47 research outputs found
Time-dependent neutral stochastic functional differential equations driven by a fractional Brownian motion
Approximate controllability of impulsive neutral stochastic differentialequations with fractional Brownian motion in a Hilbert space
Régularité du temps local brownien dans les espaces de Besov-Orlicz
Let be a linear Brownian motion and (L(t,x), t > 0, x ∈ ℝ) its local time. We prove that for all t > 0, the process (L(t,x), x ∈ [0,1]) belongs almost surely to the Besov-Orlicz space with
An approximation result for a nonlinear Neumann boundary value problem via BSDEs
AbstractWe prove a weak convergence result for a sequence of backward stochastic differential equations related to a semilinear parabolic partial differential equation; under the assumption that the diffusion corresponding to the PDEs is obtained by penalization method converging to a normal reflected diffusion on a smooth and bounded domain D. As a consequence we give an approximation result to the solution of semilinear parabolic partial differential equations with nonlinear Neumann boundary conditions. A similar result in the linear case was obtained by Lions et al. in 1981
An approximation result for a nonlinear Neumann boundary value problem via BSDEs
We prove a weak convergence result for a sequence of backward stochastic differential equations related to a semilinear parabolic partial differential equation; under the assumption that the diffusion corresponding to the PDEs is obtained by penalization method converging to a normal reflected diffusion on a smooth and bounded domain D. As a consequence we give an approximation result to the solution of semilinear parabolic partial differential equations with nonlinear Neumann boundary conditions. A similar result in the linear case was obtained by Lions et al. in 1981.Backward stochastic differential equation Reflected diffusion