Projects funded by the NCN

Information on the principal investigator and host institution

Information of the project and the call

Keywords

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Backward stochastic differential equations and their applications

2016/23/B/ST1/01543

Keywords:

backward stochastic differential equations reflected backward stochastic differential equations doubly stochastic backward differential equations partial differential equations stochastic partial differential equations obstacle problem Dynkin games

Descriptors:

  • ST1_13: Probability and statistics
  • ST1_11: Partial differential equations

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):

dr hab. Andrzej Rozkosz 

Number of co-investigators in the project: 5

Call: OPUS 12 - announced on 2016-09-15

Amount awarded: 356 000 PLN

Project start date (Y-m-d): 2017-08-29

Project end date (Y-m-d): 2022-08-28

Project duration:: 60 months (the same as in the proposal)

Project status: Project settled

Project description

Download the project description in a pdf file

Note - project descriptions were prepared by the authors of the applications themselves and placed in the system in an unchanged form.

Equipment purchased [PL]

  1. Laptop (18 000 PLN)

Information in the final report

  • Publication in academic press/journals (17)
  1. Backward stochastic differential equations with mean reflection and two constraints
    Authors:
    Adrian Falkowski i Leszek Słomiński
    Academic press:
    Bulletin des Sciences Mathematiques (rok: 2022, tom: 176, strony: 1-31 (artykuł nr 103117)), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.bulsci.2022.103117 - link to the publication
  2. Backward stochastic differential equations with two barriers and generalized reflection
    Authors:
    Adrian Falkowski i Leszek Słomiński
    Academic press:
    Stochastic Processes and their Applications (rok: 2020, tom: 130, strony: 4746-4765), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.spa.2020.01.015 - link to the publication
  3. On the structure of diffuse measures for parabolic capacities
    Authors:
    Tomasz Klimsiak i Andrzej Rozkosz
    Academic press:
    Comptes Rendus Mathematique. Academie des Sciences. Paris (rok: 2019, tom: 357, strony: 443-449), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j/crma.2019.04.012 - link to the publication
  4. SDEs with two reflecting barriers driven be semimartingales and processes with bounded p-variation
    Authors:
    Adrian Falkowski i Leszek Słomiński
    Academic press:
    Stochastic Processes nad their Applications (rok: 2022, tom: 146, strony: 164-186), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.spa.2022.01.004 - link to the publication
  5. Systems of BSDEs with oblique reflection and related optimal switching problems
    Authors:
    Mateusz Topolewski
    Academic press:
    Stochastics and Dynamics (rok: 2019, tom: 19, strony: Art. 1950030,1-26), Wydawca: World Scientific
    Status:
    Published
    DOI:
    10.1142/S0219493719500308 - link to the publication
  6. Long-time asymptotic behaviour of the value function in nonlinear stopping problems
    Authors:
    Tomasz Klimsiak i Andrzej Rozkosz
    Academic press:
    ALEA. Latin American Journal of Probability and Mathematical Statistics (rok: 2022, tom: 19, strony: 1133-1160), Wydawca: Inst. Mat. Pura Apl. (IMPA)
    Status:
    Published
    DOI:
    10.30757/ALEA.v19-47 - link to the publication
  7. On perpetual American options in a multidimensional Black-Scholes model
    Authors:
    Andrzej Rozkosz
    Academic press:
    Stochastics-An International Journal of Probability and Stochastic Reports (rok: 2022, tom: 94, strony: 723-744), Wydawca: Taylor & Francis
    Status:
    Published
    DOI:
    10.1080/17442508.2021.1993444 - link to the publication
  8. Reflected backward stochastic differential equations with two optional barriers
    Authors:
    Tomasz Klimsiak, M. Rzymowski i Leszek Słomiński
    Academic press:
    Bulletin des Sciences Mathematiques (rok: 2019, tom: 158, strony: 1-49 (artykuł nr 102820)), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.bulsci.2019.102820 - link to the publication
  9. Trace operator and the Dirichlet problem for elliptic equations on arbitrary bounded open sets
    Authors:
    Tomasz Klimsiak
    Academic press:
    Journal of Functional Analysis (rok: 2019, tom: 277, strony: 1499-1530), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.jfa.2019.06.004 - link to the publication
  10. On approximationof of a Dirichlet problem for divergence form operator by Robin problems
    Authors:
    Andrzej Rozkosz i Leszek Słomiński
    Academic press:
    Electronic Communications in Probability , Wydawca: The Institute of Mathematical Statistics
    Status:
    Submitted
    DOI:
    brak - link to the publication
  11. Mean reflected stochastic differential equations with two constraints
    Authors:
    Adrian Falkowski i Leszek Słomiński
    Academic press:
    Stochastic Processes and their Applications (rok: 2021, tom: 141, strony: 172-196), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.spa.2021.07.008 - link to the publication
  12. Non-semimartingale solutions of reflected BSDEs and applications to Dynkin games
    Authors:
    Tomasz Klimsiak
    Academic press:
    Stochastic Processes and their Applications (rok: 2021, tom: 134, strony: 208--239), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.spa.2020.12.008 - link to the publication
  13. On semilinear elliptic equations with diffuse measures
    Authors:
    Tomasz Klimsiak i Andrzej Rozkosz
    Academic press:
    NoDEA. Nonlinear Differential Equations and Applications (rok: 2018, tom: 25, strony: 1-23 (artykuł nr 35)), Wydawca: Birkhauser Verlag
    Status:
    Published
    DOI:
    10.1007/s00030-018-0526-6 - link to the publication
  14. Nonlinear BSDEs in general filtration with drivers depending on the martingale part of a solution
    Authors:
    Tomasz Klimsiak i Maurycy Rzymowski
    Academic press:
    Stochastic Processes and their Applications , Wydawca: Elsevier
    Status:
    Submitted
    DOI:
    brak - link to the publication
  15. Reflected BSDEs with general filtration and two completely separated barriers
    Authors:
    Mateusz Topolewski
    Academic press:
    Probability and Mathematical Statistics (rok: 2019, tom: 39, strony: 199-218), Wydawca: Wydawnictwo Uniwersytetu Wrocławskiego
    Status:
    Published
    DOI:
    10.19195/0208-4147.39.1.13 - link to the publication
  16. Reflected BSDEs with two optional barriers and monotone coefficient on general filtered space
    Authors:
    Tomasz Klimsiak i Maurycy Rzymowski
    Academic press:
    Electronic Journal of Probability (rok: 2021, tom: 26, strony: 1-24 (artykuł nr 91)), Wydawca: The Institute of Mathematical Statistics
    Status:
    Published
    DOI:
    10.1214/21-EJP655 - link to the publication
  17. Smooth measures and capacities associated with nonlocal parabolic operators
    Authors:
    Tomasz Klimsiak i Andrzej Rozkosz
    Academic press:
    Journal of Evolution Equations (rok: 2019, tom: 19, strony: 997-1040), Wydawca: Birkhauser Verlag
    Status:
    Published
    DOI:
    10.1007/s00028-019-00500-0 - link to the publication

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