14 citations · 29 across the 6 of their papers we have counts for
9 papers
Mild Solutions for Path-Dependent Parabolic PDEs with Neumann Boundary Conditions via Generalized BSDEs
Luca Di Persio, Matteo Garbelli, Adrian Zalinescu
We study a system of Forward-Backward Stochastic Differential Equations (FBSDEs) with time-delayed generators. The forward process includes a reflection component expressed via a S…
Feynman-Kac formula for BSDEs with jumps and time delayed generators associated to path-dependent nonlinear Kolmogorov equations
Luca Di Persio, Matteo Garbelli, Adrian Zălinescu
We consider a system of Forward Backward Stochastic Differential Equations (FBSDEs), with time delayed generator and driven by Lèvy-type noise. We establish a non linear Feynman Ka…
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…
Maximum principle for an optimal control problem associated to a SPDE with nonlinear boundary conditions
Stefano Bonaccorsi, Adrian Zalinescu
We study a control problem where the state equation is a nonlinear partial differential equation of the calculus of variation in a bounded domain, perturbed by noise. We allow the…
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…
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…