23 citations · 101 across the 15 of their papers we have counts for
17 papers
Càdlàg Solutions to Backward Stochastic Dynamics featuring Oblique Subgradients and driven by Martingale Noise
Andreea Negruţ, Aurel Răşcanu, Eduard Rotenstein
The present study improves the qualitative analysis of backward stochastic variational dynamics on a general complete filtered probability space, considered in the spirit of Liang,…
Planar Obliquely Reflected BSVIs on General Filtered Spaces: Non-Symmetric Rotation Fields and Associated Control Problems
Andreea Negruţ, Aurel Răşcanu, Eduard Rotenstein
We prove existence and uniqueness of a càdlàg solution to a planar backward stochastic variational inequality on a general complete filtered probability space, driven by a square i…
Continuity of the Feynman-Kac formula for a generalized parabolic equation
Etienne Pardoux, Aurel Rascanu
It is well-known since the work of Pardoux and Peng [12] that Backward Stochastic Differential Equations provide probabilistic formulae for the solution of (systems of) second orde…
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…
Deterministic and Stochastic Differential Equations in Hilbert Spaces Involving Multivalued Maximal Monotone Operators
Aurel Rascanu
This work deals with a Skorokhod problem driven by a maximal operator: \begin{aligned} &du(t)+Au(t)(dt)\ni f(t)dt+dM(t), \; 0<t<T,\\ &u(0)=u_{0}, \end{aligned} which is a multivalu…
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…
Multivalued backward stochastic differential equations with oblique subgradients
Anouar Gassous, Aurel Rascanu, Eduard Rotenstein
We study the existence and uniqueness of the solution for the following backward stochastic variational inequality with oblique reflection (for short, …
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 $…
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…
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…
Stochastic variational inequalities with oblique subgradients
Anouar M. Gassous, Aurel Rascanu, Eduard Rotenstein
In this paper we will study the existence and uniqueness of the solution for the stochastic variational inequality with oblique subgradients of the following form:{l} dX_{t}+H(X_{t…
Direct and inverse images for fractional stochastic tangent sets and applications
Tianyang Nie, Aurel Rascanu
In this paper, we study direct and inverse images for fractional stochastic tangent sets and we establish the deterministic necessary and sufficient conditions that guarantee that…
The Fitzpatrick function - a bridge between convex analysis and multivalued stochastic differential equations
Aurel Rascanu, Eduard Rotenstein
Using the Fitzpatrick function, we characterize the solutions for different classes of deterministic and stochastic differential equations driven by maximal monotone operators (or…
Viability for stochastic differential equations driven by fractional Brownian motion
Ioana Ciotir, Aurel Rascanu
In this paper we prove a viability result for multidimensional, time dependent, stochastic differential equations driven by fractional Brownian motion with Hurst parameter1/2 < H <…
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…