相关论文: Minimal supersolutions of BSDEs under volatility u…
In this paper, we consider the backward stochastic differential equation (BSDE) with generator $f(y)|z|^2,$ where the function $f$ is defined on an open interval $D$ and locally integrable. The existence and uniqueness of bounded solutions…
The dynamic concave utility (or the dynamic convex risk measure) of an unbounded endowment is studied and represented as the value process in the unique solution of a backward stochastic differential equation (BSDE) with an unbounded…
Nearly convex sets play important roles in convex analysis, optimization and theory of monotone operators. We give a systematic study of nearly convex sets, and construct examples of subdifferentials of lower semicontinuous convex functions…
The asymptotic stability of the null equilibrium of a linear population model with two physiological structures formulated as a first-order hyperbolic PDE is determined by the spectrum of its infinitesimal generator. We propose an…
This paper is devoted to the study of the differentiability of solutions to real-valued backward stochastic differential equations (BSDEs for short) with quadratic generators driven by a cylindrical Wiener process. The main novelty of this…
Multivariate extreme-value analysis is concerned with the extremes in a multivariate random sample, that is, points of which at least some components have exceptionally large values. Mathematical theory suggests the use of max-stable models…
This paper is concerned with the stochastic Hamilton-Jacobi-Bellman equation with controlled leading coefficients, which is a type of fully nonlinear backward stochastic partial differential equation (BSPDE for short). In order to formulate…
Our study is dedicated to the probabilistic representation and numerical approximation of solutions to coupled systems of variational inequalities. The dynamics of each component of the solution is driven by a different linear parabolic…
There exist only four known string theories with minimal supersymmetry in eight dimensions, whose low energy effective descriptions are given by minimal supergravity coupled to $l=18$, $10$, or $2$ vector multiplets. It has been argued that…
We study a stochastic optimal control problem for forward-backward control systems with quadratic generators. In order to establish the first and second-order variational and adjoint equations, we obtain a new estimate for one-dimensional…
Submodularity is a discrete domain functional property that can be interpreted as mimicking the role of the well-known convexity/concavity properties in the continuous domain. Submodular functions exhibit strong structure that lead to…
This article establishes the existence of weak solutions for a class of mixed local-nonlocal problems with pure and perturbed singular nonlinearities. A key novelty is the treatment of variable singular exponents alongside measure-valued…
We construct the general solution for non-extremal charged rotating black holes in five-dimensional minimal gauged supergravity. They are characterised by four non-trivial parameters, namely the mass, the charge, and the two independent…
This article proves the existence and regularity of weak solutions for a class of mixed local-nonlocal problems with singular nonlinearities. We examine both the purely singular problem and perturbed singular problems. A central…
We restore part of the thermodynamic formalism for some renormalized measures that are known to be non-Gibbsian. We first point out that a recent theory due to Pfister implies that for block-transformed measures free energies and relative…
We introduce a class of backward stochastic differential equations (BSDEs) on the Wasserstein space of probability measures. This formulation extends the classical correspondence between BSDEs, stochastic control, and partial differential…
We study and compare two concepts for weak solutions to semilinear parabolic path-dependent partial differential equations (PPDEs). The first is that of mild solutions as it appears, e.g., in the log-Laplace functionals of historical…
We study a general class of quadratic BSDEs with terminal value in Lp for p > 1. First of all, we give an Lp-type estimate and existence result. Under the additional assumption of monotonicity and convexity, we derive the comparison…
Algorithms for min-max optimization and variational inequalities are often studied under monotonicity assumptions. Motivated by non-monotone machine learning applications, we follow the line of works [Diakonikolas et al., 2021, Lee and Kim,…
In this paper we study by probabilistic techniques the convergence of the value function for a two-scale, infinite-dimensional, stochastic controlled system as the ratio between the two evolution speeds diverges. The value function is…