Related papers: Stochastic PDEs involving a bilaplacian operator
In this paper, we study the existence and uniqueness of solutions to stochastic differential equations driven by G-Brownian motion (GSDEs) with integral-Lipschitz conditions on their coefficients.
In this Note, we present a Calder\'on-type uniqueness theorem on the Cauchy problem of stochastic partial differential equations. To this aim, we introduce the concept of stochastic pseudo-differential operators, and establish their…
In this paper, we focus on a family of backward stochastic differential equations (BSDEs) with sub-differential operators that are driven by infinite-dimensional martingales which involve symmetry, that is, the process involves a positive…
Existence, uniqueness and stability of the solutions of linear stochastic evolution equations are investigated. The results obtained are used to prove theorems on solvability of linear second order stochastic partial differential equations…
This paper addresses the challenge of time-inconsistent stochastic control within a continuous-time framework. Its primary focus lies in uncovering a probabilistic representation, specifically in the shape of a system of backward stochastic…
We consider a class of parabolic stochastic partial differential equations featuring an antimonotone nonlinearity. The existence of unique maximal and minimal variational solutions is proved via a fixed-point argument for nondecreasing…
A stochastic differential equation with infinite memory is considered. The drift coefficient of the equation is a nonlinear functional of the past history of the solution. Sufficient conditions for existence and uniqueness of stationary…
We establish uniqueness results for quasilinear elliptic problems through the criterion recently provided in \cite{DFMST}. We apply it to generalized $p$-Laplacian subhomogeneous problems that may admit multiple nontrivial nonnegative…
Existence, uniqueness, and $L_p$-approximation results are presented for scalar stochastic differential equations (SDEs) by considering the case where, the drift coefficient has finitely many spatial discontinuities while both coefficients…
A limited participation economy models the real-world phenomenon that some economic agents have access to more of the financial market than others. We prove the global existence of a Radner equilibrium with limited participation, where the…
The aim of this article is to study the asymptotic behaviour for large times of solutions to a certain class of stochastic partial differential equations of parabolic type. In particular, we will prove the backward uniqueness result and the…
In this paper, we use bifurcation method to investigate the existence and multiplicity of one-sign solutions of the $p$-Laplacian involving a linear/superlinear nonlinearity with zeros. To do this, we first establish a bifurcation theorem…
The paper investigates existence and uniqueness for a stochastic differential equation (SDE) with distributional drift depending on the law density of the solution. Those equations are known as McKean SDEs. The McKean SDE is interpreted in…
Singular boundary value problems (SBVPs) arise in various fields of Mathematics, Engineering and Physics such as boundary layer theory, gas dynamics, nuclear physics, nonlinear optics, etc. The present monograph is devoted to systems of…
This paper studies a class of non$-$Markovian singular stochastic control problems, for which we provide a novel probabilistic representation. The solution of such control problem is proved to identify with the solution of a $Z-$constrained…
We consider the problem of estimating stochastic volatility for a class of second-order parabolic stochastic PDEs. Assuming that the solution is observed at a high temporal frequency, we use limit theorems for multipower variations and…
Since the celebrated paper by El Karoui, Peng and Quenez [Mathematical Finance, 7 (1997), 1--71], backward stochastic differential equations have found wide applications in stochastic control, financial technology and machine learning. In…
We prove an existence and uniqueness result for quasilinear Stochastic PDEs with obstacle (OSPDE in short). Our method is based on analytical technics coming from the parabolic potential theory. The solution is expressed as a pair $(u,\nu)$…
Physical processes evolving in both time and space are often modeled using Partial Differential Equations (PDEs). Recently, it has been shown how stability analysis and control of coupled PDEs in a single spatial variable can be more…
We investigate existence and uniqueness of solutions for a class of nonlinear nonlocal problems involving the fractional $p$-Laplacian operator and singular nonlinearities.