相关论文: Reflected Skorokhod equations and the Neumann boun…

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…

In this paper, we consider a scalar stochastic balance law and gain the existence for stochastic entropy solutions. Our proof relies on the BGK approximation and the generalized It\^{o} formula. Moreover, as an application, we derive the…

Initial-boundary value problems for second order fully nonlinear PDEs with Caputo time fractional derivatives of order less than one are considered in the framework of viscosity solution theory. Associated boundary conditions are Dirichlet…

A class of (possibly) degenerate stochastic integro-differential equations of parabolic type is considered, which includes the Zakai equation in nonlinear filtering for jump diffusions. Existence and uniqueness of the solutions are…

We consider the nonlinear Neumann problem for fully nonlinear elliptic PDEs on a quadrant. We establish a comparison theorem for viscosity sub and supersolutions of the nonlinear Neumann problem. The crucial argument in the proof of the…

In this paper, we study some properties of viscosity sub/super-solutions of a class of fully nonlinear elliptic equations relative to the eigenvalues of the complex Hessian. We show that every viscosity subsolution is approximated by a…

We consider a system of semilinear partial differential equations (PDEs) with a nonlinearity depending on both the solution and its gradient. The Neumann boundary condition depends on the solution in a nonlinear manner. The uniform…

We prove the existence and uniqueness of viscosity solutions to quasi-variational inequalities (QVIs) with both upper and lower obstacles. In contrast to most previous works, we allow all involved coefficients to depend on the state…

We consider stochastic impulse control problems when the impulses cost functions are arbitrary. We use the dynamic programming principle and viscosity solutions approach to show that the value function is a unique viscosity solution for the…

We analize the limit problem of the anisotropic $p$-Laplacian as $p\rightarrow\infty$ with the mean of the viscosity solution. We also prove some geometric properties of eigenvalues and eigenfunctions. In particular, we show the validity of…

We study the problem of coupling Einstein's equations to a relativistic and physically well-motivated version of the Navier-Stokes equations. Under a natural evolution condition for the vorticity, we prove existence and uniqueness in a…

We establish the existence of both optimal relaxed controls and strict optimal controls for systems driven by Reflected Stochastic Differential Equations RSDEs. Our approach is based on weak convergence techniques for the associated RSDEs…

This paper is concerned with a stochastic linear-quadratic optimal control problem in a finite time horizon, where the coefficients of the control system are allowed to be random, and the weighting matrices in the cost functional are…

In this paper, we study systems of nonlinear second-order variational inequalities with interconnected bilateral obstacles with non-local terms. They are of min-max and max-min types and related to a multiple modes zero-sum switching game…

We study the smoothness of the upper and lower value functions of stochastic differential games in the framework of time-homogeneous (possibly degenerate) diffusion processes in a domain, under the assumption that the diffusion, drift and…

We consider stochastic 2D Euler equations with $L^2$-initial vorticity and driven by L\'evy transport noise in the Marcus sense. Under a suitable scaling limit of the noises, we prove that the weak solutions converge weakly to the unique…

For a Hamilton-Jacobi equation defined on a network, we introduce its vanishing viscosity approximation. The elliptic equation is given on the edges and coupled with Kirchhoff-type conditions at the transition vertices. We prove that there…

We present a new approach to fluctuation identities for reflected L\'{e}vy processes with one-sided jumps. This approach is based on a number of easy to understand observations and does not involve excursion theory or It\^{o} calculus. It…

This paper presents a new method for synthesizing stochastic control Lyapunov functions for a class of nonlinear stochastic control systems. The technique relies on a transformation of the classical nonlinear Hamilton-Jacobi-Bellman partial…

The kinetic theory of rarefied gases and numerical schemes based on the Boltzmann equation have evolved to the cornerstone of non-equilibrium gas dynamics. However, their counterparts in the dense regime remain rather exotic for practical…