Zmiana języka

Projects search

Backward stochastic differential equations and their applications

2016/23/B/ST1/01543

Keywords

Descriptors

  • ST1_13: Rachunek prawdopodobieństwa i statystyka matematyczna
  • ST1_11: Równania różniczkowe cząstkowe

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

Voivodeship: 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
2017-08-29
Project end date
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. Cost: 18 000 PLN

Information in the final report

Publication in academic press/journals (15)

  1. Reflected backward stochastic differential equations with two optional barriers

    Authors:
    Tomasz Klimsiak, M. Rzymowski i Leszek Słomiński
    Academic press:
    Bulletin des Sciences Mathematiques (year: 2019, volume: 158, pages: 1-49 (artykuł nr 102820)), Publisher: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.bulsci.2019.102820 – link to the publication

  2. 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 (year: 2022, volume: 146, pages: 164-186), Publisher: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.spa.2022.01.004 – 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 (year: 2019, volume: 357, pages: 443-449), Publisher: Elsevier
    Status:
    Published
    DOI:
    10.1016/j/crma.2019.04.012 – link to the publication

  4. 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 (year: 2021, volume: 26, pages: 1-24 (artykuł nr 91)), Publisher: The Institute of Mathematical Statistics
    Status:
    Published
    DOI:
    10.1214/21-EJP655 – link to the publication

  5. Mean reflected stochastic differential equations with two constraints

    Authors:
    Adrian Falkowski i Leszek Słomiński
    Academic press:
    Stochastic Processes and their Applications (year: 2021, volume: 141, pages: 172-196), Publisher: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.spa.2021.07.008 – link to the publication

  6. Reflected BSDEs with general filtration and two completely separated barriers

    Authors:
    Mateusz Topolewski
    Academic press:
    Probability and Mathematical Statistics (year: 2019, volume: 39, pages: 199-218), Publisher: Wydawnictwo Uniwersytetu Wrocławskiego
    Status:
    Published
    DOI:
    10.19195/0208-4147.39.1.13 – link to the publication

  7. Non-semimartingale solutions of reflected BSDEs and applications to Dynkin games

    Authors:
    Tomasz Klimsiak
    Academic press:
    Stochastic Processes and their Applications (year: 2021, volume: 134, pages: 208--239), Publisher: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.spa.2020.12.008 – link to the publication

  8. 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 (year: 2022, volume: 19, pages: 1133-1160), Publisher: Inst. Mat. Pura Apl. (IMPA)
    Status:
    Published
    DOI:
    10.30757/ALEA.v19-47 – 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 (year: 2019, volume: 277, pages: 1499-1530), Publisher: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.jfa.2019.06.004 – link to the publication

  10. Smooth measures and capacities associated with nonlocal parabolic operators

    Authors:
    Tomasz Klimsiak i Andrzej Rozkosz
    Academic press:
    Journal of Evolution Equations (year: 2019, volume: 19, pages: 997-1040), Publisher: Birkhauser Verlag
    Status:
    Published
    DOI:
    10.1007/s00028-019-00500-0 – link to the publication

  11. Backward stochastic differential equations with two barriers and generalized reflection

    Authors:
    Adrian Falkowski i Leszek Słomiński
    Academic press:
    Stochastic Processes and their Applications (year: 2020, volume: 130, pages: 4746-4765), Publisher: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.spa.2020.01.015 – link to the publication

  12. On perpetual American options in a multidimensional Black-Scholes model

    Authors:
    Andrzej Rozkosz
    Academic press:
    Stochastics-An International Journal of Probability and Stochastic Reports (year: 2022, volume: 94, pages: 723-744), Publisher: Taylor & Francis
    Status:
    Published
    DOI:
    10.1080/17442508.2021.1993444 – link to the publication

  13. Backward stochastic differential equations with mean reflection and two constraints

    Authors:
    Adrian Falkowski i Leszek Słomiński
    Academic press:
    Bulletin des Sciences Mathematiques (year: 2022, volume: 176, pages: 1-31 (artykuł nr 103117)), Publisher: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.bulsci.2022.103117 – link to the publication

  14. Systems of BSDEs with oblique reflection and related optimal switching problems

    Authors:
    Mateusz Topolewski
    Academic press:
    Stochastics and Dynamics (year: 2019, volume: 19, pages: Art. 1950030,1-26), Publisher: World Scientific
    Status:
    Published
    DOI:
    10.1142/S0219493719500308 – link to the publication

  15. On semilinear elliptic equations with diffuse measures

    Authors:
    Tomasz Klimsiak i Andrzej Rozkosz
    Academic press:
    NoDEA. Nonlinear Differential Equations and Applications (year: 2018, volume: 25, pages: 1-23 (artykuł nr 35)), Publisher: Birkhauser Verlag
    Status:
    Published
    DOI:
    10.1007/s00030-018-0526-6 – link to the publication

« New search

Graphic design and implementation: Jakub Piotrowski