[PDF] Top 20 Stochastic Homogenization of Reflected Stochastic Differential Equations
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Stochastic Homogenization of Reflected Stochastic Differential Equations
... time of the process X " , namely a continuous nondecreasing process, which only increases on the set {t; X " t ∈ ∂ ...Those stochastic processes are involved in the probabilistic representation ... Voir le document complet
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Obliquely Reflected Backward Stochastic Differential Equations
... multidimensional Reflected Backward Stochastic Differential Equations in an open convex domain, allowing for oblique directions of ...penalised equations and compactness ... Voir le document complet
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Switching Game of Backward Stochastic Differential Equations and Associated System of Obliquely Reflected Backward Stochastic Differential Equations
... game of a one-dimensional backward stochastic differential equation ...system of matrix-valued BSDEs living in a special unbounded convex domain with reflection on the boundary along an ... Voir le document complet
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Scaling limits and stochastic homogenization for some nonlinear parabolic equations
... Pierre Cardaliaguet was partially supported by the ANR (Agence Nationale de la Recherche) project ANR- 12-BS01-0008-01, by the CNRS through the PRC grant 1611 and by the Air Force Office for Scientific Research grant ... Voir le document complet
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Stochastic partial differential equations with singular terminal condition
... • u satisfies the terminal condition: u(t, x) goes to h(x) also in a weak sense as t goes to T . There are here two main difficulties. First we have to prove existence and uniqueness of the solution of a ... Voir le document complet
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Mean Field Forward-Backward Stochastic Differential Equations
... independent of ν 0 and ...result of Lemma 1 to hold. For instance, the result of [6] only requires that the bound (A2) holds without |x| in the right hand ...think of as the law P X of ... Voir le document complet
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Fully nonlinear stochastic partial differential equations: non-smooth equations and applications
... In spite of their importance very little was known for equations like (0.1) even for smooth H before [LS1], with the exception of the uniformly elliptic linear theory, i.e., when both F and H are ... Voir le document complet
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Numerical approximation of Backward Stochastic Differential Equations with Jumps
... solution of the BSDEJ in (2.2) by the solution of a discrete back- ward stochastic differential equation with jumps in a discrete stochastic basis with a filtration generated by two ... Voir le document complet
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Validating Stochastic Models: Invariance Criteria for Systems of Stochastic Differential Equations and the Selection of a Stochastic Hodgkin-Huxley Type Model
... the stochastic perturbation and f the deterministic ...system of ODEs. In the sequel, we denote by (f, g) stochastic initial value problems of the form ...class of admissible models in ... Voir le document complet
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Strong solutions to stochastic differential equations with rough coefficients
... (v) of the space H 1 (v) (where L 2 norms are replaced by L 1 ...definition of W φ,weak (v) fulfills those two goals and therefore we do not study further this ... Voir le document complet
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Backward stochastic differential equations and stochastic control and applications to mathematical finance
... enlargement of filtrations of the default-free filtration F generated by the Brownian motion W , with the default filtration generated based on random times, the basic concept is to split the global mean ... Voir le document complet
197
Stochastic Homogenization of Nonconvex Hamilton-Jacobi Equations : A Counterexample
... r→+∞ r γ ρ 1 (r, d) < +∞ (see Bramson, Zeitouni and Zerner [ 9 ]). We claim that in the example, the law of H is polynomially mixing of order 1. Indeed, fix d > 0 and let r > 0. Let (U, V ) ∈ O(r, ... Voir le document complet
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Some contributions to stochastic control and backward stochastic differential equations in finance.
... family of martingale measures thanks to the quasi-sure ...problem of G-integration theory studied mainly by Peng (see [68], [67]) for the definition of the main ...order stochastic target ... Voir le document complet
162
On the discretization of backward doubly stochastic differential equations
... work of E. Pardoux and S. Peng [PP92], backward stochastic differential equations (BSDEs) have been intensively studied during the two last ...finance, stochastic control, partial ... Voir le document complet
12
On Multidimensional stable-driven Stochastic Differential Equations with Besov drift
... 0 F (s, X s)ds + Wt , (1) where in the above equation (Ws)s≥0 is a d-dimensional symmetric α-stable process, for some α in (1, 2]. The main point here comes from the fact that the drift F is only supposed to belong to ... Voir le document complet
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On a Wasserstein-type distance between solutions to stochastic differential equations
... organization of the paper is as ...properties of it. In Section 2 we prove that it may also be defined by means of the value function of a stochastic control problem whose ... Voir le document complet
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On a Wasserstein-type distance between solutions to stochastic differential equations
... organization of the paper is as ...properties of it. In Section 2 we prove that it may also be defined by means of the value function of a stochastic control problem whose ... Voir le document complet
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Scaling limits and stochastic homogenization for some nonlinear parabolic equations
... PARABOLIC EQUATIONS PIERRE CARDALIAGUET, NICOLAS DIRR AND PANAGIOTIS ...aim of this paper is twofold. The first is to study the asymptotics of a parabolically scaled, continuous and space-time ... Voir le document complet
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Backward Stochastic Differential Equations on Manifolds
... results of this paper apply to the martingale ...condition of Theorem 1.4.1; so we recover the well-known results of existence and uniqueness of a martingale with prescribed terminal value in ... Voir le document complet
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Stochastic spikes and strong noise limits of stochastic differential equations
... is of order ...distribution of the X-maxima in the time interval [0, T ...scale of this process is λ −2 , we make the approximation that the portions of the X-trajectories separated by a time ... Voir le document complet
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