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Register a new userOn coupled systems of Kolmogorov equations with applications to stochastic differential games
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We prove that a family of linear bounded evolution operators $({bf G}(t,s))_{tge sin I}$ can be associated, in the space of vector-valued bounded and continuous functions, to a class of systems of elliptic operators $bm{mathcal A}$ with unbounded coefficients defined in $Itimes Rd$ (where $I$ is a right-halfline or $I=R$) all having the same principal part. We establish some continuity and representation properties of $({bf G}(t,s))_{t ge sin I}$ and a sufficient condition for the evolution operator to be compact in $C_b(Rd;R^m)$. We prove also a uniform weighted gradient estimate and some of its more relevant consequence.
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In this paper we introduce and study semigroups of operators on spaces of fuzzy-number-valued functions, and various applications to fuzzy differential equations are presented. Starting from the space of fuzzy numbers, many new spaces sharing the same properties are introduced. We derive basic operator theory results on these spaces and new results in the theory of semigroups of linear operators on fuzzy-number kind spaces. The theory we develop is used to solve classical fuzzy systems of differential equations, including, for example, the fuzzy Cauchy problem and the fuzzy wave equation. These tools allow us to obtain explicit solutions to fuzzy initial value problems which bear explicit formulas similar to the crisp case, with some additional fuzzy terms which in the crisp case disappear. The semigroup method displays a clear advantage over other methods available in the literature (i.e., the level set method, the differential inclusions method and other fuzzification methods of the real-valued solution) in the sense that the solutions can be easily constructed, and that the method can be applied to a larger class of fuzzy differential equations that can be transformed into an abstract Cauchy problem.
In this Note, assuming that the generator is uniform Lipschitz in the unknown variables, we relate the solution of a one dimensional backward stochastic differential equation with the value process of a stochastic differential game. Under a domination condition, a filtration-consistent evaluations is also related to a stochastic differential game. This relation comes out of a min-max representation for uniform Lipschitz functions as affine functions. The extension to reflected backward stochastic differential equations is also included.
This paper is concerned with the quasi-linear reflected backward stochastic partial differential equation (RBSPDE for short). Basing on the theory of backward stochastic partial differential equation and the parabolic capacity and potential, we first associate the RBSPDE to a variational problem, and via the penalization method, we prove the existence and uniqueness of the solution for linear RBSPDE with Lapalacian leading coefficients. With the continuity approach, we further obtain the well-posedness of general quasi-linear RBSPDEs. Related results, including It^o formulas for backward stochastic partial differential equations with random measures, the comparison principle for solutions of RBSPDEs and the connections with reflected backward stochastic differential equations and optimal stopping problems, are addressed as well.
We study a class of elliptic operators $A$ with unbounded coefficients defined in $ItimesCR^d$ for some unbounded interval $IsubsetCR$. We prove that, for any $sin I$, the Cauchy problem $u(s,cdot)=fin C_b(CR^d)$ for the parabolic equation $D_tu=Au$ admits a unique bounded classical solution $u$. This allows to associate an evolution family ${G(t,s)}$ with $A$, in a natural way. We study the main properties of this evolution family and prove gradient estimates for the function $G(t,s)f$. Under suitable assumptions, we show that there exists an evolution system of measures for ${G(t,s)}$ and we study the first properties of the extension of $G(t,s)$ to the $L^p$-spaces with respect to such measures.
In this paper we deal with the problem of existence of a smooth solution of the Hamilton-Jacobi-Bellman-Isaacs (HJBI for short) system of equations associated with nonzero-sum stochastic differential games. We consider the problem in unbounded domains either in the case of continuous generators or for discontinuous ones. In each case we show the existence of a smooth solution of the system. As a consequence, we show that the game has smooth Nash payoffs which are given by means of the solution of the HJBI system and the stochastic process which governs the dynamic of the controlled system.
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