Related papers: Reflected Skorokhod equations and the Neumann boun…
We address a class of backward stochastic differential equations on a bounded interval, where the driving noise is a marked, or multivariate, point process. Assuming that the jump times are totally inaccessible and a technical condition…
This paper is concerned with H\"older regularity of viscosity solutions of second-order, fully non-linear elliptic integro-differential equations. Our results rely on two key ingredients: first we assume that, at each point of the domain,…
This paper studies the stochastic optimal control of jump-diffusion processes and the associated fully nonlinear backward stochastic Hamilton--Jacobi--Bellman (BSHJB) equations. We establish the dynamic programming principle (DPP) via…
This work provides a comparison principle for viscosity solutions to boundary value problems on (partially) bounded, cylindrical spaces. The comparison principle is based on a test function framework, that allows for the simultaneous…
Viscosity solutions are suitable notions in the study of nonlinear PDEs justified by estimates established via the maximum principle or the comparison principle. Here we prove that the isoperimetric profile functions of Riemannian manifolds…
We establish a recursive representation that fully decouples jumps from a large class of multivariate inhomogeneous stochastic differential equations with jumps of general time-state dependent unbounded intensity, not of L\'evy-driven type…
This paper examines the applicability of the Skorokhod representation theorem in filtrated probability spaces for the utility maximization problem in the Kabanov conic model of multi-asset markets with proportional transaction costs. A key…
We obtain an error estimate between viscosity solutions and \delta-viscosity solutions of nonhomogeneous fully nonlinear uniformly elliptic equations. The main assumption, besides uniform ellipticity, is that the nonlinearity is…
We consider obstacle problems for nonlinear stochastic evolution equations. More precisely, the leading operator in our equation is a nonlinear, second order pseudomonotone operator of Leray-Lions type. The multiplicative noise term is…
This work is concerned with existence and uniqueness of solutions to the reflection problem for linear parabolic equation with multiplicative Gaussian noise.
We investigate the large-time behavior of three types of initial-boundary value problems for Hamilton-Jacobi Equations with nonconvex Hamiltonians. We consider the Neumann or oblique boundary condition, the state constraint boundary…
We consider two main inverse Sturm-Liouville problems: the problem of recovery of the potential and the boundary conditions from two spectra or from a spectral density function. A simple method for practical solution of such problems is…
The equivalence of three different definitions of viscosity solutions for the integro-differential equation with the L{\'e}vy operator is shown in this paper. The key is Lemma 2.1, in which we construct a sequence of the approximating test…
In this paper, we propose an original approach to stochastic control problems. We consider a weak formulation that is written as an optimization (minimization) problem on the space of probability measures. We then introduce a penalized…
We study a system of nonlinear partial differential equations modeling the electrokinetics of a nematic electrolyte material consisting of various ion species suspended in a nematic liquid crystal within a bounded domain in two or three…
In this article, we prove the local $C^{0,\alpha}$ regularity and provide $C^{0,\alpha}$ estimates for viscosity solutions of fully nonlinear, possibly degenerate, elliptic equations associated to linear or nonlinear Neumann type boundary…
We present a new error analysis for finite element methods for a linear-quadratic elliptic optimal control problem with Neumann boundary control and pointwise control constraints. It can be applied to standard finite element methods when…
In this article we introduce an asymptotic preserving scheme designed to compute the solution of a two dimensional elliptic equation presenting large anisotropies. We focus on an anisotropy aligned with one direction, the dominant part of…
This paper is devoted to the study of fully nonlinear stochastic Hamilton-Jacobi (HJ) equations for the optimal stochastic control problem of ordinary differential equations with random coefficients. Under the standard Lipschitz continuity…
This paper devoted to study of fractional elliptic equations driven a multiplicative noise. By combining the eigenfunction expansion method for symmetry elliptic operators, the variation of constant formula for strong solutions to scalar…