Related papers: Weak Dirichlet processes with a stochastic control…
We consider the Dirichlet problem for a class of quasilinear elliptic systems in domain with irregular boundary. The principal part satisfies componentwise coercivity condition and the nonlinear terms are Carath\'eodory maps having Morrey…
We study diffusion processes driven by a Brownian motion with regular drift in a finite dimension setting. The drift has two components on different time scales, a fast conservative component and a slow dissipative component. Using the…
This paper firstly presents the necessary and sufficient conditions for a kind of discrete-time robust stochastic optimal control problem with convex control domains. As it is an "inf sup problem", the classical variational method is…
We discuss the identification of a time-dependent potential in a time-fractional diffusion model from a boundary measurement taken at a single point. Theoretically, we establish a conditional Lipschitz stability for this inverse problem.…
In this paper, we discuss the steady and time-dependent nonlinear convection-diffusion (advection-diffusion) equations with the Dirichlet boundary condition. For the steady nonlinear equation, we use an iteration method to reformulate the…
Using results from our companion article [arXiv:1112.4824v2] on a Schauder approach to existence of solutions to a degenerate-parabolic partial differential equation, we solve three intertwined problems, motivated by probability theory and…
We study the smoothness of the upper and lower value functions of stochastic differential games in the framework of time-homogeneous (possibly degenerate) diffusion processes in a domain, under the assumption that the diffusion, drift and…
We prove the global strong solvability of a quasilinear initial-boundary value problem with fractional time derivative of order less than one. Such problems arise in mathematical physics in the context of anomalous diffusion and the…
In this paper, we consider the approximate controllability of partial differential equations with time derivatives of non-integer order via boundary control. We first show the unique existence of the solution under smooth boundary…
We study large deviation properties of systems of weakly interacting particles modeled by It\^{o} stochastic differential equations (SDEs). It is known under certain conditions that the corresponding sequence of empirical measures…
This paper establishes explicit solutions for fractional diffusion problems on bounded domains. It also gives stochastic solutions, in terms of Markov processes time-changed by an inverse stable subordinator whose index equals the order of…
In this paper, we consider Caputo type fractional stochastic time-delay system with permutable matrices. We derive stochastic analogue of variation of constants formula via a newly defined delayed Mittag-Leffer type matrix function. Thus,…
The existence of proper weak solutions of the Dirichlet-Cauchy problem constituted by the Navier-Stokes-Fourier system which characterizes the incompressible homogeneous Newtonian fluids under thermal effects is studied. We call proper weak…
This paper investigates the initial-boundary value problem for weakly coupled systems of time-fractional subdiffusion equations with spatially and temporally varying coupling coefficients. By combining the energy method with the coercivity…
We consider an optimal control problem that entails the minimization of a nondifferentiable cost functional, fractional diffusion as state equation and constraints on the control variable. We provide existence, uniqueness and regularity…
In this short article, we shall study one-dimensional local Dirichlet spaces. One result, which has its independent interest, is to prove that irreducibility implies the uniqueness of symmetrizing measure for right Markov processes. The…
We study the Dirichlet boundary-value problem of steady-state two-sided variable-coefficient conservative space-fractional diffusion equations. We show that the Galerkin weak formulation, which was proved to be coercive and continuous for a…
Controlled one-dimensional diffusion processes, with infinitesimal variance (instead of the infinitesimal mean) depending on the control variable, are considered in an interval located on the positive half-line. The process is controlled…
We consider a class of exit time stochastic control problems for diffusion processes with discounted criterion, where the controller can utilize a given amount of resource, called "fuel". In contrast to the vast majority of existing…
We prove a sequence of limiting results about weakly dependent stationary and regularly varying stochastic processes in discrete time. After deducing the limiting distribution for individual clusters of extremes, we present a new type of…