Generating and Adding Flows on Locally Complete Metric Spaces

As a generalization of a vector field on a manifold, the notion of an arc field on a locally complete metric space was introduced in \cite{BC}. In that paper, the authors proved an analogue of the Cauchy-Lipschitz Theorem i.e they showed the existence and uniqueness of solution curves for a time independent arc field. In this paper, we extend the result to the time dependent case, namely we show the existence and uniqueness of solution curves for a time dependent arc field. We also introduce the notion of the sum of two time dependent arc fields and show existence and uniqueness of solution curves for this sum.Comment: 29 pages,6 figure

Weak solutions for forward--backward SDEs--a martingale problem approach

In this paper, we propose a new notion of Forward--Backward Martingale Problem (FBMP), and study its relationship with the weak solution to the forward--backward stochastic differential equations (FBSDEs). The FBMP extends the idea of the well-known (forward) martingale problem of Stroock and Varadhan, but it is structured specifically to fit the nature of an FBSDE. We first prove a general sufficient condition for the existence of the solution to the FBMP. In the Markovian case with uniformly continuous coefficients, we show that the weak solution to the FBSDE (or equivalently, the solution to the FBMP) does exist. Moreover, we prove that the uniqueness of the FBMP (whence the uniqueness of the weak solution) is determined by the uniqueness of the viscosity solution of the corresponding quasilinear PDE.Comment: Published in at http://dx.doi.org/10.1214/08-AOP0383 the Annals of Probability (http://www.imstat.org/aop/) by the Institute of Mathematical Statistics (http://www.imstat.org

Semigroups on Frechet spaces and equations with infinite delays

In this paper, we show existence and uniqueness of a solution to a functional differential equation with infinite delay. We choose an appropriate Frechet space so as to cover a large class of functions to be used as initial functions to obtain existence and uniqueness of solutions.Comment: 14 page

A Note on Doubly Nonlinear Parabolic Systems with Unilateral Constraint

We prove the existence and uniqueness of the solution to the doubly nonlinear parabolic systems with mixed boundary conditions. Due to the unilateral constraint the problem comes as a variational inequality. We apply the penalty method and Gronwall's technique to prove the existence and uniqueness of the variational solution.Comment: 14 page