相关论文: Probabilistic Representation of Viscosity Solution…

We study viscosity solutions to a system of nonlinear degenerate parabolic partial integro-differential equations with interconnected obstacles. This type of problem occurs in the context of optimal switching problems when the dynamics of…

Motivated by applications to fluid dynamics, we study rough differential equations (RDEs) and rough partial differential equations (RPDEs) with non-Lipschitz drifts. We prove well-posedness and existence of a flow for RDEs with Osgood…

The solutions to a large class of semi-linear parabolic PDEs are given in terms of expectations of suitable functionals of a tree of branching particles. A sufficient, and in some cases necessary, condition is given for the integrability of…

In this paper we prove some uniqueness results for quadratic backward stochastic differential equations without any convexity assumptions on the generator. The bounded case is revisited while some new results are obtained in the unbounded…

We prove an existence and uniqueness result for two-obstacle problem for quasilinear Stochastic PDEs (DOSPDEs for short). The method is based on the probabilistic interpretation of the solution by using the backward doubly stochastic…

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…

In this work we investigate regularity properties of a large class of Hamilton-Jacobi-Bellman (HJB) equations with or without obstacles, which can be stochastically interpreted in form of a stochastic control system which nonlinear cost…

We investigate the convergence rates of variational posterior distributions for statistical inverse problems involving nonlinear partial differential equations (PDEs). Departing from exact Bayesian inference, variational inference…

In this paper, we study doubly reflected Backward Stochastic Differential Equations defined on probability spaces equipped with filtration satisfying only the usual assumptions of right continuity and completeness in the case where the…

In this paper we show existence and uniqueness of the solution in viscosity sense for a system of nonlinear $m$ variational integral-partial differential equations with interconnected obstacles whose coefficients $(f_i)_{i=1,\cdots, m}$…

We prove pathwise nonuniqueness in the stochastic partial differential equations (SPDEs) for some one-dimensional super-Brownian motions with immigration. In contrast to a closely related case investigated by Mueller, Mytnik and Perkins…

We prove the existence of viscosity solutions for fractional semilinear elliptic PDEs on open balls with bounded exterior condition in dimension $d\geq 1$. Our approach relies on a tree-based probabilistic representation based on a…

This paper establishes the existence of a unique nonnegative continuous viscosity solution to the HJB equation associated with a Markovian linear-quadratic control problems with singular terminal state constraint and possibly unbounded cost…

We prove a comparison result for viscosity solutions of (possibly degenerate) parabolic fully nonlinear path-dependent PDEs. In contrast with the previous result in Ekren, Touzi & Zhang, our conditions are easier to check and allow for the…

We address the problem of general dissipative regularization of the quasilinear transport equation. We argue that the local behavior of solutions to the regularized equation near the point of gradient catastrophe for the transport equation…

This paper develops a probabilistic numerical method for solution of partial differential equations (PDEs) and studies application of that method to PDE-constrained inverse problems. This approach enables the solution of challenging inverse…

We consider a non-linear parabolic partial differential equation (PDE) on $\mathbb R^d$ with a distributional coefficient in the non-linear term. The distribution is an element of a Besov space with negative regularity and the non-linearity…

We introduce a general difference quotient representation for non-local operators associated with a first-order linear operator. We establish new local to non-local estimates and strong localization principles in various spaces of…

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…

We investigate the density large deviation function for a multidimensional conservation law in the vanishing viscosity limit, when the probability concentrates on weak solutions of a hyperbolic conservation law conservation law. When the…