Singular Stochastic Differential Equation
Stochastic partial differential equations with singular terminal condition
... SPDE are PDE in which randomness is integrated to account for uncertainty. These equations appear naturally in various applications as for instance, Zakai equation in filtering ([26, 27]), in pathwise ...
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Singular Forward-Backward Stochastic Differential Equations and Emissions Derivatives
... global stochastic optimization problem reduces to a mere path-by-path ...Forward-Backward Stochastic Differential Equation ...Itˆo stochastic differential ...
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Stochastic differential equations : strong well-posedness of singular and degenerate equations; numerical analysis of decoupled forward backward systems of McKean-Vlasov type
... factor stochastic volati- lity models [ Ber09 ] or uncertain volatility models [ GHL11 ] ; in economics, in the theory of “mean field games” recently developed by ...which equation ( ...
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Some contributions to stochastic control and backward stochastic differential equations in finance.
... Black-Scholes-Barrenblat equation which is fully ...order stochastic target problem whose solution solves a 2BSDE and prove existence and uniqueness for general 2BSDEs in [86] with an undominated family of ...
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Backward stochastic differential equations and stochastic control and applications to mathematical finance
... by stochastic control problem where control can affect both drift and diffusion terms of the state process, generated important recent ...the equation P α ...
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Volterra differential equations with singular kernels
... dependent stochastic differential ...other stochastic differential equations related to the fractional Brownian motion, we refer to [7, 8, ...
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A stochastic Fokker-Planck equation and double probabilistic representation for the stochastic porous media type equation.
... media equation in the whole space perturbed by a multiplicative colored ...a stochastic differential equation in law with random coefficients, driven by an independent Brownian ...words: ...
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A veraging principle for stochastic differential equations
... Veretennikov (1990) On large deviations in the averaging principle for stochas- tic differential equations with periodic coefficients. Veretennikov (1991) On the averaging prin[r] ...
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Multidimensional stochastic differential equations with distributional drift
... . Equation (3) was studied in the one-dimen- sional setting for instance by [23] for any time independent b which is the derivative in the distributional sense of a continuous function and in the multidimensional ...
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Very singular solutions to a nonlinear parabolic equation with absorptionII- Uniqueness
... u t − ∆u m + u p = 0 in (0, +∞) × R N , (1.3) where m > (1 − 2/N ) + , m 6= 1 [16, 9, 15, 11, 12], or u t − div |∇u| m−2 ∇u + u p = 0 in (0, +∞) × R N , (1.4) where m > 2N/(N + 1), m 6= 2 [17, 6, 8, 7]. Let us ...
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Tanaka's equation on the circle and stochastic flows
... sgn(ϕs,u(x))dWu, s ≤ t, x ∈ R, (1.1) where (Wt)t∈R is a Brownian motion on R (that is (Wt)t≥0 and (W−t)t≥0 are two independent standard Brownian motions) and ϕ = (ϕs,t; s ≤ t) is a stochastic flow of mappings on ...
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BSDE formulation of combined regular and singular stochastic control problems
... continuous-time stochastic control problems involving two different controls: a regular control affecting the state variable in an absolutely continuous way, and a singular control resulting in a cumulative ...
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Monokinetic solutions to a singular Vlasov equation from a semiclassical perspective
... and x → +∞, or, even, no limit at all. The plan of the paper is the following. Section 2 recalls the main steps of the derivation of the model for λ > 0 and related mathematical results. In Section 3, we show how ...
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The stochastic porous media equation in $\R^d$
... On bounded domains O ⊂ R d with Dirichlet homogeneous boundary conditions, equation (1.1) was studied in [3], [4], [5], under general assumptions on ψ : R → R (namely, maximal monotone multivalued graph with ...
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GENERALIZED KDV EQUATION SUBJECT TO A STOCHASTIC PERTURBATION
... We do not give a full reference for the stochastic KdV and related equations in the periodic setting. However, to guide the reader in the proper direction, we mention a few results. T. Oh [12] studied a ...
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Stochastic Heat Equation with Multiplicative Fractional-Colored Noise
... of stochastic partial differential equations ...the stochastic wave equation (in spatial dimension d = 2), in the space of real-valued stochastic ...wave equation, the damped ...
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Degenerate Parabolic Stochastic Partial Differential Equations: Quasilinear case
... Another important issue here was the question of regularity of the approximate solutions. In both works [ 7 ] and [ 12 ], the authors derived the kinetic formula- tion for sufficiently regular approximations only. This ...
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STRICHARTZ ESTIMATES FOR THE KLEIN-GORDON EQUATION IN A CONICAL SINGULAR SPACE
... Remark 1.1. Beside its own independent interest, we mention the fact that the original motivation that led us to study the dynamics of the Klein-Gordon equation is the study of the Dirac equation in this ...
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A delay differential equation solver for MONOLIX & MLXPLORE
... ordinary differential equations (ODEs) some- times involves a large number of variables and parameters, which makes the analysis of these models ...delay differential equations (DDEs) helps to describe the ...
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A partial differential equation approach to image zoom
... 1.2 Linearly Invertible (linear or non linear) Zoom When discussing non-linear techniques for zooming images, the field of possible of non linear zoom is obviously bigger than the linear one. However, an interest- ing ...
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