Aurel Răşcanu
Alexandru Ioan Cuza University
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Featured researches published by Aurel Răşcanu.
Archive | 2014
Etienne Pardoux; Aurel Răşcanu
Introduction.- Background of Stochastic Analysis.- Itos Stochastic Calculus.- Stochastic Differential Equations.- SDE with Multivalued Drift.- Backward SDE.- Annexes.- Bibliography.- Index.
Stochastics and Stochastics Reports | 1999
Etienne Pardoux; Aurel Răşcanu
The aim of this paper is to show that our earlier results in [9] can be extended to Hilbert spaces. We then give examples of backward stochastic partial differential equations which can be solved w...
Stochastic Processes and their Applications | 2010
Lucian Maticiuc; Aurel Răşcanu
We prove the existence and uniqueness of a viscosity solution of the parabolic variational inequality (PVI) with a mixed nonlinear multivalued Neumann-Dirichlet boundary condition: where [not partial differential][phi] and [not partial differential][psi] are subdifferential operators and is a second-differential operator given by The result is obtained by a stochastic approach. First we study the following backward stochastic generalized variational inequality: where (At)t>=0 is a continuous one-dimensional increasing measurable process, and then we obtain a Feynman-Kac representation formula for the viscosity solution of the PVI problem.
Bernoulli | 2010
Lucian Maticiuc; Etienne Pardoux; Aurel Răşcanu; Adrian Zălinescu
In this paper, we first define the notion of viscosity solution for the following system of partial differential equations involving a subdifferential operator:\[\{[c]{l}\dfrac{\partial u}{\partial t}(t,x)+\mathcal{L}_tu(t,x)+f(t,x,u(t,x))\in\partial\phi (u(t,x)),\quad t\in[0,T),x\in\mathbb{R}^d, u(T,x)=h(x),\quad x\in\mathbb{R}^d,\] where
Archive | 2014
Etienne Pardoux; Aurel Răşcanu
\partial\phi
Bernoulli | 2015
Lucian Maticiuc; Aurel Răşcanu
is the subdifferential operator of the proper convex lower semicontinuous function
Journal of Mathematical Analysis and Applications | 2015
Lucian Maticiuc; Aurel Răşcanu; Leszek Słomiński; Mateusz Topolewski
\phi:\mathbb{R}^k\to (-\infty,+\infty]
Journal of Differential Equations | 2015
Rainer Buckdahn; Lucian Maticiuc; Etienne Pardoux; Aurel Răşcanu
and
Annals of the Alexandru Ioan Cuza University - Mathematics | 2014
Lucian Maticiuc; Aurel Răşcanu; Adrian Zălinescu
\mathcal{L}_t
Stochastics and Dynamics | 2017
Lucian Maticiuc; Aurel Răşcanu; Leszek Słomiński
is a second differential operator given by