Numerical Schemes for Multivalued Backward Stochastic Differential Systems

We define some approximation schemes for different kinds of generalized backward stochastic differential systems, considered in the Markovian framework. We propose a mixed approximation scheme for a decoupled system of forward reflected SDE and backward stochastic variational inequality. We use an Euler scheme type, combined with Yosida approximation techniques.Comment: 13 page

G-Brownian Motion as Rough Paths and Differential Equations Driven by G-Brownian Motion

The present paper is devoted to the study of sample paths of G-Brownian motion and stochastic differential equations (SDEs) driven by G-Brownian motion from the view of rough path theory. As the starting point, we show that quasi-surely, sample paths of G-Brownian motion can be enhanced to the second level in a canonical way so that they become geometric rough paths of roughness 2 < p < 3. This result enables us to introduce the notion of rough differential equations (RDEs) driven by G-Brownian motion in the pathwise sense under the general framework of rough paths. Next we establish the fundamental relation between SDEs and RDEs driven by G-Brownian motion. As an application, we introduce the notion of SDEs on a differentiable manifold driven by GBrownian motion and construct solutions from the RDE point of view by using pathwise localization technique. This is the starting point of introducing G-Brownian motion on a Riemannian manifold, based on the idea of Eells-Elworthy-Malliavin. The last part of this paper is devoted to such construction for a wide and interesting class of G-functions whose invariant group is the orthogonal group. We also develop the Euler-Maruyama approximation for SDEs driven by G-Brownian motion of independent interest

Optimal Multi-Modes Switching Problem in Infinite Horizon

This paper studies the problem of the deterministic version of the Verification Theorem for the optimal m-states switching in infinite horizon under Markovian framework with arbitrary switching cost functions. The problem is formulated as an extended impulse control problem and solved by means of probabilistic tools such as the Snell envelop of processes and reflected backward stochastic differential equations. A viscosity solutions approach is employed to carry out a finne analysis on the associated system of m variational inequalities with inter-connected obstacles. We show that the vector of value functions of the optimal problem is the unique viscosity solution to the system. This problem is in relation with the valuation of firms in a financial market

On Markovian solutions to Markov Chain BSDEs

We study (backward) stochastic differential equations with noise coming from a finite state Markov chain. We show that, for the solutions of these equations to be `Markovian', in the sense that they are deterministic functions of the state of the underlying chain, the integrand must be of a specific form. This allows us to connect these equations to coupled systems of ODEs, and hence to give fast numerical methods for the evaluation of Markov-Chain BSDEs

Conservative interacting particles system with anomalous rate of ergodicity

We analyze certain conservative interacting particle system and establish ergodicity of the system for a family of invariant measures. Furthermore, we show that convergence rate to equilibrium is exponential. This result is of interest because it presents counterexample to the standard assumption of physicists that conservative system implies polynomial rate of convergence.Comment: 16 pages; In the previous version there was a mistake in the proof of uniqueness of weak Leray solution. Uniqueness had been claimed in a space of solutions which was too large (see remark 2.6 for more details). Now the mistake is corrected by introducing a new class of moderate solutions (see definition 2.10) where we have both existence and uniquenes

Time-Symmetric Quantum Theory of Smoothing

Smoothing is an estimation technique that takes into account both past and future observations, and can be more accurate than filtering alone. In this Letter, a quantum theory of smoothing is constructed using a time-symmetric formalism, thereby generalizing prior work on classical and quantum filtering, retrodiction, and smoothing. The proposed theory solves the important problem of optimally estimating classical Markov processes coupled to a quantum system under continuous measurements, and is thus expected to find major applications in future quantum sensing systems, such as gravitational wave detectors and atomic magnetometers.Comment: 4 pages, 1 figure, v2: accepted by PR

On a stochastic partial differential equation with non-local diffusion

In this paper, we prove existence, uniqueness and regularity for a class of stochastic partial differential equations with a fractional Laplacian driven by a space-time white noise in dimension one. The equation we consider may also include a reaction term

Optimal waveform estimation for classical and quantum systems via time-symmetric smoothing

Classical and quantum theories of time-symmetric smoothing, which can be used to optimally estimate waveforms in classical and quantum systems, are derived using a discrete-time approach, and the similarities between the two theories are emphasized. Application of the quantum theory to homodyne phase-locked loop design for phase estimation with narrowband squeezed optical beams is studied. The relation between the proposed theory and Aharonov et al.'s weak value theory is also explored.Comment: 13 pages, 5 figures, v2: changed the title to a more descriptive one, corrected a minor mistake in Sec. IV, accepted by Physical Review