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Dive into the research topics where Aurel Răşcanu is active.

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Featured researches published by Aurel Răşcanu.


Archive | 2014

Stochastic differential equations, backward SDEs, partial differential equations

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

Backward stochastic variational inequalities

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

A stochastic approach to a multivalued Dirichlet–Neumann problem

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

Viscosity solutions for systems of parabolic variational inequalities

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

Stochastic Differential Equations

Etienne Pardoux; Aurel Răşcanu

\partial\phi


Bernoulli | 2015

Backward stochastic variational inequalities on random interval

Lucian Maticiuc; Aurel Răşcanu

is the subdifferential operator of the proper convex lower semicontinuous function


Journal of Mathematical Analysis and Applications | 2015

Càdlàg Skorokhod problem driven by a maximal monotone operator

Lucian Maticiuc; Aurel Răşcanu; Leszek Słomiński; Mateusz Topolewski

\phi:\mathbb{R}^k\to (-\infty,+\infty]


Journal of Differential Equations | 2015

Stochastic variational inequalities on non-convex domains

Rainer Buckdahn; Lucian Maticiuc; Etienne Pardoux; Aurel Răşcanu

and


Annals of the Alexandru Ioan Cuza University - Mathematics | 2014

Backward Stochastic Variational Inequalities with Locally Bounded Generators

Lucian Maticiuc; Aurel Răşcanu; Adrian Zălinescu

\mathcal{L}_t


Stochastics and Dynamics | 2017

Multivalued monotone stochastic differential equations with jumps

Lucian Maticiuc; Aurel Răşcanu; Leszek Słomiński

is a second differential operator given by

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Lucian Maticiuc

Alexandru Ioan Cuza University

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Eduard Rotenstein

Alexandru Ioan Cuza University

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Rainer Buckdahn

University of Western Brittany

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Marc Quincampoix

Centre national de la recherche scientifique

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Leszek Słomiński

Nicolaus Copernicus University in Toruń

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Catherine Rainer

Centre national de la recherche scientifique

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Rainer Buckdahn

University of Western Brittany

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