130 citations · 216 across the 11 of their papers we have counts for
9 papers · 1 filter
A pathwise approach to semilinear SPDEs with Lévy drivers
Dirk Becherer, Peter Friz, Yuchen Sun
We extend the notion of robust viscosity solutions to semilinear rough partial differential equations (RPDEs) of the form \[ \partial_t u + \mathcal{L}_t u + f(t,x,u,σ^{\top}\nabla…
Viscosity Solutions for Singular HJB Equations: BSDE Representations and Stochastic Control
Dirk Becherer, Nicolas Perkowski, Yuchen Sun +1
We introduce a notion of viscosity solution for Hamilton--Jacobi--Bellman (HJB) equations with distributional drift, based on paracontrolled test functions and related through a Zv…
Rough backward SDEs with discontinuous Young drivers
Dirk Becherer, Yuchen Sun
We study solutions to backward differential equations that are driven hybridly by a deterministic discontinuous rough path of finite -variation for and by Bro…
On Watanabe's characterisation and change of intensity à la Girsanov for Cox processes
Dirk Becherer, Thomas Bernhardt, Pavel Gapeev
We discuss the equivalence of definitions for conditional Poisson processes, Cox processes, and stochastic intensities of point processes on the real line. We show that Watanabe's…
Approximating diffusion reflections at elastic boundaries
Dirk Becherer, Todor Bilarev, Peter Frentrup
We show a probabilistic functional limit result for one-dimensional diffusion processes that are reflected at an elastic boundary which is a function of the reflection local time.…
On the monotone stability approach to BSDEs with jumps: Extensions, concrete criteria and examples
Dirk Becherer, Martin Büttner, Klebert Kentia
We show a concise extension of the monotone stability approach to backward stochastic differential equations (BSDEs) that are jointly driven by a Brownian motion and a random measu…