Related papers: Differentiability of backward stochastic different…
The theory of imprecise Markov chains has achieved significant progress in recent years. Its applicability, however, is still very much limited, due in large part to the lack of efficient computational methods for calculating…
It is often said that control and estimation problems are in duality. Recently, in (Aubin-Frankowski,2021), we found new reproducing kernels in Linear-Quadratic optimal control by focusing on the Hilbert space of controlled trajectories,…
We obtain Calder{\'o}n-Zygmund estimates for some degenerate equations of Kolmogorov type with inhomogeneous coefficients. We then derive the well-posedness of the martingale problem associated to related degenerate operators, and therefore…
In this paper, we discuss the solvability of backward stochastic differential equations (BSDEs) with superquadratic generators. We first prove that given a superquadratic generator, there exists a bounded terminal value, such that the…
In this work we introduce and analyze a new multiscale method for strongly nonlinear monotone equations in the spirit of the Localized Orthogonal Decomposition. A problem-adapted multiscale space is constructed by solving linear local…
We consider a stochastic version of the proximal point algorithm for optimization problems posed on a Hilbert space. A typical application of this is supervised learning. While the method is not new, it has not been extensively analyzed in…
The paper deals with the existence and uniqueness of the solution of the backward stochastic variational inequality: \begin{equation} \left\{\begin{array} {l}-dY_{t}+\partial \varphi(Y_{t})dt \ni F(t,Y_{t},Z_{t})dt-Z_{t}dB_{t},\;0\leq t<T…
Often considered in numerical simulations related to the control of quantum systems, the so-called monotonic schemes have not been so far much studied from the functional analysis point of view. Yet, these procedures provide an efficient…
We consider an elliptic Kolmogorov equation $\lambda u - Ku = f$ in a separable Hilbert space $H$. The Kolmogorov operator $K$ is associated to an infinite dimensional convex gradient system: $dX = (AX - DU(X))dt + dW (t)$, where $A $ is a…
In this paper, we consider the solvability problems for the fully coupled forward-backward stochastic difference equations (FBS{\Delta}Es) on spaces related to discrete time, finite state processes. On one hand, we provide the necessary and…
In this paper, we investigate infinite horizon jump-diffusion forward-backward stochastic differential equations under some monotonicity conditions. We establish an existence and uniqueness theorem, two stability results and a comparison…
We consider backward stochastic differential equations (BSDE) with nonlinear generators typically of quadratic growth in the control variable. A measure solution of such a BSDE will be understood as a probability measure under which the…
We establish existence and uniqueness for a wide class of Markovian systems of backward stochastic differential equations (BSDE) with quadratic nonlinearities. This class is characterized by an abstract structural assumption on the…
We consider some certain nonlinear perturbations of the stochastic linear-quadratic optimization problems and study the connections between their solutions and the corresponding Markovian backward stochastic diferential equations (BSDEs).…
We deal with a class of semilinear parabolic PDEs on the space of continuous functions that arise, for example, as Kolmogorov equations associated to the infinite-dimensional lifting of path-dependent SDEs. We investigate existence of…
We study the nonlinear operator of mapping the terminal value $\xi$ to the corresponding minimal supersolution of a backward stochastic differential equation with the generator being monotone in $y$, convex in $z$, jointly lower…
We consider a stochastic control problem, where the control domain is convex and the system is governed by a nonlinear backward stochastic differential equation. With a L1 terminal data, we derive necessary optimality conditions in the form…
Initially introduced in the framework of quantum control, the so-called "monotonic algorithms" have demonstrated excellent numerical performance when dealing with bilinear optimal control problems. This paper presents a unified formulation…
We study optimal control problems governed by abstract infinite dimensional stochastic differential equations using the dynamic programming approach. In the first part, we prove Lipschitz continuity, semiconcavity and semiconvexity of the…
In this paper, the distribution dependent stochastic differential equation in a separable Hilbert space with a Dini continuous drift is investigated. The existence and uniqueness of weak and strong solutions are obtained. Moreover, some…