Differential equations driven by fractional Brownian motion
- D. Nualart, A. Răşcanu
- Mathematics
- 2002
A global existence and uniqueness result of the solution for multidimensional, time dependent, stochastic differential equations driven by a fractional Brownian motion with Hurst parameter H > 1/2 is…
Backward stochastic differential equations with subdifferential operator and related variational inequalities
- É. Pardoux, A. Răşcanu
- Mathematics
- 15 August 1998
Stochastic Differential Equations, Backward SDEs, Partial Differential Equations
- É. Pardoux, A. Răşcanu
- Mathematics
- 4 July 2014
Introduction.- Background of Stochastic Analysis.- Ito's Stochastic Calculus.- Stochastic Differential Equations.- SDE with Multivalued Drift.- Backward SDE.- Annexes.- Bibliography.- Index.
Viability property for a backward stochastic differential equation and applications to partial differential equations
- R. Buckdahn, M. Quincampoix, A. Răşcanu
- Mathematics
- 1 April 2000
Abstract. In the present paper, we study conditions under which the solutions of a backward stochastic differential equation remains in a given set of constraints. This property is the so-called…
Backward Stochastic Differential Equations
- É. Pardoux, A. Răşcanu
- Mathematics
- 2014
In this chapter we discuss so-called “backward stochastic differential equations”, BSDEs for short. Linear BSDEs first appeared a long time ago, both as the equations for the adjoint process in…
Approximation and simulation of stochastic variational inequalities - splitting up method
- Ioan Asiminoaei, A. Răşcanu
- Mathematics
- 1997
Existence and uniqueness of the solution of the finite dimensional stochastic variational inequality is proved. The existence is proved using a penalized problem. Splitting up schemes are proposed to…
Approximation of some stochastic differential equations by the splitting up method
- A. Bensoussan, R. Glowinski, A. Răşcanu
- Mathematics
- 1992
In this paper we deal with the convergence of some iterative schemes suggested by Lie-Trotter product formulas for stochastic differential equations of parabolic type. The stochastic equation is…
Carleman Estimates and Controllability of Linear Stochastic Heat Equations
- V. Barbu, A. Răşcanu, G. Tessitore
- Mathematics
- 12 March 2003
Abstract. This work is concerned with Carleman inequalities and controllability properties for the following stochastic linear heat equation (with Dirichlet boundary conditions in the bounded domain…
A stochastic approach to a multivalued Dirichlet-Neumann problem
- Lucian Maticiuc, A. Răşcanu
- Mathematics
- 6 August 2008
Backward stochastic variational inequalities
- É. Pardoux, A. Răşcanu
- Mathematics
- 1 September 1999
The aim of this paper is to show that our earlier results in [9] can be extended to Hilbert spaces. We then give examples of backward stochastic partial differential equations which can be solved w...
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