Related papers: On Solutions of First Order Stochastic Partial Dif…
Stochastic partial differential equations (SPDEs) represent a very active research field with numerous recent developments and breakthrough results. There are several well-established approaches and methods used to construct solutions for…
The problem of algebraic dependence of solutions to (non-linear) first order autonomous equations over an algebraically closed field of characteristic zero is given a `complete' answer, obtained independently of model theoretic results on…
We consider a specific type of nonlinear partial differential equations (PDE) that appear in mathematical finance as the result of solving some optimization problems. We review some existing in the literature examples of such problems, and…
In this paper we study a stochastic differential equation driven by a fractional Brownian motion with a discontinuous coefficient. We also give an approximation to the solution of the equation. This is a first step to define a fractional…
We study the Cauchy problem for Schr\"odinger type stochastic partial differential equations with uniformly bounded coefficients on a curved space. We give conditions on the coefficients, on the drift and diffusion terms, on the Cauchy…
Using purely probabilistic methods, we prove the existence and the uniqueness of solutions fora system of coupled forward-backward stochastic differential equations (FBSDEs) with measurable, possibly discontinuous coefficients. As a…
We consider a class of first-order partial differential operators, acting on the space of ultradifferentiable periodic functions, and we describe their range by using the following conditions on the coefficients of the operators: the…
Partial differential equations with discrete (concentrated) state-dependent delays in the space of continuous functions are investigated. In general, the corresponding initial value problem is not well posed, so we find an additional…
In this paper, we develop a new general approach to the existence and uniqueness theory of infinite dimensional stochastic equations of the form dX+A(t)Xdt = XdW in (0;T)xH, where A(t) is a nonlinear monotone and demicontinuous operator…
The Cauchy problem for fractional derivatives linear systems of ordinary differential equations with constant coefficients is considered, where at first the analytic expressions are given through the matrix exponent of its corresponding…
The existence and uniqueness of measure-valued solutions to stochastic nonlinear, non-local Fokker-Planck equations is proven. This type of stochastic PDE is shown to arise in the mean field limit of weakly interacting diffusions with…
In the framework of fractional stochastic calculus, we study the existence and the uniqueness of the solution for a backward stochastic differential equation, formally written as: [{[c]{l}% -dY(t)= f(t,\eta(t),Y(t),Z(t))dt-Z(t)\delta…
We consider a stochastic delay differential equation driven by a Holder continuous process and a Wiener process. Under fairly general assumptions on its coefficients, we prove that this equation is uniquely solvable. We also give sufficient…
A system of first-order differential equations for a particle with nonzero mass and spin $S = 1$ is constructed. As distinct from the Proca-Duffin-Kemmer (PDK) equations, the system has the form of the dynamical equation…
By the approximation method introduced in \cite{FYW}, the existence and uniqueness are proved for a class of distribution-dependent stochastic functional differential equations (DDSFDEs). Moreover, combining the Harnack and shift-Harnack…
The purpose of this paper is to establish the theory of stochastic pseudo-differential operators and give its applications in stochastic partial differential equations. First, we introduce some concepts on stochastic pseudo-differential…
We study a class of stochastic differential equations with non-Lipschitzian coefficients.A unique strong solution is obtained and a large deviation principle of Freidln-Wentzell type has been established.
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…
In this paper, we prove that there exists a unique solution to the Dirichlet boundary value problem for a general class of semilinear second order elliptic partial differential equations. Our approach is probabilistic. The theory of…
Increasingly larger data sets of processes in space and time ask for statistical models and methods that can cope with such data. We show that the solution of a stochastic advection-diffusion partial differential equation provides a…