex combination of two numerical flows, both…
We present a deep learning algorithm for the numerical solution of parametric families of high-dimensional linear Kolmogorov partial differential equations (PDEs). Our method is based on reformulating the numerical approximation of a whole…
Developing algorithms for solving high-dimensional partial differential equations (PDEs) has been an exceedingly difficult task for a long time, due to the notoriously difficult problem known as the "curse of dimensionality". This paper…
We deal with a class of semilinear parabolic PDEs on the space of continuous functions that arise, for example, as Kolmogorov equations associated to the infinite-dimensional lifting of path-dependent SDEs. We investigate existence of…
In this paper, we consider numerical approximation to periodic measure of a time periodic stochastic differential equations (SDEs) under weakly dissipative condition. For this we first study the existence of the periodic measure $\rho_t$…
We prove the existence of periodic solutions in a class of nonlinear partial differential equations, including the nonlinear Schroedinger equation, the nonlinear wave equation, and the nonlinear beam equation, in higher dimension. Our…
We introduce a novel numerical approach for a class of stochastic dynamic programs which arise as discretizations of backward stochastic differential equations or semi-linear partial differential equations. Solving such dynamic programs…
Stochastic differential equations (SDEs) using jump-diffusion processes describe many natural phenomena at the microscopic level. Since they are commonly used to model economic and financial evolutions, the calibration and optimal control…
Using continuation methods and bifurcation theory, we study the exact multiplicity of periodic solutions, and the global solution structure, for three classes of periodically forced equations with singularities, including the equations…
We propose a new algorithm for a broad class of periodic time-varying Stochastic Game-Theoretic Riccati Differential Equations arising in Zero-Sum Linear-Quadratic Stochastic Differential Games. The algorithm is constructed via dual-layer…
This paper deals with the existence of solutions for an elliptic system of partial differential equations. The solution method is based on the sub- and super-solutions approach. An application to a stochastic control problem is presented.…
Minimax optimization problems have attracted a lot of attention over the past few years, with applications ranging from economics to machine learning. While advanced optimization methods exist for such problems, characterizing their…
We present a new solver for coupled nonlinear elliptic partial differential equations (PDEs). The solver is based on pseudo-spectral collocation with domain decomposition and can handle one- to three-dimensional problems. It has three…
In this paper we study jump-diffusion stochastic differential equations (SDEs) with a discontinuous drift coefficient and a possibly degenerate diffusion coefficient. Such SDEs appear in applications such as optimal control problems in…
In this article, we investigate the existence and properties of time-periodic solutions for damped evolutionary partial differential equations subject to periodic forcing. Particular emphasis is placed on configurations where the energy…
A class of backward doubly stochastic differential equations (BDSDEs in short) with continuous coefficients is studied. We give the comparison theorems, the existence of the maximal solution and the structure of solutions for BDSDEs with…
In this paper, we investigate stochastic continuity (with respect to the initial value), irreducibility and non confluence property of the solutions of stochastic differential equations with jumps. The conditions we posed are weaker than…
The purpose of this paper is to study the existence of (weak) periodic solutions for nonlocal fractional equations with periodic boundary conditions. These equations have a variational structure and, by applying a critical point result…
In this paper, we study the existence of random periodic solutions for semilinear stochastic differential equations. We identify them as solutions of coupled forward-backward infinite horizon stochastic integral equations (IHSIEs), using…
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…