相关论文: The Viability Property for Path-dependent SDE unde…

This paper investigates existence results for path-dependent differential equations driven by a H{\"o}lder function where the integrals are understood in the Young sense. The two main results are proved via an application of Schauder…

We study stochastic differential equations (SDEs) whose drift and diffusion coefficients are path-dependent and controlled. We construct a value process on the canonical path space, considered simultaneously under a family of singular…

We prove the existence of density for the solution to the multiplicative semilinear stochastic heat equation on an unbounded spatial domain, with drift term satisfying a half-Lipschitz type condition. The methodology is based on a careful…

Let $U,H$ be two separable Hilbert spaces and $T>0$. We consider an SDE which evolves in the Hilbert space $H$ of the form \begin{align} dX(t)=AX(t)dt+\widetilde{\mathscr L}B(X(t))dt+GdW(t), \quad t\in[0,T], \quad X(0)=x \in H, \end{align}…

We propose a novel stochastic method to generate Brownian paths conditioned to start at an initial point and end at a given final point during a fixed time $t_{f}$ under a given potential $U(x)$. These paths are sampled with a probability…

We consider the behaviour of holomorphic functions on a bounded open subset of the plane, satisfying a Lipschitz condition with exponent $\alpha$, with $0<\alpha<1$, in the vicinity of an exceptional boundary point where all such functions…

In this paper, we study conditions under which the solutions of a backward stochastic differential equation with jump remains in a given set of constrains. This property is the so-called "viability property". As an application, we study the…

This paper studies stochastic boundedness of trajectories of a nonvanishing stochastically perturbed stable LTI system. First, two definitions on stochastic boundedness of stochastic processes are presented, then the boundedness is analyzed…

We present the non-Markovian generalization of the widely used stochastic Schrodinger equation. Our result allows to describe open quantum systems in terms of stochastic state vectors rather than density operators, without approximation.…

This paper concerns parameterized convex infinite (or semi-infinite) inequality systems whose decision variables run over general infinite-dimensional Banach (resp. finite-dimensional) spaces and that are indexed by an arbitrary fixed set T…

This paper introduces a convenient solution space for the uniformly elliptic fully nonlinear path dependent PDEs. It provides a wellposedness result under standard Lipschitz-type assumptions on the nonlinearity and an additional assumption…

This paper is dedicated to the analysis of forward backward stochastic differential equations driven by a L{\'e}vy process. We assume that the generator and the terminal condition are path-dependent and satisfy a local Lipschitz condition.…

We present an alternative proof for the existence of solutions of stochastic functional differential equations satisfying a global Lipschitz condition. The proof is based on an approximation scheme in which the continuous path dependence…

We consider flows of ordinary differential equations (ODEs) driven by path differentiable vector fields. Path differentiable functions constitute a proper subclass of Lipschitz functions which admit conservative gradients, a notion of…

In this paper, under a one-sided Lipschitz condition on the drift coefficient we adopt (via contraction principle) a exponential approximation argument to investigate large deviations for neutral stochastic functional differential…

In this paper, we show the weak and strong well-posedness of density dependent stochastic differential equations driven by $\alpha$-stable processes with $\alpha \in(1,2)$. The existence part is based on Euler's approximation as…

In this paper, we study well-posedness of McKean-Vlasov stochastic differential equations (SDE) whose drift depends pointwisely on marginal density and satisfies a local integrability condition in time-space variables. The drift and noise…

We show that a Lipschitz domain can be expanded solely near a part of its boundary, assuming that the part is enclosed by a piecewise C1 curve. The expanded domain as well as the extended part are both Lipschitz. We apply this result to…

We consider approximations of the Stefan-type condition by imbalances of volume closely around the inner interface and study convergence of the solutions of the corresponding semilinear stochastic moving boundary problems. After a…

We study Malliavin differentiability for the solutions of a stochastic differential equation with drift of super-linear growth. Assuming we have a monotone drift with polynomial growth, we prove Malliavin differentiability of any order. As…