An optimal stopping problem for stochastic differential equations with random coefficients is considered. The dynamic programming principle leads to a Hamiltion–Jacobi–Bellman equation, which, for the current case, is a backward stochastic partial differential variational inequality (BSPDVI, for short) for the value function. Well-posedness of such a BSPDVI is established, and a verification th...

A random perturbation of a deterministic Navier-Stokes equation is considered in the form of an SPDE with Wick type nonlinearity. The nonlinear term of the perturbation can be characterized as the highest stochastic order approximation of the original nonlinear term u∇u. This perturbation is unbiased in that the expectation of a solution of the perturbed/quantized equation solves the determinis...

We consider the stochastic heat equation with a multiplicative colored noise term on Rd for d ≥ 1. First, we prove convergence of a branching particle system in a random environment to this stochastic heat equation with linear noise coefficients. For this stochastic partial differential equation with more general non-Lipschitz noise coefficients we show convergence of associated lattice systems...

semilinear stochastic evolution equations with multiplicative l'evy noise are considered‎. ‎the drift term is assumed to be monotone nonlinear and with linear growth‎. ‎unlike other similar works‎, ‎we do not impose coercivity conditions on coefficients‎. ‎we establish the continuous dependence of the mild solution with respect to initial conditions and also on coefficients. ‎as corollaries of ...

• A linear quadratic problem of BSDE under partial information is solved completely. different decoupling technique used to solve stochastic Hamiltonian system. feedback representation optimal control obtained. An explicit formula cost established. solvability with filtering first studied. In this paper, we study an backward differential equation (BSDE) functional information. This completely a...

We propose an analytically tractable class of models for the dynamics a limit order book, described through stochastic partial differential equation with multiplicative noise book centered at mid-price, along mid-price which is consistent flow dynamics. provide conditions under model admits finite-dimensional realization driven by (low-dimensional) Markov process, leading to efficient methods e...

Nowadays, options are common financial derivatives. For this reason, by increase of applications for these financial derivatives, the problem of options pricing is one of the most important economic issues. With the development of stochastic models, the need for randomly computational methods caused the generation of a new field called financial engineering. In the financial engineering the pre...

semilinear stochastic evolution equations with multiplicative l'evy noise are considered‎. ‎the drift term is assumed to be monotone nonlinear and with linear growth‎. ‎unlike other similar works‎, ‎we do not impose coercivity conditions on coefficients‎. ‎we establish the continuous dependence of the mild solution with respect to initial conditions and also on coefficients. ‎as corollarie...