Related papers: Stochastic representation of solutions for the par…

We study a time-inhomogeneous nonlinear SDE with drift and diffusion governed by state-dependent variable exponents. This framework generalizes models like the geometric Brownian motion (GBM) and the constant elasticity of variance (CEV),…

The work concerns a type of backward multivalued McKean-Vlasov stochastic differential equations. First, we prove the existence and uniqueness of solutions for backward multivalued McKean-Vlasov stochastic differential equations. Then, it…

We study stochastic delay differential equations (SDDE) where the coefficients depend on the moving averages of the state process. As a first contribution, we provide sufficient conditions under which a linear path functional of the…

This article deals with the existence and the uniqueness of solutions to quadratic and superquadratic Markovian backward stochastic differential equations (BSDEs for short) with an unbounded terminal condition. Our results are deeply linked…

We study linear stochastic partial differential equations of parabolic type. We consider a new boundary value problem where a Cauchy condition is replaced by a prescribed average of the solution either over time and probabilistic space for…

In this paper, we address the problem of existence and uniqueness of a global classical solution to a multidimensional stochastic Burgers equation without gradient-type assumptions on the force or the initial condition. The equation is…

Considering stochastic partial differential equations of parabolic type with random coefficients in vector-valued H\"older spaces, we obtain a sharp Schauder estimate. As an application, the existence and uniqueness of solution to the…

We consider Cauchy problem for a divergence form second order parabolic operator with rapidly oscillating coefficients that are periodic in spatial variable and random stationary ergodic in time. As was proved in [25] and [13] in this case…

This paper is an attempt to extend the notion of viscosity solution to nonlinear stochastic partial differential integral equations with nonlinear Neumann boundary condition. Using the recently developed theory on generalized backward…

We study stochastic differential equations(SDEs) with a small perturbation parameter. Under the dissipative condition on the drift coefficient and the local Lipschitz condition on the drift and diffusion coefficients we prove the existence…

In this article, we introduce a new class of parabolic-type pseudo differential equations with variable coefficients over the p-adics. We establish the existence and uniqueness of solutions for the Cauchy problem associated with these…

In this paper, we study the Cauchy problem for a quasilinear degenerate parabolic stochastic partial differential equation driven by a cylindrical Wiener process. In particular, we adapt the notion of kinetic formulation and kinetic…

In this paper, we show the existence and uniqueness of viscosity solution to the Cauchy-Dirichlet problem for a class of fully nonlinear parabolic equations. This extends recent results of Eyssidieux-Guedj-Zeriahi.

In this article we study (possibly degenerate) stochastic differential equations (SDE) with irregular (or discontiuous) coefficients, and prove that under certain conditions on the coefficients, there exists a unique almost everywhere…

We construct a probabilistic representation of a system of fully coupled parabolic equations arising as a model describing spatial segregation of interacting population species. We derive a closed system of stochastic equations such that…

We study the Cauchy problem for fully nonlinear (stochastic) parabolic partial differential equations. We provide both in deterministic and stochastic case the existence of a maximal defined solution for the problem and we provide suitable…

In this paper, we study the Cauchy problem for a nonlinear wave equation with frictional and viscoelastic damping terms. Our aim is to obtain the threshold, to classify the global existence of solution for small data or the finite time…

We consider an SDE in R^m of the type dX(t)=a(X(t))dt+dU(t) with a L\'evy process U and study the problem for the distribution of a solution to be regular in various senses. We do not impose any specific conditions on the L\'evy measure of…

In this paper, we consider a stochastic decision problem for a system governed by a stochastic differential equation, in which an optimal decision is made in such a way to minimize a vector-valued accumulated cost over a finite-time horizon…

The main result of this paper is to prove that viscosity solutions to a parabolic free boundary problem with variable coefficients are Lipschitz continuous under the assumptions that the solution has a Lipschitz free boundary and satisfies…