Linear Backward Stochastic Differential Equations with
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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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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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
... In order to bound the p-variation norm of the stochastic integral, we apply the conditional version of the Burkholder–Davis–Gundy inequality for p-variation, see (5). This explains the use of the BMO norm for Z. ...
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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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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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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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Stochastic control representations for penalized backward stochastic differential equations
... Penalized BSDE is nothing but a random time discretization of the optimal stopping representation for the corresponding reflected BSDE, where the time is discretized by Poisson arrival times. Acknowledgments. The author ...
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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
... Midlands Stochastic Analysis Seminars; to Catherine Wright, Louise Kitching and all other secretaries in De- partment for their help in my study; to my classmates Yue Wu, Ye Luo, Kenneth Uda and Cyrus Yeadon for ...
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Regularity and representation of viscosity solutions of partial differential equations via backward stochastic differential equations
... partial differential equation with Lipschitz coefficients by using its connection with a forward backward stochastic differential equation (in short FBSDE) and we give a probabilistic ...
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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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A Clustering Method to Solve Backward Stochastic Differential Equations with Jumps
... Abstract In this paper, we introduce a clustering method to approximate the solution to a general Backward Stochastic Differential Equation with Jumps (BSDEJ). We show the convergence of the sequence ...
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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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Empirical Regression Method for Backward Doubly Stochastic Differential Equations
... approximating Backward Doubly Stochastic Differential Equations (BDSDEs for short) which represent solution to Stochastic Partial Differential Equations ...
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On solutions to backward stochastic partial differential equations for Lévy processes
... 1 , x , x 2 , . . . with respect to the measure µ( dx ) = x 2 ν( dx ) + σ 2 δ 0 ( dx ) . The resulting processes H ( i ) = { H t ( i ) , t ≥ 0 } are called the orthonormalized ith-power-jump processes. As an application ...
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Malliavin calculus for backward stochastic differential equations and stochastic differential equations driven by fractional Brownian motion and numerical schemes
... of stochastic differential equations (SDEs, for short) driven by Brownian motion is essentially based on the method of time discretization and has a long ...
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Mean-field backward doubly stochastic differential equations and related SPDEs
... of stochastic partial differential equations by virtue of mean-field BDSDEs, which can be viewed as the stochastic Feynman-Kac formula for SPDEs of mean-field ...
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Backward stochastic differential equations with Markov chains and related asymptotic properties
... This result provides a probabilistic approach to study the homogenization property of the system of backward PDEs with the singularly perturbed Markov chain. It is noted that in this paper we only give the ...
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