Related papers: Multivalued backward stochastic differential equat…
Our aim is to study the existence and uniqueness of the $L^{p}$ - variational solution, with $p>1,$ of the following multivalued backward stochastic differential equation with $p$-integrable data: \[ \left\{ \begin{align*}…
In this paper we establish the strong existence, pathwise uniqueness and a comparison theorem to a stochastic partial differential equation driven by Gaussian colored noise with non-Lipschitz drift, H\"older continuous diffusion…
This article studies the solutions of time-dependent differential inclusions which is motivated by their utility in the modeling of certain physical systems. The differential inclusion is described by a time-dependent set-valued mapping…
IIn this paper, we study a partially observed progressive optimal control problem of forward-backward stochastic differential equations with random jumps, where the control domain is not necessarily convex, and the control variable enter…
It is shown that non-Markovian master equations for an open system which are local in time can be unravelled through a piecewise deterministic quantum jump process in its Hilbert space. We derive a stochastic Schr\"odinger equation that…
We propose a forward-backward splitting dynamical system for solving inclusion problems of the form $0\in A(x)+B(x)$ in Hilbert spaces, where $A$ is a maximal operator and $B$ is a single-valued operator. Involved operators are assumed to…
In this paper, we are interested in solving general time interval multidimensional backward stochastic differential equations in $L^p$ $(p\geq 1)$. We first study the existence and uniqueness for $L^p$ $(p>1)$ solutions by the method of…
We prove an existence and uniqueness theorem for solutions of multidimensional, time dependent, stochastic differential equations driven simultaneously by a multidimensional fractional Brownian motion with Hurst parameter H>1/2 and a…
This paper is concerned with the stochastic linear-quadratic optimal control problem with Poisson jumps. The coefficients in the state equation and the weighting matrices in the cost functional are all deterministic but are allowed…
We consider a stochastic parabolic partial differential equation with Dirichlet boundary conditions, multiplicative stochastic noise, and a monotone parabolic operator A. The growth and coercivity of A is controlled by a general N-function…
We consider one-dimensional stochastic differential equations with a boundary condition, driven by a Poisson process. We study existence and uniqueness of solutions and the absolute continuity of the law of the solution. In the case when…
In this paper, we study backward stochastic differential equations (BSDEs shortly) with jumps that have Lipschitz generator in a general filtration supporting a Brownian motion and an independent Poisson random measure. Under just…
We consider a one-reflected backward stochastic differential equation with a general RCLL barrier in a filtration that supports a Brownian motion and an independent Poisson random measure. We establish the existence and uniqueness of a…
Given a Schr\"odinger differential expression on an exterior Lipschitz domain we prove strict inequalities between the eigenvalues of the corresponding selfadjoint operators subject to Dirichlet and Neumann or Dirichlet and mixed boundary…
This paper considers multidimensional jump type stochastic differential equations with super linear growth and non-Lipschitz coefficients. After establishing a sufficient condition for nonexplosion, this paper presents sufficient…
In this paper, we introduce a new method for study on backward stochastic differential equations with stopping time as time horizon. And using this, we show that some results on backward stochastic differential equations with constant time…
In this note, we give a necessary and sufficient condition under which the comparison theorem holds for multidimensional stochastic differential equations (SDEs) with jumps and for matrix-valued SDEs with jumps.
We propose a novel approach to monotone operator splitting based on the notion of a saddle operator. Under investigation is a highly structured multivariate monotone inclusion problem involving a mix of set-valued, cocoercive, and…
In this paper, we study a Backward Stochastic Differential Equation with Jumps (BSDEJs in short) where the jumps have infinite activity. Following a forward approach based on Exponential Quadratic semimartingale, we prove the existence of…
In this paper, we study the stochastic optimal control problem for control system with time-varying delay. The corresponding stochastic differential equation is a kind of stochastic differential delay equation. We prove the existence and…