Related papers: Stochastic PDEs involving a bilaplacian operator
We study parabolic stochastic partial differential equations (SPDEs), driven by two types of operators: one linear closed operator generating a $C_0-$semigroup and one linear bounded operator with Wick-type multiplication, all of them set…
In this paper, we present a complete stochastic realization theory for stochastic jump-linear systems. We present necessary and sufficient conditions for the existence of a realization, along with a characterization of minimality in terms…
Stochastic differential equations (SDEs) offer powerful and accessible mathematical models for capturing both deterministic and probabilistic aspects of dynamic behavior across a wide range of physical, financial, and social systems.…
We study a homogenization question for stochastic divergence type operator
In this paper we give an explicit representation of the solutions of a characteristic Cauchy problem for a class of PDEs with singular coefficients. We give the explicit solutions in terms of the Gauss hypergeometric functions, which enable…
In this work the existence of solutions of one-dimensional backward dou- bly stochastic differential equations (BDSDEs in short) where the coefficient is left-Lipschitz in y (may be discontinuous) and Lipschitz in z is studied. Also, the…
We consider long term average or `ergodic' optimal control poblems with a special structure: Control is exerted in all directions and the control costs are proportional to the square of the norm of the control field with respect to the…
Pathwise uniqueness for stochastic PDEs with drift in differential form is a main open problem in the recent literature on regularisation by noise. This paper establishes a self-contained theory in the framework of stochastic evolution…
This paper studies the well-posedness of a class of nonlocal parabolic partial differential equations (PDEs), or equivalently equilibrium Hamilton-Jacobi-Bellman equations, which has a strong tie with the characterization of the equilibrium…
We study singular stochastic control of a two dimensional stochastic differential equation, where the first component is linear with random and unbounded coefficients. We derive existence of an optimal relaxed control and necessary…
In this paper we characterize the definiteness of the discrete symplectic system, study a nonhomogeneous discrete symplectic system, and introduce the minimal and maximal linear relations associated with these systems. Fundamental…
It is shown that multisoliton solutions of several well known nonlinear PDEs(x, t) can be obtained by certain separation of variables: each n-soliton arises from a mutual solution of a nonlinear ODE(x), common for all NPDEs considered, and…
In this paper we discuss the stability of stochastic differential equations and the interplay between the moment stability of a SDE and the topology of the underlying manifold. Sufficient and necessary conditions are given for the moment…
We describe some monotone properties of solutions to second order linear difference equations with real constant coefficients. As an application, we give a characterization of the Fibonacci numbers.
We consider a bilevel continuous knapsack problem where the leader controls the capacity of the knapsack, while the follower chooses a feasible packing maximizing his own profit. The leader's aim is to optimize a linear objective function…
We prove an existence and uniqueness result for the obstacle problem for quasilinear stochastic integral-partial differential equations. Our method is based on the probabilistic interpretation of the solution using backward doubly SDEs with…
The study of existence and uniqueness of solutions became important due to the lack of general formula for solving nonlinear ordinary differential equations (ODEs). Compact form of existence and uniqueness theory appeared nearly 200 years…
The object of this paper is a one-dimensional generalized porous media equation (PDE) with possibly discontinuous coefficient $\beta$, which is well-posed as an evolution problem in $L^1(\mathbb{R})$. In some recent papers of Blanchard et…
The qualitative analysis of the initial value problem P related to a non linear third order parabolic equation typical of diffusive models is discussed. Some basic properties of the the fundamental solution of a related linear operator are…
In this paper, we present a general framework for solving stochastic functional differential equations in infinite dimensions in the sense of martingale solutions, which can be applied to a large class of SPDE with finite delays, e.g.…