Forward–backward stochastic differential equations
A Mean Field Stochastic Maximum Principle for Optimal Control of Forward Backward Stochastic Differential Equations with Jumps via Malliavin Calculus
... the stochastic processes and also because our control must be partial information adapted, this problem is not of Markovian type and hence cannot be solved by dynamic programming even if the mean term were not ...
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A New Second Order Numerical Scheme for Solving Forward Backward Stochastic Differential Equations with Jumps
... A New Second Order Numerical Scheme for Solving Forward Backward Stochastic Differential Equations with Jumps Hongqiang Zhou, Yang Li, Zhe Wang College of Science, University of Shanghai[r] ...
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Fully coupled forward backward stochastic differential equations on Markov chains
... ward stochastic differential equations (BSDEs) driven by a Brownian motion has been in- tensively researched by many researchers and has achieved abundant theoretical ...in stochastic control, ...
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Backward stochastic differential equations with unbounded coefficients and their applications
... Such equations have shown of importance interest in various ...possible. Forward- Backward Stochastic Differential Equations (FBSDEs) are of significant interest in many ...
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A branching particle system approximation for a class of FBSDEs
... In this paper we investigated a new numerical scheme for a class of coupled forward- backward stochastic differential equations. Combining the four step scheme and the Euler Scheme, we ...
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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 jumps and applications, Stochastic ...of stochastic systems with random jumps, SIAM ...of forward–backward ...
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An asymmetric information non zero sum differential game of mean field backward stochastic differential equation with applications
... Riccati-type equations and a mean-field ...zero-sum stochastic differential game under partial ...field stochastic differential game and solved the corresponding optimal control problems for the follower ...
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Mean-field type games between two players driven by backward stochastic differential equations
... of forward-backward systems of stochastic differential equations, arising both in dynamic programming and from the Pontryagin type stochastic maximum ...principle. ...
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Non zero sum differential games of anticipated forward backward stochastic differential delayed equations under partial information and application
... on stochastic differen- tial game problems driven by stochastic differential equations have ...a forward and backward ...a forward-backward sys- ...
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Exact and approximate solutions of fractional partial differential equations for water movement in soils
... the backward and forward fractional derivatives with the former representing the wandering process of soil water ...The backward fractional derivative accounts for the backwater effect at a ...
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Mean-field backward doubly stochastic differential equations and related SPDEs
... mean-field forward-backward doubly stochastic differential equation and study the regularity of its solution with respect to x, which is the initial condition of the McKean-Vlasov ...
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Delayed Forward-Backward stochastic PDE's driven by non Gaussian Lévy noise with application in finance
... o stochastic differential ...of stochastic functional delay differential equations (SFDDEs), in particular in the light of [BCDNR16] where SFDDEs with jumps have been ...
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Discretizing a backward stochastic differential equation
... coupled forward-backward stochastic differen- tial equations, in which it is assumed that ξ = g(V T ) where {V t } t is the solution to ...
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Backward-forward linear-quadratic mean-field games with major and minor agents
... the backward-forward linear-quadratic-Gaussian (LQG) games with major and minor agents ...linear backward stochastic differential equation (BSDE) and the states of minor agents are ...
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Sensitivity analysis for HJB equations with an application to a coupled backward-forward system
... a stochastic differential equation to describe the evolution, we associate the underlying controlled evolution to a family of linear operators, which depend on three parameters: time t, control u and a ...
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Almost sure exponential stability of backward Euler–Maruyama discretizations for hybrid stochastic differential equations
... This is a continuation of the first author’s earlier paper [17] jointly with Pang and Deng, in which the authors established some sufficient conditions under which the Euler–Maruyama (EM) method can reproduce the almost ...
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Numerical approximations of McKean anticipative backward stochastic differential equations arising in initial margin requirements*
... BSDEs were introduced by Pardoux and Peng [PP90]. Since then, the theoretical properties of BSDEs with different generators and terminal conditions have been extensively studied. The link between Markovian BSDEs and ...
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Comparison theorem of one-dimensional stochastic hybrid delay systems
... o’s stochastic differential equations have received a lot of attention, for example, Anderson [1], Gal’cuk and Davis [4], Ikeda and Watanable [6], Mao [10], Skorohod [14], Yamada [18] and Yan [19] ...
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Stability of two classes of improved backward Euler methods for stochastic delay differential equations of neutral type
... improved backward Euler methods, namely split-step ( θ, λ )-backward Euler (SSBE) and semi-implicit ( θ, λ )- Euler (SIE) methods, for nonlinear neutral stochastic delay differential equations ...
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Backward stochastic evolution equations in infinite dimensions
... Such equations have proved to be very useful in the study of the adjoint equation of an optimal control of a quasilinear stochastic heat equation, see [37], in which the Wiener filtratio[r] ...
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