Related papers: One-dimensional game-theoretic differential equati…

In this paper, we study the well-posedness and regularity of non-autonomous stochastic differential algebraic equations (SDAEs) with nonlinear, locally Lipschitz and monotone (2) coefficients of the form (1). The main difficulty is the fact…

We consider a Cauchy problem for a (first-order) path-dependent Hamilton--Jacobi equation with coinvariant derivatives and a right-end boundary condition. Such problems arise naturally in the study of properties of the value functional in…

We prove that a tournament and its complement contain the same number of oriented Hamiltonian paths (resp. cycles) of any given type, as a generalization of Rosenfeld's result proved for antidirected paths.

We consider a stochastic Volterra integral equation with regular path-dependent coefficients and a Brownian motion as integrator in a multidimensional setting. Under an imposed absolute continuity condition, the unique solution is a…

We present a systematic method to derive an ordinary differential equation for any Feynman integral, where the differentiation is with respect to an external variable. The resulting differential equation is of Fuchsian type. The method can…

Conventional finite-difference schemes for solving partial differential equations are based on approximating derivatives by finite-differences. In this work, an alternative theory is proposed which view finite-difference schemes as…

In several standard models of dynamic programming (gambling houses, MDPs, POMDPs), we prove the existence of a very robust notion of value for the infinitely repeated problem, namely the pathwise uniform value. This solves two open…

We consider Mean Field Games without idiosyncratic but with Brownian type common noise. We introduce a notion of solutions of the associated backward-forward system of stochastic partial differential equations. We show that the solution…

We study the existence of classical solutions to a broad class of local, first order, forward-backward Extended Mean Field Games systems, that includes standard Mean Field Games, Mean Field Games with congestion, and mean field type control…

In this paper, we prove the large deviation principle (LDP) for stochastic differential equations driven by stochastic integrals in one dimension. The result can be proved with a minimal use of rough path theory, and this implies the LDP…

We study distribution dependent stochastic differential equation driven by a continuous process, without any specification on its law, following the approach initiated in [16]. We provide several criteria for existence and uniqueness of…

Using a new notion of path-derivative, we study well-posedness of backward stochastic differential equation driven by a continuous martingale $M$ when $f(s,\gamma,y,z)$ is locally Lipschitz in $(y,z)$:…

Let M be a compact Riemannian manifold without boundary and let H be a self-adjoint generalized Laplace operator acting on sections in a bundle over M. We give a path integral formula for the solution to the corresponding heat equation.…

We study finite-dimensional integrals in a way that elucidates the mathematical meaning behind the formal manipulations of path integrals occurring in quantum field theory. This involves a proper understanding of how Wick's theorem allows…

A non-Grassmanian path integral representation is given for the solution of the Klein-Gordon and the Dirac equations. The trajectories of the path integral are rendered differentiable by the relativistic corrections. The nonrelativistic…

We prove an infinite analogue of the main theorem of discrete Morse theory formulated in terms of discrete Morse matchings. Our theorem holds under the assumption that the given Morse matching induces finitely many equivalence classes of…

We study the problem of existence, uniqueness and approximation of solutions of finite dimensional Stratonovich stochastic differential equations with reflecting boundary condition driven by semimartingales with jumps. As an application we…

We formulate and analyze game-theoretic problems for systems governed by integral equations. For Volterra integral equations, we obtain and prove necessary and sufficient conditions for linear-quadratic problems, and for problems that are…

This paper studies a class of impulsive neutral stochastic partial differential equations in real Hilbert spaces. The main goal here is to consider the Trotter-Kato approximations of mild solutions of such equations in the $p$th-mean…

In a noise driving by a multivariate point process $\mu$ with predictable compensator $\nu$, we prove existence and uniqueness of the reflected backward stochastic differential equation's solution with a lower obstacle…