Related papers: Explicit solution for backward stochastic Volterra…
The numerical solution of dynamical systems with memory requires the efficient evaluation of Volterra integral operators in an evolutionary manner. After appropriate discretisation, the basic problem can be represented as a matrix-vector…
A backstepping-based compensator design is developed for a system of $2\times2$ first-order linear hyperbolic partial differential equations (PDE) in the presence of an uncertain long input delay at boundary. We introduce a transport PDE to…
In the framework of fractional stochastic calculus, we study the existence and the uniqueness of the solution for a backward stochastic differential equation, formally written as: [{[c]{l}% -dY(t)= f(t,\eta(t),Y(t),Z(t))dt-Z(t)\delta…
We develop a stochastic calculus for processes which are built by convoluting a pure jump, zero expectation L\'{e}vy process with a Volterra-type kernel. This class of processes contains, for example, fractional L\'{e}vy processes as…
We deal with reflected solutions of anticipated backward doubly stochastic differential equations (RABDSDEs) driven by Teugels martingales associated with L\'evy process under a Lipschitz generator where the coefficients of these BDSDEs…
We consider numerical approximations of overdamped Langevin stochastic differential equations by implicit methods. We show a weak backward error analysis result in the sense that the generator associated with the numerical solution…
Backward stochastic differential equations (BSDEs) belong nowadays to the most frequently studied equations in stochastic analysis and computational stochastics. In this paper we prove that Picard iterations of BSDEs with globally Lipschitz…
In this paper, we formulate and investigate the notion of causal feedback strategies arising in linear-quadratic control problems for stochastic Volterra integral equations (SVIEs) with singular and non-convolution-type coefficients. We…
We consider a class of stochastic control problems with a delayed control, both in drift and diffusion, of the type dX t = $\alpha$ t--d (bdt + $\sigma$dW t). We provide a new characterization of the solution in terms of a set of Riccati…
A formula for certain exact solutions to the modified Korteweg-de Vries (mKdV) equation is obtained via the inverse scattering transform method. The kernel of the relevant Marchenko integral equation is written with the help of matrix…
The paper introduces a non-linear version of the process convolution formalism for building covariance functions for multi-output Gaussian processes. The non-linearity is introduced via Volterra series, one series per each output. We…
This paper is devoted to proving a general invariant representation theorem for generators of general time interval backward stochastic differential equations, where the generator $g$ has a quadratic growth in the unknown variable $z$ and…
We propose a finite difference scheme to simulate solutions to a certain type of hyperbolic stochastic partial differential equation (HSPDE). These solutions can in turn estimate so called volatility modulated Volterra (VMV) processes and…
We present two integrable discretisations of a general differential-difference bicomponent Volterra system. The results are obtained by discretising directly the corresponding Hirota bilinear equations in two different ways. Multisoliton…
We extend the new approach introduced in arXiv:1912.02064v2 [math.PR] and arXiv:2102.10119v1 [math.PR] for dealing with stochastic Volterra equations using the ideas of Rough Path theory and prove global existence and uniqueness results.…
In this paper we study the unique solvability of backward stochastic Volterra integral equations (BSVIEs in short), in terms of both the M-solutions introduced in [17] and the adapted solutions in [6], [12] or [14]. A general existence and…
As previously shown, the direct extension of the impulse invariance principle to Volterra kernels has to be modified in order to provide a condition for the exact modeling of mixed-signal chains. At first sight this would seem to seriously…
In this work, we present a novel forward differential deep learning-based algorithm for solving high-dimensional nonlinear backward stochastic differential equations (BSDEs). Motivated by the fact that differential deep learning can…
The present paper is devoted to the well-posedness of a type of multi-dimensional backward stochastic differential equations (BSDEs) with a diagonally quadratic generator. We give a new priori estimate, and prove that the BSDE admits a…
In this work, the z-transform is presented to analyze time-discrete solutions for Volterra integrodifferential equations (VIDEs) with nonsmooth multi-term kernels in the Hilbert space, and this class of continuous problem was first…