Linear Backward Stochastic Differential Equations
Backward stochastic differential equations with unbounded coefficients and their applications
... 5.1 Abstract We consider the problem of solvability for linear backward stochastic differential equations with unbounded coefficients. New and weaker sufficient conditions for the ...
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Quasi-linear PDEs and forward-backward stochastic differential equations: weak solutions
... backward equations. It is a circular dependence of solutions of both equations, which need to be solved simultaneously rather than one after ...
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Backward stochastic differential equations with Young drift
... Here η has finite q-variation, with q ∈ [ 1 , 2 ) and the last term is a priori not well-defined. There are several approaches to make sense of such a “rough” PDE (or pathwise SPDEs). We shall employ the solution concept ...
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Backward stochastic differential equations with an unbounded generator
... of backward stochastic differential equa- ...the linear growth and continuity assumptions on the possibly unbounded generator, we prove the existence of the solution ...of equations is ...
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Contribution on Backward Doubly Stochastic Differential Equations.
... of linear growth and the continuity left inand the continuity left in y on the ...anticipated backward doubly stochastic di¤erential equation equations driven by teughles martingales (RABDSDEs ...
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Stochastic control representations for penalized backward stochastic differential equations
... Let us first recall the basic idea of Krylov’s randomized stopping. For simplicity, we only consider the linear case f s (y, z) = f s . For any fixed time t ∈ [0, T ], consider a nonnegative control process (r s ) ...
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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 ...
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On backward stochastic differential equations and strict local martingales
... has linear growth, and X is a strict local martingale, multiple solutions to (PDE) (now a linear equation) has been observed in ...most linear growth functions, to valuation equations ...
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Quasilinear PDEs and forward-backward stochastic differential equations
... partial differential equations ...ward stochastic differential equations (FBSDEs) with finite horizon, the regularity prop- erty of the solution of FBSDEs and the connection between the ...
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A Clustering Method to Solve Backward Stochastic Differential Equations with Jumps
... In this paper, we apply the methodology to evaluate conditional expectations, which is originally introduced in [1], to solve BSDEs with jumps. This novel method simplifies the structures of the approximate solution to ...
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Malliavin calculus for backward stochastic differential equations and stochastic differential equations driven by fractional Brownian motion and numerical schemes
... determined by a quasi-linear partial differential equation of parabolic type. Recently, Bouchard and Touzi [4] propose a Monte-Carlo approach which may be more suitable for high-dimensional problems. Again ...
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Backward stochastic differential equations with Markov chains and related asymptotic properties
... Z ε s dB s ); ≤ t ≤ T } converges weakly with the limit formed by the solution of a simpler BSDE which involves the limit aggregated Markov chain. As far as we know, such asymptotic property of BSDE with a singularly ...
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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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Theory and applications of decoupling fields for forward-backward stochastic differential equations
... partial differential equations via the Feynman-Kac ...this stochastic interpretation of second order PDEs we are able to implement a rather explicit ...
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Forward backward stochastic differential equations: existence, uniqueness, a large deviations principle and connections with partial differential equations
... quasi- linear parabolic system of PDEs takes the form of the backward Burgers Equation, the problem is the convergence of the solution when the viscosity parameter goes to ...
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Backward stochastic partial differential equations driven by infinite dimensional martingales and applications
... An alternative way to see this is the study of the relation between these two types of solutions as in [2]. Recall the discussion in the introduction regarding the inability of using the semigroup approach in our case ...
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Strong convergence rates for backward Euler–Maruyama method for non-linear dissipative-type stochastic differential equations with super-linear diffusion coefficients
... of stochastic differential equations (SDEs) with non-linear and non- Lipschitzian ...a stochastic counterpart of the discrete LaSalle principle from which we deduce stability properties ...
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Strong convergence rates for backward Euler–Maruyama method for non-linear dissipative-type stochastic differential equations with super-linear diffusion coefficients
... a stochastic version of the LaSalle ...first stochastic counterpart of his great achievement was established by Mao [33] under the local Lipschitz and linear growth condi- ...this stochastic ...
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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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Error estimates of the backward Euler-Maruyama method for multi-valued stochastic differential equations
... the stochastic partial differential equation ...quasi-linear stochastic partial differential equations we are confident that our approach could lead to interesting new insights ...
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