相关论文: Backward Stochatic Differential Equations II

Second order linear non-autonomous differential equations with negative stiffness are considered. Using Chetaev-like (Lyapunov-like) functions, necessary (sufficient) conditions are found for the solutions to be bounded for all initial…

We study a class of second order variational inequalities with bilateral constraints. Under certain conditions we show the existence of a unique viscosity solution of these variational inequalities and give a stochastic representation to…

We consider the inverse obstacle scattering problem of determining both the shape and the "equivalent impedance" from far field measurements at a fixed frequency. In this work, the surface impedance is represented by a second order surface…

We study the differential forms over the frame bundle of the based loop space. They are stochastics in the sense that we put over this frame bundle a probability measure. In order to understand the curvatures phenomena which appear when we…

In this paper we discuss backward stochastic differential equations with Markov chain noise, having continuous drivers. We obtain the existence of a solution which is possibly not unique. Moreover, we show there is a minimal solution for…

We consider stochastic versions of the Cauchy exponential functional equation and give a martingale characterization of the general solution.

Recent discoveries in differential topology are reviewed in light of their possible implications for spacetime models and related subjects in theoretical physics. Although not often noted, a particular smoothness (differentiability)…

The global existence of martingale solutions to the compressible Navier-Stokes equations driven by stochastic external forces, with density-dependent viscosity and vacuum, is established in this paper. This work can be regarded as a…

In this paper, we focus on a family of backward stochastic differential equations (BSDEs) with sub-differential operators that are driven by infinite-dimensional martingales which involve symmetry, that is, the process involves a positive…

We study the joint laws of a continuous, uniformly integrable martingale, its maximum, and its minimum. In particular, we give explicit martingale inequalities which provide upper and lower bounds on the joint exit probabilities of a…

The work concerns a type of backward multivalued McKean-Vlasov stochastic differential equations. First, we prove the existence and uniqueness of solutions for backward multivalued McKean-Vlasov stochastic differential equations. Then, it…

We deal with backward stochastic differential equations with time delayed generators. In this new type of equations, a generator at time t can depend on the values of a solution in the past, weighted with a time delay function for instance…

Differential completions and compactifications of differential spaces are introduced and investigated. The existence of the maximal differential completion and the maximal differential compactification is proved. A sufficient condition for…

This is a short essay about some fundamental results on scalar curvature and the two key methods that are used to establish them.

Multi-dimensional continuous local martingales, enhanced with their stochastic area process, give rise to geometric rough paths with a.s. finite homogenous p-variation, p>2. Here we go one step further and establish quantitative bounds of…

In this paper, we study a class of second order backward stochastic differential equations (2BSDEs) with quadratic growth in coefficients. We first establish solvability for such 2BSDEs and then give their applications to robust utility…

In this paper we shall establish an existence and uniqueness result for solutions of multidimensional, time dependent, stochastic differential equations driven simultaneously by a multidimensional fractional Brownian motion with Hurst…

In this paper, we study conditions under which the solutions of a backward stochastic differential equation with jump remains in a given set of constrains. This property is the so-called "viability property". As an application, we study the…

Basic aspects of differential geometry can be extended to various non-classical settings: Lipschitz manifolds, rectifiable sets, sub-Riemannian manifolds, Banach manifolds, Weiner space, etc. Although the constructions differ, in each of…

In this work, we introduce a new Skorokhod problem with two reflecting barriers when the trajectories of the driven process and the barriers are right and left limited. We show that this problem has an explicit unique solution in a…