Projects funded by the NCN

Information on the principal investigator and host institution

Information of the project and the call

Keywords

Equipment

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Backward stochastic differential equations

2012/07/B/ST1/03508

Keywords:

backward stochastic differential equations reflected backward stochastic differential equations generalized backward stochastic differential equations doubly stochastic backward stochastic differential equations partial differential equations switching problem obstacle problem

Descriptors:

  • ST1_13: Probability and statistics

Panel:

ST1 - Mathematics: all areas of mathematics, pure and applied, as well as mathematical foundations of computer science, physics and statistics

Host institution :

Uniwersytet Mikołaja Kopernika, Wydział Matematyki i Informatyki

woj. kujawsko-pomorskie

Other projects carried out by the institution 

Principal investigator (from the host institution):

prof. Leszek Słomiński 

Number of co-investigators in the project: 6

Call: OPUS 4 - announced on 2012-09-15

Amount awarded: 432 400 PLN

Project start date (Y-m-d): 2013-07-09

Project end date (Y-m-d): 2016-07-08

Project duration:: 36 months (the same as in the proposal)

Project status: Project settled

Equipment purchased [PL]

  1. skaner (1 000 PLN)
  2. laptop (3 szt.) (18 000 PLN)

Information in the final report

  • Publication in academic press/journals (22)
  1. New characterizations of S topology on the Skorokhod space
    Authors:
    Adam Jakubowski
    Academic press:
    Electronic Communications in Probability (rok: 2018, tom: 23(2), strony: 45307), Wydawca: Institute of Mathematical Statistics and the Bernoulli Society
    Status:
    Published
    DOI:
    10.1214/17-ECP105 - link to the publication
  2. On Wong-Zakai type approximations of reflected diffusions
    Authors:
    Leszek Słomiński
    Academic press:
    Electronic Journal of Probability (rok: 2014, tom: 19 (118), strony: 45306), Wydawca: IMS and Bernoulli Society
    Status:
    Published
    DOI:
    10.1214/EJP.v19-3425 - link to the publication
  3. On reflected Stratonovich stochastic differential equations
    Authors:
    Leszek Słomiński
    Academic press:
    Stochastic Processes and their Applications (rok: 2015, tom: 125, strony: 759-779), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.003 - link to the publication
  4. Reflected BSDEs on filtered probability spaces
    Authors:
    Tomasz Klimsiak
    Academic press:
    Stochastic Processes and their Applications (rok: 2015, tom: 125, strony: 4204-4241), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.spa.2015.06.006 - link to the publication
  5. Renormalized solutions of semilinear equations involving measure data and operator corresponding to Dirichlet form
    Authors:
    Tomasz Klimsiak i Andrzej Rozkosz
    Academic press:
    NoDEA Nonlinear Differential Equations Appl. (rok: 2015, tom: 22, strony: 1911-1934), Wydawca: Springer
    Status:
    Published
    DOI:
    10.1007/s00030-015-0350-1 - link to the publication
  6. Stochastic integration with respect to cylindrical Levy processes
    Authors:
    Adam Jakubowski i Markus Riedle
    Academic press:
    The Annals of Probability (rok: 2017, tom: 45(6B), strony: 4273-4306), Wydawca: Institute of Mathematical Statistics
    Status:
    Published
    DOI:
    10.1214/16-AOP1164 - link to the publication
  7. Reflected BSDEs with regulated trajectories
    Authors:
    Tomasz Klimsiak, Maurycy Rzymowski i Leszek Słomiński
    Academic press:
    Stochastic Processes and their Applications (rok: 2018, ), Wydawca: Elsevier
    Status:
    Accepted for publication
    DOI:
    10.1016/j.spa.2018.04.011 - link to the publication
  8. The valuation of American options in multidimensional exponential Levy model
    Authors:
    Tomasz Klimsiak i Andrzej Rozkosz
    Academic press:
    Mathematical Finance (rok: 2017, ), Wydawca: Wiley
    Status:
    Accepted for publication
    DOI:
    10.1111/mafi.12163 - link to the publication
  9. Renormalized solutions of semilinear elliptic equations with general measure data
    Authors:
    Tomasz Klimsiak i Andrzej Rozkosz
    Academic press:
    Monatshefte fur Mathematik , Wydawca: Springer
    Status:
    Submitted
    DOI:
    brak - link to the publication
  10. Systems of semilinear parabolic variational inequalities with time-dependent convex obstacles
    Authors:
    Tomasz Klimsiak, Andrzej Rozkosz i Leszek Słomiński
    Academic press:
    Applied Mathematics and Optimalizations (rok: 2018, tom: 77, strony: 541-566), Wydawca: Springer
    Status:
    Published
    DOI:
    10.1007/s00245-016-9387-8 - link to the publication
  11. Large time behaviour of solutions to parabolic equations with Dirichlet operator and nonlinear dependence on measure data
    Authors:
    Tomasz Klimsiak i Andrzej Rozkosz
    Academic press:
    Potential Analysis , Wydawca: Springer
    Status:
    Accepted for publication
    DOI:
    10.1007/s111118-018-9711-9 - link to the publication
  12. Sweeping processes with stochastic perturbation generated by a fractional Brownian motion
    Authors:
    Adrian Falkowski i Leszek Słomiński
    Academic press:
    Journal of Differential Equations , Wydawca: Elsevier
    Status:
    Submitted
    DOI:
    brak - link to the publication
  13. Nonlinear parabolic SPDEs involving Dirichlet operators
    Authors:
    Tomasz Klimsiak i Andrzej Rozkosz
    Academic press:
    Studia Mathematica (rok: 2015, tom: 230, strony: 215-263), Wydawca: Instytut Matematyczny PAN
    Status:
    Published
    DOI:
    10.4064/sm8328-1-2016 - link to the publication
  14. Reflected BSDEs in time-dependent convex regions
    Authors:
    Tomasz Klimsiak, Andrzej Rozkosz i Leszek Słomiński
    Academic press:
    Stochastic Processes and their Applications (rok: 2015, tom: 125, strony: 571-596), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.spa.2014.09.013 - link to the publication
  15. Cadlag Skorokhod problem driven by a maximal monotone operator
    Authors:
    Lucian Maticiuc, Aurel Rascanu, Leszek Słomiński i Mateusz Topolewski
    Academic press:
    Journal of Mathematical Analysis and Applications (rok: 2015, tom: 429, strony: 759-779), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.jmaa.2015.03.086 - link to the publication
  16. Multivalued monotone stochastic differential equations with jumps
    Authors:
    Lucian Maticiuc, Aurel Rascanu i Leszek Słomiński
    Academic press:
    Stochastics and Dynamics (rok: 2017, tom: 17, 1750018, strony: 25), Wydawca: World Scientific Publishing Company
    Status:
    Published
    DOI:
    10.1142/S0219493717500186 - link to the publication
  17. SDEs with constraints driven by semimartingales and processes with bounded p-variation
    Authors:
    Adrian Falkowski i Leszek Słomiński
    Academic press:
    Stochastic Processes and their Applications (rok: 2017, tom: 127, strony: 3536-3557), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.spa.2017.03.003 - link to the publication
  18. Semilinear elliptic equations with Dirichlet operator and singular nonlinearities
    Authors:
    Tomasz Klimsiak
    Academic press:
    Journal of Functional Analysis (rok: 2017, tom: 272, strony: 929-975), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.029 - link to the publication
  19. Stochastic differential equations with constraints driven by processes with bounded p-variation
    Authors:
    Adrian Falkowski i Leszek Słomiński
    Academic press:
    Probability and Mathematical Statistics (rok: 2015, tom: 35, strony: 343-365), Wydawca: Wydawnictwo Uniwersytetu Wrocławskiego
    Status:
    Published
    DOI:
    brak - link to the publication
  20. Weak and strong discrete-time approximation of fractional SDEs
    Authors:
    Adrian Falkowski, Leszek Słomiński i Bartosz Ziemkiewicz
    Academic press:
    Lithuanian Mathematical Journal (rok: 2014, tom: 54 (4), strony: 409-428), Wydawca: Springer
    Status:
    Published
    DOI:
    10.1007/s10986-014-9253-9 - link to the publication
  21. Obstacle problem for semilinear parabolic equations with measure data
    Authors:
    Tomasz Klimsiak i Andrzej Rozkosz
    Academic press:
    Journal of Evolution Equations (rok: 2015, tom: 15, strony: 457-491), Wydawca: Springer
    Status:
    Published
    DOI:
    10.1007/s00028-014-0269-8 - link to the publication
  22. The Early Exercise Premium Representation for American Options and Multiply Assets
    Authors:
    Tomasz Klimsiak i Andrzej Rozkosz
    Academic press:
    Applied Mathematics & Optimization (rok: 2016, tom: 73, strony: 99-114), Wydawca: Springer
    Status:
    Published
    DOI:
    10.1007/s00245-015-9293-5 - link to the publication

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