An Investigation of an Integral Equation Involving Convex–Concave Nonlinearities

We investigate the existence and uniqueness of positive solutions to an integral equation involving convex or concave nonlinearities. A numerical algorithm based on Picard iterations is provided to obtain an approximation of the unique solution. The main tools used in this work are based on partial-ordering methods and fixed-point theory. Our results are supported by examples.

On the Existence and Uniqueness of Solutions for Multidimensional Fractional Stochastic Differential Equations with Variable Order

Fractional stochastic differential equations are still in their infancy. Based on some existing results, the main difficulties here are how to deal with those equations if the fractional order is varying with time and how to confirm the existence of their solutions in this case. This paper is about the existence and uniqueness of solutions to the fractional stochastic differential equations with variable order. We prove the existence by using the Picard iterations and propose new sufficient conditions for the uniqueness.

Constructing C0-Semigroups via Picard Iterations and Generating Functions: An Application to a Black–Scholes Integro-Differential Operator

An alternative approach is proposed for constructing a strongly continuous semigroup based on the classical method of successive approximations, or Picard iterations, together with generating functions. An application to a Black–Scholes integro-differential operator which arises in the pricing of European options under jump-diffusion dynamics is provided. The semigroup is expressed as the Mellin convolution of time-inhomogeneous jump and Black–Scholes kernel functions. Other applications to the heat and transport equations are also given. The connection of the proposed approach to the Adomian decomposition method is explored.

Backward stochastic differential equations with unbounded generators

In this paper, we consider two classes of backward stochastic differential equations (BSDEs). First, under a Lipschitz-type condition on the generator of the equation, which can also be unbounded, we give sufficient conditions for the existence of a unique solution pair. The method of proof is that of Picard iterations and the resulting conditions are new. We also prove a comparison theorem. Second, under the linear growth and continuity assumptions on the possibly unbounded generator, we prove the existence of the solution pair. This class of equations is more general than the existing ones.