Backward Stochastic Differential Equations with a Con-
Backward stochastic differential equations with Young drift
... of backward stochastic differential equations containing an additional drift driven by a path of finite q-variation with q ∈ [ 1 , 2 ) ...partial differential equations via a ...
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Stochastic control representations for penalized backward stochastic differential equations
... BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS GECHUN LIANG † ...penalized backward stochastic differential equation (BSDE), which is often used to approximate and solve the ...
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Backward stochastic differential equations with unbounded coefficients and their applications
... Such equations have shown of importance interest in various ...Forward- Backward Stochastic Differential Equations (FBSDEs) are of significant interest in many practical ...the ...
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On backward stochastic differential equations and strict local martingales
... Peng, Backward stochastic differential equations and quasilinear parabolic partial differential equations, in: Stochastic Partial Differential Equations and ...
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Multi valued backward stochastic differential equations with regime switching
... Multi valued backward stochastic differential equations with regime switching Deng and Ren Advances in Difference Equations (2019) 2019 523 https //doi org/10 1186/s13662 019 2421 9 R E S E A R C H Op[.] ...
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Singular Forward-Backward Stochastic Differential Equations and Emissions Derivatives
... forward-backward stochastic differential equations with a singular terminal condition and we explain how and why they appear naturally as models for the valuation of CO 2 emission ...partial ...
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Malliavin calculus for backward stochastic differential equations and stochastic differential equations driven by fractional Brownian motion and numerical schemes
... study backward stochastic differential equations with general ter- minal value and general random ...for backward stochastic differential equa- tions are proposed and the ...
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Forward-Backward Stochastic Differential Equations and Controlled McKean Vlasov Dynamics
... the stochastic Pontryagin maximum principle that is tailor-made to McKean- Vlasov dynamics and give sufficient conditions for existence of an optimal ...Forward Backward Stochastic ...
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Forward-backward stochastic differential equations and Newton's method (Probability Symposium)
... 123 [18] Jiongmin Yong, Finding adapted solutions of forward‐backward stochastic differential equations: method of continuation, Probability Theory and Related Fields 107 1997, no.. [19][r] ...
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Forward backward stochastic differential equations: existence, uniqueness, a large deviations principle and connections with partial differential equations
... Forward Backward Stochastic Differential Equations (FBSDEs for short) with different assumptions on its ...Partial Differential Equations (PDEs for ...
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Quasi-linear PDEs and forward-backward stochastic differential equations: weak solutions
... forward-backward stochastic differential equations; weak solutions; quasi-linear partial differential equations; probabilistic representation; parabolic; elliptic; infinite ...
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Some existence results for advanced backward stochastic differential equations with a jump time*,**
... advanced backward stochastic differential equations (ABSDEs), in a probability space equipped with a Brownian motion and a single jump process, with a jump at time τ ...
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Optimal control of semi-Markov processes with a backward stochastic differential equations approach
... of backward stochastic differential equations (BSDEs), driven by the random measure associated to the process ...the backward equation admits numerical approximations, see for instance ...
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The adapted solution and comparison theorem for backward stochastic differential equations with Poisson jumps and applications
... of backward stochastic differential equations with Poisson jumps and with random terminal ...partial differential and integral equations (PDIEs) by using the solution of ...
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The adapted solution and comparison theorem for backward stochastic differential equations with Poisson jumps and applications
... of backward stochastic differential equations with Poisson jumps and with random terminal ...partial differential and integral equations (PDIEs) by using the solution of ...
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A New Second Order Numerical Scheme for Solving Forward Backward Stochastic Differential Equations with Jumps
... solving backward stochastic differential equations with jumps with the generator f = r t x y ( , t , t ) + h t z ( ) t + g t ( ) Γ t linearly de- pending on z t ...
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Switching Game of Backward Stochastic Differential Equations and Associated System of Obliquely Reflected Backward Stochastic Differential Equations
... This paper is concerned with the switching game of a one-dimensional backward stochastic differential equation (BSDE). The associated Bellman-Isaacs equation is a system of matrix-valued BSDEs living ...
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Backward stochastic differential equations with an unbounded generator
... these equations is not only theoretical, but is also motivated by applications in mathematical ...by stochastic differential equations (see, for example, [44], [11], ...
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BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS WITH ROUGH DRIVERS
... This paper is structured as follows. In Section 2, we state and prove our main result concerning the existence and uniqueness of BSDEs with rough drivers. Sec- tion 3 specializes the setting to a purely Markovian one. In ...
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Mean Field Forward-Backward Stochastic Differential Equations
... fact stochastic control problems and FBSDEs are derived from an application of a version of the stochastic maximum principle, and the compactness estimates are derived from the linear nature of the forward ...
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