相关论文: A Note on BSDEs with singular coefficients
We consider an infinite horizon, obliquely reflected backward stochastic differential equation (RBSDE). The main contribution of the present work is that we generalize previous results on infinite horizon reflected BSDEs to the setting…
In this paper we consider a class of second order singular homogeneous differential equations called the Lane-Emden-type with time singularity in the drift coefficient. Lane-Emden equations are singular initial value problems that model…
We study generalized backward stochastic differential equations (BSDEs) up to a random time horizon $\vartheta$, which is not a stopping time, under minimal assumptions regarding the properties of $\vartheta$. In contrast to existing works…
A Bismut type formula is established for the extrinsic derivative of distribution dependent SDEs. The main result is illustrated by nondegenerate DDSDEs with space time singular drift, as well as degenerate DDSDEs with weakly monotone…
In this paper we study nodal deformations of singular surfaces $S\subset \mathbb P^3$. In particular we consider the case in which $S$ has an isolated singularity of multiplicity $m$ and the case in which $S$ has only ordinary singularities…
The present paper is devoted to the study of backward stochastic differential equations with mean reflection formulated by Briand et al. [7]. We investigate the solvability of a generalized mean reflected BSDE, whose driver also depends on…
A notion of a particular integrability is introduced when two operators commute on a subspace of the space where they act. Particular integrals for one-dimensional (quasi)-exactly-solvable Schroedinger operators and Calogero-Sutherland…
We study in this article the existence and uniqueness of solutions to a class of stochastic transport equations with irregular coefficients and unbounded divergence. In the first result we assume the drift is $L^{2}([0,T] \times \R^{d})\cap…
In this note, we prove that if $g$ is uniformly continuous in $z$, uniformly with respect to $(\oo,t)$ and independent of $y$, the solution to the backward stochastic differential equation (BSDE) with generator $g$ is unique.
We study singularity confinement phenomena in examples of delay-differential Painlev\'e equations, which involve shifts and derivatives with respect to a single independent variable. We propose a geometric interpretation of our results in…
In this paper we consider a singular wave equation with distributional and more singular non-distributional coefficients and develop tools and techniques for the phase-space analysis of such problems. In particular we provide a detailed…
We consider parabolic PDEs associated with fractional type operators drifted by non-linear singular first order terms. When the drift enjoys some boundedness properties in appropriate Lebesgue and Besov spaces, we establish by exploiting a…
The existence and degeneracies of quantum exceptional, diabolical, and hybrid (i.e., diabolically degenerated exceptional) singularities of simple bosonic systems composed of up to five modes with damping and/or amplification are analyzed.…
We consider Backward Stochastic Differential Equations (BSDE) with generators that grow quadratically in the control variable. In a more abstract setting, we first allow both the terminal condition and the generator to depend on a vector…
In this article, we study a boundary value problem of a class of singular linear discrete time systems whose coefficients are non-square constant matrices or square with a matrix pencil which has an identically zero determinant. By taking…
When inclusions with extreme conductivity (insulator or perfect conductor) are closely located, the gradient of the solution to the conductivity equation can be arbitrarily large. And computation of the gradient is extremely challenging due…
We introduce and develop the concepts of Geometric Backward Stochastic Differential Equations (GBSDEs, for short) and two-driver BSDEs. We demonstrate their natural suitability for modeling continuous-time dynamic return risk measures. We…
In this work we investigate the dynamics of the nonlinear DDE (delay-differential equation) x''(t)+x(t-T)+x(t)^3=0 where T is the delay. For T=0 this system is conservative and exhibits no limit cycles. For T>0, no matter how small, an…
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…
A backward stochastic differential equation (BSDE) is an SDE of the form $-dY_t = f(t,Y_t,Z_t)dt - Z_t^*dW_t;\ Y_T = \xi$. The subject of BSDEs has seen extensive attention since their introduction in the linear case by Bismut (1973) and in…