相关论文: A Note on BSDEs with singular coefficients

The well-posedness and exponential ergodicity are proved for stochastic Hamiltonian systems containing a singular drift term which is locally integrable in the component with noise. As an application, the well-posedness and uniform…

A Backward Stochastic Differential Equation (BSDE) with a Peano-type generator, is known to have infinitely many solutions when the terminal value is vanishing, and is shown to have possibly multiple solutions even when the terminal value…

In this paper we investigate a class of decoupled forward-backward SDEs, where the volatility of the FSDE is degenerate and the terminal value of the BSDE is a discontinuous function of the FSDE. Such an FBSDE is associated with a…

This paper concerns with some of the results related to the singular solutions of certain types of non-linear integrable differential equations (NIDE) and behavior of the singularities of those equations. The approach heavily relies on the…

A degenerate Schr\"{o}dinger equation under fractional integral damping is considered. Here the damping term is singular and not integrable and we consider the two cases when damping acting on the degenerate boundary and nondegenerate…

We study uniqueness for a class of Volterra-type stochastic integral equations. We focus on the case of non-Lipschitz noise coefficients. The connection of these equations to certain degenerate stochastic partial differential equations…

We study the behaviour of solutions of ordinary differential equations of the second order with singular points, where the coefficients of the second-order derivative vanishes. In particular, we consider solutions entering a singular point…

It is well known that the Bernoulli polynomials $\mathbf{B}_n(x)$ have nonintegral coefficients for $n \geq 1$. However, ten cases are known so far in which the derivative $\mathbf{B}'_n(x)$ has only integral coefficients. One may assume…

We show existence and uniqueness of solutions to BSDEs of the form $$ Y_t = \xi + \int_t^T f(s,Y_s,Z_s)ds - \int_t^T Z_s dW_s$$ in the case where the terminal condition $\xi$ has bounded Malliavin derivative. The driver $f(s,y,z)$ is…

We study the relationship between singularities of finite-dimensional integrable systems and singularities of the corresponding spectral curves. For the large class of integrable systems on matrix polynomials, which is a general framework…

This work deals with singular stochastic PDEs driven by non-translation invariant differential operators. We describe the renormalized equation for a very large class of spacetime dependent renormalization schemes. Our approach bypasses in…

We establish sufficient conditions for the existence and uniqueness of different types of delayed BSDEs in finite time horizon. We consider then infinite horizon, replacing the terminal value condition in the finite horizon case with a…

In this paper, we study one-dimensional backward stochastic differential equation (BSDE, for short), whose coefficient $f$ is Lipschitz in $y$ but only continuous in $z$. In addition, if the terminal condition $\xi$ has bounded Malliavin…

We consider It\^o uniformly nondegenerate equations with random coefficients. When the coefficients satisfy some low regularity assumptions with respect to the spatial variables and Malliavin differentiability assumptions on the sample…

The type-Q equations lie on the top level of the hierarchy introduced by Adler, Bobenko and Suris (ABS) in their classification of discrete counterparts of KdV-type integrable partial differential equations. We ask what singularities are…

We study multidimensional backward stochastic differential equations (BSDEs) which cover the logarithmic nonlinearity u log u. More precisely, we establish the existence and uniqueness as well as the stability of p-integrable solutions (p >…

In this paper, we study a scalar linearly growing BSDE with a weakly $L^{1+}$-integrable terminal value. We prove that the BSDE admits a solutionif the terminal value satisfies some $\Psi$-integrability condition, which is weaker than the…

In this paper we discuss new types of differential equations which we call anticipated backward stochastic differential equations (anticipated BSDEs). In these equations the generator includes not only the values of solutions of the present…

In this article, we study systems of $n \geq 1$, not necessarily linear, discrete differential equations (DDEs) of order $k \geq 1$ with one catalytic variable. We provide a constructive and elementary proof of algebraicity of the solutions…

In a first step, we establish the existence (and sometimes the uniqueness) of solutions for a large class of quadratic backward stochastic differential equations (QBSDEs) with continuous generator and a merely square integrable terminal…