3 citations · 5 across the 5 of their papers we have counts for
4 papers · 1 filter
Stochastic Representations for Solutions to Parabolic Dirichlet Problems for Nonlocal Bellman Equations
Ruoting Gong, Chenchen Mou, Andrzej Swiech
We prove a stochastic representation formula for the viscosity solution of Dirichlet terminal-boundary value problem for a degenerate Hamilton-Jacobi-Bellman integro-partial differ…
Partial regularity of viscosity solutions for a class of Kolmogorov equations arising from mathematical finance
Mauro Rosestolato, Andrzej Świech
We study value functions which are viscosity solutions of certain Kolmogorov equations. Using PDE techniques we prove that they are regular on special finite dimensional…
Scaling limits for conditional diffusion exit problems, Doob's h-transform, and asymptotics for nonlinear elliptic equations
Yuri Bakhtin, Andrzej Swiech
The goal of this paper is to supplement the large deviation principle of the Freidlin--Wentzell theory on exit problems for diffusion processes with results of classical central li…
Large deviations for stochastic PDE with Levy noise
Andrzej Swiech, Jerzy Zabczyk
We prove a large deviation principle result for solutions of abstract stochastic evolution equations perturbed by small Levy noise. We use general large deviations theorems of Vara…