相关论文: Maximum principles for nonlocal parabolic Waldenfe…

The purpose of the paper is to establish weighted maximal $L_p$-inequalities in the context of operator-valued martingales on semifinite von Neumann algebras. The main emphasis is put on the optimal dependence of the $L_p$ constants on the…

We consider a stochastic control problem, where the control domain is convex and the system is governed by a nonlinear backward stochastic differential equation. With a L1 terminal data, we derive necessary optimality conditions in the form…

The theory of monotonicity and duality is developed for general one-dimensional Feller processes. Moreover it is shown that local monotonicity conditions (conditions on the L\'evy kernel) are sufficient to prove the well-posedness of the…

In this paper the necessary conditions of optimality in the form of maximum principle are derived for a very general class of variational problems. This class includes problems with any optimization criteria and constraints that can be…

We analyze entropy solutions for a class of Levy mixed hyperbolicparabolic equations containing a non-local (or fractional) diffusion operator originating from a pure jump Levy process. For these solutions we establish uniqueness (L1…

Markov models are widely used to describe processes of stochastic dynamics. Here, we show that Markov models are a natural consequence of the dynamical principle of Maximum Caliber. First, we show that when there are different possible…

Extreme value theory for chaotic dynamical systems is a rapidly expanding area of research. Given a system and a real function (observable) defined on its phase space, extreme value theory studies the limit probabilistic laws obeyed by…

We study Neumann type boundary value problems for nonlocal equations related to L\'evy processes. Since these equations are nonlocal, Neumann type problems can be obtained in many ways, depending on the kind of reflection we impose on the…

We prove the validity of maximum principles for a class of fully nonlinear operators on unbounded subdomains $\Omega \subset \mathbb R^n$ of cylindrical type. The main structural assumption is the uniform ellipticity of the operator along…

We examine inverse problems for the variable-coefficient nonlocal parabolic operator $(\partial_t - \Delta_g)^s$, where $0 < s < 1$. This article makes two primary contributions. First, we introduce a novel entanglement principle for these…

The paper is devoted to a systematic study and characterizations of notions of local maximal monotonicity and their strong counterparts for set-valued operators that appear in variational analysis, optimization, and their applications. We…

We establish an exact formula relating the survival probability for certain L\'evy flights (viz. asymmetric $\alpha$-stable processes where $\alpha = 1/2$) with the survival probability for the order statistics of the running maxima of two…

The slow processes of metastable stochastic dynamical systems are difficult to access by direct numerical simulation due the sampling problem. Here, we suggest an approach for modeling the slow parts of Markov processes by approximating the…

We consider nonlocal operators of the form \begin{equation*} L_t u(x) = \int_{\mathbb{R}^d} \left( u(x+y)-u(x)-\nabla u(x)\cdot y^{(\sigma)} \right) \nu_t(dy), \end{equation*} where $\nu_t$ is a general L\'evy measure of order $\sigma…

In this article, relying on Foster-Lyapunov drift conditions, we establish subexponential upper and lower bounds on the rate of convergence in the $\mathrm{L}^p$-Wasserstein distance for a class of irreducible and aperiodic Markov…

We study a control problem where the state equation is a nonlinear partial differential equation of the calculus of variation in a bounded domain, perturbed by noise. We allow the control to act on the boundary and set stochastic boundary…

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…

This work establishes a general stochastic maximum principle for partially observed optimal control of semi-linear stochastic partial differential equations in a nonconvex control domain. The state evolves in a Hilbert space driven by a…

In this paper, we investigate an optimal control problem for McKean-Vlasov stochastic partial differential equations, in which the coefficients depend on the law of the state process. For systems with nonconvex control sets, we establish a…

This paper considers multidimensional jump type stochastic differential equations with super linear growth and non-Lipschitz coefficients. After establishing a sufficient condition for nonexplosion, this paper presents sufficient…