Related papers: Functional differential equations driven by c\`adl…
In this paper, a class of reflected generalized backward doubly stochastic differential equations (reflected GBDSDEs in short) driven by Teugels martingales associated with L\'{e}vy process and the integral with respect to an adapted…
Automorphic fundamental solutions and, more generally, solutions of automorphic differential equations, play a key role in the Diaconu-Garrett-Goldfeld prescription for spectral identities involving moments of L-functions as well as other…
It is shown that the solution maps of an abstract functional differential equations (FDEs) are $\alpha$-contractions in the phase space equipped with an equivalent norm under appropriate assumptions. This result can be applied to…
Differential equations perturbed by multiplicative fractional Brownian motions are considered. Depending on the value of the Hurst parameter $H$, the resulting equation is pathwise viewed as an ODE, YDE, or RDE. In all three regimes we show…
In this paper, we deal with a class of reflected backward stochastic differential equations associated to the subdifferential operator of a lower semi-continuous convex function driven by Teugels martingales associated with L\'{e}vy…
A new approach to the analytic theory of difference equations with rational and elliptic coefficients is proposed. It is based on the construction of canonical meromorphic solutions which are analytical along "thick paths". The concept of…
We show in this note how the machinery of C^1-approximate flows devised in the work "Flows driven by rough paths", and applied there to reprove and extend most of the results on Banach space-valued rough differential equations driven by a…
In 1990, in It\^o's stochastic calculus framework, Aubin and Da Prato established a necessary and sufficient condition of invariance of a nonempty compact or convex subset $C$ of $\mathbb R^d$ ($d\in\mathbb N^*$) for stochastic differential…
We prove the existence and uniqueness of solutions of SDEs with Lipschitz coefficients, driven by continuous, model-free martingales. The main tool in our reasoning is Picard's iterative procedure and a model-free version of the…
We focus on a class of path-dependent problems which include path-dependent (possibly Integro) PDEs, and their representation via BSDEs driven by a cadlag martingale. For those equations we introduce the notion of decoupled mild solution…
We construct stable periodic solutions for a simple form nonlinear delay differential equation (DDE) with a periodic coefficient. The equation involves one underlying nonlinearity with the multiplicative periodic coefficient. The well-known…
This paper extends the results of Ma, Wu, Zhang, Zhang [11] to the context of path-dependent multidimensional forward-backward stochastic differential equations (FBSDE). By path-dependent we mean that the coefficients of the…
Given a linear differential equation with coefficients in $\mathbb{Q}(x)$, an important question is to know whether its full space of solutions consists of algebraic functions, or at least if one of its specific solutions is algebraic.…
This work concerns a type of path-dependent multivalued McKean-Vlasov stochastic differential equations. First of all, we prove the well-posedness for path-dependent multivalued stochastic differential equations under the Lipschitz…
We develop a nonanticipative calculus for functionals of a continuous semimartingale, using an extension of the Ito formula to path-dependent functionals which possess certain directional derivatives. The construction is based on a pathwise…
Modern problems in AI or in numerical analysis require nonsmooth approaches with a flexible calculus. We introduce generalized derivatives called conservative fields for which we develop a calculus and provide representation formulas.…
Within the context of rough path analysis via fractional calculus, we show how variability can be used to prove the existence of integrals with respect to H\"older continuous multiplicative functionals in the case of Lipschitz coefficients…
We prove a large deviation principle for the slow-fast rough differential equations under the controlled rough path framework. The driver rough paths are lifted from the mixed fractional Brownian motion with Hurst parameter $H\in…
The existence of random dynamical systems for McKean--Vlasov SDEs is established. This is approached by considering the joint dynamics of the corresponding nonlinear Fokker-Planck equation governing the law of the system and the underlying…
We prove convergence of piecewise polynomial collocation methods applied to periodic boundary value problems for functional differential equations with state-dependent delays. The state dependence of the delays leads to nonlinearities that…