5 citations · 13 across the 8 of their papers we have counts for
12 papers
Phase-Space Realization of Stochastic Multivalued Dynamics with Gyroscopic Subdifferential Coupling
Ioana Ciotir, Andreea Negrut-Grajdeanu, Dan Goreac +1
We introduce a new framework for stochastic variational inequalities with oblique reflections generated by non-symmetric matrix coefficients. The loss of symmetry fundamentally cha…
Backward stochastic porous media equation with polynomial growth
Ioana Ciotir, Dan Goreac, Juan Li +2
We investigate the well-posedness of a backward stochastic porous media equation whose nonlinear term is a polynomial operator corresponding to the slow diffusion regime. The main…
Viability problems for SDEs in a general Gelfand triple setup using a variational approach
Ioana Ciotir, Aureliu Ionescu, Eduard Rotenstein
We establish viability conditions for a broad general class of stochastic differential equations formulated within the variational approach,% \[ dX_{t}=A\left( X_{t}\right) dt+B\le…
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…
Approximate and Approximate Null-Controllability of a Class of Piecewise Linear Markov Switch Systems
Dan Goreac, Claudia Grosu, Eduard Rotenstein
We propose an explicit, easily-computable algebraic criterion for approximate null-controllability of a class of general piecewise linear switch systems with multiplicative noise.…
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, …
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…
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…
Pricing financial derivatives by a minimizing method
Eduard Rotenstein
We shall study backward stochastic differential equations and we will present a new approach for the existence of the solution. This type of equation appears very often in the valu…
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…
A Generalized Mixed Zero-sum Stochastic Differential Game and Double Barrier Reflected BSDEs with Quadratic Growth Coefficient
Said Hamadene, Eduard Rotenstein, Adrian Zalinescu
This article is dedicated to the study of mixed zero-sum two-player stochastic differential games in the situation when the player's cost functionals are modeled by doubly controll…