Related papers: Reflected Skorokhod equations and the Neumann boun…
In this paper, we aim to study solutions of reflected generalized BSDEs, involving the integral with respect to a continuous process, which is the local time of the diffusion on the boundary. We consider both a finite random terminal and a…
We deal with probabilistic numerical solutions for linear elliptic equations with Neumann boundary conditions in a Lipschitz domain, by using a probabilistic numerical scheme introduced by Milstein and Tretyakov based on new numerical layer…
In this article, we are interested in an initial value optimal control problem for a evolutionary $p$-Laplace equation driven by multiplicative L\'{e}vy noise. We first present wellposedness of a weak solution by using an implicit time…
For boundary value problem of an elliptic equation with variable coefficients describing the physical field distribution in inhomogeneous media, the Levi function can represent the solution in terms of volume and surface potentials, with…
This paper studies the problem of optimally extracting nonrenewable natural resource in light of various financial and economic restrictions and constraints. Taking into account the fact that the market values of the main natural resources…
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…
In this paper, we consider a "compensated" random sum that arises from numerical approximation of stochastic integrations and differential equations. We show that the compensated sum exhibits some surprising cancellations among its…
We consider a sequence of Leray-Hopf weak solutions of the 2D Navier-Stokes equations on a bounded domain, in the vanishing viscosity limit. We provide sufficient conditions on the associated vorticity measures, away from the boundary,…
We prove the existence and uniqueness of non-negative entropy solutions of the obstacle problem for stochastic porous media equations. The core of the method is to combine the entropy formulation with the penalization method.
We consider a class of stochastic control problems where the state process is a probability measure-valued process satisfying an additional martingale condition on its dynamics, called measure-valued martingales (MVMs). We establish the…
In this paper we first investigate zero-sum two-player stochastic differential games with reflection with the help of theory of Reflected Backward Stochastic Differential Equations (RBSDEs). We will establish the dynamic programming…
In this paper, we solve exit problems for a level-dependent L\'evy process which is exponentially killed with a killing intensity that depends on the present state of the process. Moreover, we analyse the respective resolvents. All…
This paper studies the Neumann boundary value problem for sum Hessian equations. We first derive a priori $C^2$ estimates for $(k-1)$-admissible solutions in almost convex and uniformly $(k-1)$-convex domains, and prove the existence of…
In this paper we give a comprehensive treatment of a two-penalty boundary obstacle problem for a divergence form elliptic operator, motivated by applications to fluid dynamics and thermics. Specifically, we prove existence, uniqueness and…
Using probabilistic methods we study the existence of viscosity solutions to non-linear integro-differential equations $$\partial_t u(t,x) - \sup_{\alpha \in I} \bigg( b_{\alpha}(x) \cdot \nabla_x u(t,x) + \frac{1}{2}…
This paper is dedicated to the stability analysis of the optimal solutions of a control problem associated with a semilinear elliptic equation. The linear differential operator of the equation is neither monotone nor coercive due to the…
We deal with an inverse problem arising in corrosion detection. The presence of corrosion damage is modeled by a nonlinear boundary condition on the inaccessible portion of the metal specimen. We propose a method for the approximate…
In this paper, we address the stochastic representation problem in discrete time under (non-linear) g-expectation. We establish existence and uniqueness of the solution, as well as a characterization of the solution. As an application, we…
This article studies the problem of estimating the state variable of non-smooth subdifferential dynamics constrained in a bounded convex domain given some real-time observation. On the one hand, we show that the value function of the…
In the present note, we show that, as a priori bounds, the vorticity dynamics derived from Leray's backward self-similarity hypothesis admits only trivial solution in viscous as well as inviscid flows. By analogy, there is no non-zero…