34 citations · 167 across the 14 of their papers we have counts for
16 papers
Time-Delayed Generalized BSDEs
Luca Di Persio, Matteo Garbelli, Lucian Maticiuc +1
We prove the existence and uniqueness of the solution of a BSDE with time-delayed generators in the small delay setting (or equivalently small Lipschitz constant), which employs th…
-Variational Solutions of Multivalued Backward Stochastic Differential Equations
Lucian Maticiuc, Aurel Răşcanu
The aim of the paper is to prove the existence and uniqueness of the --variational solution, with of the following multivalued backward stochastic differential equati…
A stochastic approach to path-dependent nonlinear Kolmogorov equations via BSDEs with time-delayed generators and applications to finance
Francesco Cordoni, Luca Di Persio, Lucian Maticiuc +1
We prove the existence of a viscosity solution of the following path dependent nonlinear Kolmogorov equation: \[ \begin{cases} \partial_{t}u(t,ϕ)+\mathcal{L}u(t,ϕ)+f(t,ϕ,u(t,ϕ),\pa…
Stochastic Variational Inequalities on Non-Convex Domains
Rainer Buckdahn, Lucian Maticiuc, Etienne Pardoux +1
The objective of this work is to prove, in a first step, the existence and the uniqueness of a solution of the following multivalued deterministic differential equation: $dx(t)+\pa…
Multivalued Monotone Stochastic Differential Equations with Jumps
Lucian Maticiuc, Aurel Rascanu, Leszek Slominski
We study multivalued stochastic differential equations (MSDEs) with maximal monotone operators driven by semimartingales with jumps. We discuss in detail some methods of approximat…
On the continuity of the probabilistic representation of a semilinear Neumann-Dirichlet problem
Lucian Maticiuc, Aurel Răşcanu
In this article we prove the continuity of the deterministic function , defined by , where the process $…
Penalization method for a nonlinear Neumann PDE via weak solutions of reflected SDEs
Khaled Bahlali, Lucian Maticiuc, Adrian Zalinescu
In this paper we prove an approximation result for the viscosity solution of a system of semi-linear partial differential equations with continuous coefficients and nonlinear Neuma…
Cadlag Skorokhod problem driven by a maximal monotone operator
Lucian Maticiuc, Aurel Răşcanu, Leszek Słomiński +1
The article deals with existence and uniqueness of the solution of the following differential equation (a càdlàg Skorokhod problem) driven by a maximal monotone operator and with s…
Multivalued Backward Stochastic Differential Equations with Time Delayed Generators
Bakarime Diomande, Lucian Maticiuc
Our aim is to study the following new type of multivalued backward stochastic differential equation: \[ \left\{\begin{array} [c]{r}-dY\left(t\right) +\partialφ\left(Y\left(t\right)…
Multivalued Stochastic Delay Differential Equations and Related Stochastic Control Problems
Bakarime Diomande, Lucian Maticiuc
We study the existence and uniqueness of a solution for the multivalued stochastic differential equation with delay (the multivalued term is of subdifferential type): \[ \left\{\be…
Backward stochastic variational inequalities on random interval
Lucian Maticiuc, Aurel Răşcanu
The aim of this paper is to study, in the infinite dimensional framework, the existence and uniqueness for the solution of the following multivalued generalized backward stochastic…
Fractional backward stochastic differential euqations and fractional backward variational inequalities
Lucian Maticiuc, Tianyang Nie
In the framework of fractional stochastic calculus, we study the existence and the uniqueness of the solution for a backward stochastic differential equation, formally written as:…
Numerical Schemes for Multivalued Backward Stochastic Differential Systems
Lucian Maticiuc, Eduard Rotenstein
We define some approximation schemes for different kinds of generalized backward stochastic differential systems, considered in the Markovian framework. We propose a mixed approxim…
Stochastic approach for a multivalued Dirichlet-Neumann problem
Lucian Maticiuc, Aurel Rascanu
We prove the existence and uniqueness of a viscosity solution of the parabolic variational inequality with a nonlinear multivalued Neumann-Dirichlet boundary condition:% {equation*…
Backward stochastic variational inequalities with locally bounded generators
Lucian Maticiuc, Aurel Rascanu, Adrian Zalinescu
The paper deals with the existence and uniqueness of the solution of the backward stochastic variational inequality: \begin{equation} \left\{\begin{array} {l}-dY_{t}+\partial φ(Y_{…
Viscosity solutions for systems of parabolic variational inequalities
Lucian Maticiuc, Etienne Pardoux, Aurel Răşcanu +1
In this paper, we first define the notion of viscosity solution for the following system of partial differential equations involving a subdifferential operator:\[\{[c]{l}\dfrac{\pa…