Lucian Maticiuc

Fractional Backward Stochastic Differential Equations and Fractional Backward Variational Inequalities

In the framework of fractional stochastic calculus, we study the existence and the uniqueness of the solution for a backward stochastic differential equation, formally written as:

Viscosity solutions for systems of parabolic variational inequalities

\begin{aligned} \left\{ \begin{array}{l} -\hbox {d}Y(t)= f(t,\eta (t),Y(t),Z(t))\hbox {d}t-Z(t)\delta B^{H}\left( t\right) ,\quad t\in [0,T],\\ Y(T)=\xi , \end{array} \right. \end{aligned}

Numerical schemes for multivalued backward stochastic differential systems

{−dY(t)=f(t,η(t),Y(t),Z(t))dt−Z(t)δBH(t),t∈[0,T],Y(T)=ξ,where

Stochastic variational inequalities on non-convex domains

\eta

Multivalued Stochastic Delay Differential Equations and Related Stochastic Control Problems

η is a stochastic process given by