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In this paper we study one dimensional backward stochastic differential equations (BSDEs) with random terminal time not necessarily bounded or finite when the generator F ( t , Y , Z
Stochastic differential equations (s.d.e.) with boundary conditions driven by a Wiener process have been extensively studied in the last fifteen years, both in the ordinary and
We give a new representation of fractional Brownian motion with Hurst parameter H ≤ 1 2 using stochastic partial differential equations.. This representation allows us to use the
These were used to give rigorous meaning to stochastic partial differential equations (s.p.d.e.’s), primarily parabolic equations driven by space-time white noise, though Walsh
In this paper we establish a stochastic formula to calculate the symbol of a class of Markov processes which we then apply to the solutions of certain stochastic differential
Nualart: Weak solution for stochastic differential equations driven by a fractional Brownian motion with parameter H > 1/2 and discontinuous drift preprint IMUB N o 319.
The notion of attractor is concerned with the asymptotic behaviour of trajectories of semigroups of operators. Stochastic Navier–Stokes equations, measure attractors. The research
We investigate a functional limit theorem (homogenization) for Reflected Stochastic Differential Equations on a half-plane with stationary coefficients when it is necessary to
