Related papers: The Skorokhod problem with two nonlinear constrain…
In this paper, we provide an alternative proof of the monotonicity principle for the optimal Skorokhod embedding problem established by Beiglb\"ock, Cox and Huesmann. This principle presents a geometric characterization that reflects the…
This work contributes a systematic survey and complementary insights of reflecting Brownian motion and its properties. Extension of the Skorohod problem's solution to more general cases is investigated, based on which a discussion is…
We solve a class of doubly reflected backward stochastic differential equation whose generator depends on the resistance due to reflections, which extend the recent work of Qian and Xu on reflected BSDE with one barrier. We then obtain the…
In this paper, we study the reflected backward stochastic differential equations driven by G-Brownian motion with two reflecting obstacles, which means that the solution lies between two prescribed processes. A new kind of approximate…
This paper develops a time-inconsistent and path-dependent singular control framework incorporating a running minimum process. We derive a verification theorem that characterizes equilibria under substantially weaker regularity conditions…
In this paper, we study the backward stochastic differential equations driven by G-Brownian motion with double mean reflections, which means that the constraints are made on the law of the solution. Making full use of the backward Skorokhod…
The main theme of the article is the study of discrete systems of material points subjected to constraints not only of a geometric type (holonomic constraints) but also of a kinematic type (nonholonomic constraints). The setting up of the…
We study the existence, uniqueness and approximation of solutions of stochastic differential equations with constraints driven by processes with bounded p-variation. Our main tool are new estimates showing Lipschitz continuity of the…
We study the problem of stopping a Brownian motion at a given distribution $\nu$ while optimizing a reward function that depends on the (possibly randomized) stopping time and the Brownian motion. Our first result establishes that the set…
Motivated by the study of matter waves in Bose-Einstein condensates and coupled nonlinear optical systems, we study a system of two coupled nonlinear Schrodinger equations with inhomogeneous parameters, including a linear coupling. For that…
The deterministic Skorohod problem plays an important role in the construction and analysis of diffusion processes with reflection. In the form studied here, the multidimensional Skorohod problem was introduced, in time-independent domains,…
In this paper the one-dimensional nonparaxial nonlinear Schr\"odinger equation is considered. This was proposed as an alternative to the classical nonlinear Schr\"odinger equation in those situations where the assumption of paraxiality may…
In this paper a nonlinear coupled Schrodinger system in the presence of mixed cubic and superlinear power laws is considered. Focus are made on the steady state solutions of the continuous system for existence and uniqueness by minimizing…
We establish the existence of weak solutions of coupled systems of elliptic partial differential equations with quasimonotone nonlinearities in the domain interior and on the boundary. When the nonlinearities satisfy some monotonicity…
The existence of an unbounded sequence of solutions to a conformally invariant elliptic equation having nonlocal critical-power nonlinearity is established. The primary obstacle to establishing existence of solutions is the failure of…
We study a class of second order variational inequalities with bilateral constraints. Under certain conditions we show the existence of a unique viscosity solution of these variational inequalities and give a stochastic representation to…
In this paper we study the regularity properties of linear and polynomial images of Skorohod differentiable measures. Firstly, we obtain estimates for the Skorohod derivative norm of a projection of a product of Scorohod differentiable…
We explore singular second-order boundary value problems with mixed boundary conditions on a general time scale. Using the lower and upper solutions method combined with the Brouwer fixed point theorem we demonstrate the existence of a…
We prove the existence and $C^{1,\alpha}$ regularity of solutions to nonlocal fully nonlinear elliptic equations with gradient constraints. We do not assume any regularity about the constraints; so the constraints need not be $C^1$ or…
We establish that the boundaries of the so-called Rost's reversed barrier are the unique couple of left-continuous monotonic functions solving a suitable system of nonlinear integral equations of Volterra type. Our result holds for…