Related papers: Linear stochastic differential equations with func…
The expressions of solutions for general $n\times m$ matrix-valued inhomogeneous linear stochastic differential equations are derived. This generalizes a result of Jaschke (2003) for scalar inhomogeneous linear stochastic differential…
We discuss a class of stochastic second-order PDEs in one space-dimension with an inner boundary moving according to a possibly non-linear, Stefan-type condition. We show that proper separation of phases is attained, i.e., the solution…
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…
In this work we provide conditions for the existence of solutions to nonlinear boundary value problems of the form \begin{equation*} y(t+n)+a_{n-1}(t)y(t+n-1)+\cdots a_0(t)y(t)=g(t,y(t+m-1)) \end{equation*} subject to \begin{equation*}…
This article is related to risk-sensitive nonzero-sum stochastic differential games in the Markovian framework. This game takes into account the attitudes of the players toward risk and the utility is of exponential form. We show the…
Based on the analysis of a certain class of linear operators on a Banach space, we provide a closed form expression for the solutions of certain linear partial differential equations with non-autonomous input, time delays and stochastic…
This work focuses on the well-posedness of McKean-Vlasov stochastic differential delay equations. Under suitable lipschitz conditions on the drift and diffusion terms, along with a distribution dependent Lyapunov condition, this paper shows…
In this paper we consider a class of boundary value problems for third order nonlinear functional differential equation. By the reduction of the problem to operator equation we establish the existence and uniqueness of solution and…
We present a condition for a stochastic differential equation dX_{t}={\mu}(t,X_{t})dt+{\sigma}(t,X_{t})dB_{t} to have a unique functional solution of the form Z(t,B_{t}). The condition expresses a relation between {\mu} and {\sigma}. A…
We study first order linear partial differential equations that appear, for example, in the analysis of dimishing urn models with the help of the method of characteristics and formulate sufficient conditions for a central limit theorem.
This paper studies the moment boundedness of solutions of linear stochastic delay differential equations with distributed delay. For a linear stochastic delay differential equation, the first moment stability is known to be identical to…
Semilinear stochastic evolution equations with multiplicative L\'evy noise and monotone nonlinear drift are considered. Unlike other similar works, we do not impose coercivity conditions on coefficients. We establish the continuous…
Moving boundary problems allow to model systems with phase transition at an inner boundary. Driven by problems in economics and finance, in particular modeling of limit order books, we consider a stochastic and non-linear extension of the…
In order to understand the impact of random influences at physical boundary on the evolution of multiscale systems, a stochastic partial differential equation model under a fast random dynamical boundary condition is investigated. The…
In this article we show the existence of a random-field solution to linear stochastic partial differential equations whose partial differential operator is hyperbolic and has variable coefficients that may depend on the temporal and spatial…
Conditions for the unique solvability of the Cauchy problem for a family of scalar functional differential equations are obtained. These conditions are sufficient for the solvability of the Cauchy problem for every equation from the family…
The paper contains a review of results on linear systems of ordinary differential equations of an arbitrary order on a finite interval with the most general inhomogeneous boundary conditions in Sobolev spaces. The character of the…
In this paper, we study the eigenvalue problem of stochastic Hamiltonian system driven by Brownian motion and Markov chain with boundary conditions and time-dependent coefficients. For any dimensional case, the existence of the first…
We introduce a new class of stochastic processes which are stationary, Markovian and characterized by an infinite range of time-scales. By transforming the Fokker-Planck equation of the process into a Schrodinger equation with an…
We first state a special type of It\^o formula involving stochastic integrals of both standard and fractional Brownian motions. Then we use Doss-Sussman transformation to establish the link between backward doubly stochastic differential…