Related papers: Second order backward stochastic differential equa…
In this paper we propose a new kind of high order numerical scheme for backward stochastic differential equations(BSDEs). Unlike the traditional $\theta$-scheme, we reduce truncation errors by taking $\theta$ carefully for every subinterval…
We analyze the polynomial solutions of the linear differential equation $p_2(x)y''+p_1(x)y'+p_0(x)y=0$ where $p_j(x)$ is a $j^{\rm th}$-degree polynomial. We discuss all the possible polynomial solutions and their dependence on the…
The paper deals with the numerical solution of the nonlinear Ito stochastic differential equations (SDEs) appearing in the unravelling of quantum master equations. We first develop an exponential scheme of weak order 1 for general globally…
In this paper we discuss new types of differential equations which we call anticipated backward stochastic differential equations (anticipated BSDEs). In these equations the generator includes not only the values of solutions of the present…
This paper is concerned with the existence and uniqueness of weak solutions to the Cauchy-Dirichlet problem of backward stochastic partial differential equations (BSPDEs) with nonhomogeneous terms of quadratic growth in both the gradient of…
We generalize the algorithm for semi-linear parabolic PDEs in Henry-Labord\`ere (2012) to the non-Markovian case for a class of Backward SDEs (BSDEs). By simulating the branching process, the algorithm does not need any backward regression.…
The main subject of this paper is the study of analytic second order linear partial differential equations. We aim to solve the classical equations and some more, in the real or complex analytical case. This is done by introducing methods…
In this note we survey results in recent research papers on the use of Lie groups in the study of partial differential equations. The focus will be on parabolic equations, and we will show how the problems at hand have solutions that seem…
Stochastic-periodic homogenization is studied for the Maxwell equations with nonlinear and periodic electric conductivity. It is shown by the stochastic-two-scale convergence method that the sequence of solutions of a class of highly…
We develop a new integration technique allowing one to construct a rich manifold of particular solutions to multidimensional generalizations of classical $C$- and $S$-integrable Partial Differential Equations (PDEs). Generalizations of…
We study reflected solutions of one-dimensional backward doubly stochastic differential equations (BDSDEs in short). The "reflected" keeps the solution above a given stochastic process. We get the uniqueness and existence by penalization.…
Backward stochastic differential equations (BSDEs) belong nowadays to the most frequently studied equations in stochastic analysis and computational stochastics. BSDEs in applications are often nonlinear and high-dimensional. In nearly all…
This paper presents a class of Two-Step General Linear Methods for the numerical solution of Retarded Functional Differential Equations. Explicit methods up to order five are constructed. To avoid order reduction for mildly stiff problems…
This paper presents a class of Two-Step General Linear Methods for the numerical solution of Retarded Functional Differential Equations. Explicit methods up to order five are constructed. To avoid order reduction for mildly stiff problems…
We prove an existence and uniqueness result for two-obstacle problem for quasilinear Stochastic PDEs (DOSPDEs for short). The method is based on the probabilistic interpretation of the solution by using the backward doubly stochastic…
Mathematical mean-field approaches have been used in many fields, not only in Physics and Chemistry, but also recently in Finance, Economics, and Game Theory. In this paper we will study a new special mean-field problem in a purely…
The purpose of the research is to find the numerical solutions to the system of time dependent nonlinear parabolic partial differential equations (PDEs) utilizing the Modified Galerkin Weighted Residual Method (MGWRM) with the help of…
We review recent results on the analysis of singular stochastic partial differential equations in the language of paracontrolled distributions.
We develop a procedure to implement the method of quadric ansatz to a class of second order partial differential equations (PDEs), which includes the four-dimensional K\"ahler-Einstein equation with symmetry and the one-sided type-D…
In this article we study solutions to second order linear difference equations with variable coefficients. Under mild conditions we provide closed form solutions using finite continued fraction representations. The proof of the results are…