[PDF] Top 20 Backward stochastic differential equations with unbounded coefficients and their applications
Has 10000 "Backward stochastic differential equations with unbounded coefficients and their applications" found on our website. Below are the top 20 most common "Backward stochastic differential equations with unbounded coefficients and their applications".
Backward stochastic differential equations with unbounded coefficients and their applications
... possibly unbounded generator are important in mathemati- cal ...a stochastic differential equation ...are unbounded processes, it gives rise to various problems in a market with ... See full document
138
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 ... See full document
14
Backward stochastic differential equations with Markov chains and related asymptotic properties
... As in [], the Markov chain can be used to capture the market trends which are crucial factors that affect most investment decisions. We believe that our results have applica- tions in such financial markets due to the ... See full document
17
Stochastic control representations for penalized backward stochastic differential equations
... The paper is organized as follows: Theorem 1.2 is proved in Section 2. Then we provide four applications of the optimal stopping representation (1.5) in the following sections. In Section 3 we give the convergence ... See full document
25
Numerical approximations of McKean anticipative backward stochastic differential equations arising in initial margin requirements*
... partial differential equations (PDEs) was studied in ...several applications in finance have been proposed, in particular by El Karoui and co-authors [EPQ97] who considered the application to ... See full document
26
Fully coupled forward backward stochastic differential equations on Markov chains
... In the classic BSDE theory, we consider a Brownian motion as the driver, but a Brownian motion is a kind of very idealized stochastic model, which limits greatly the applications of the classic BSDEs. There ... See full document
18
Multi valued backward stochastic differential equations with regime switching
... In particular, Pardoux and Răşcanu [6] gave some results about multi-valued BSDEs (MBSDEs, in short). In that paper, they presented a probabilistic interpretation for the viscosity solution of some parabolic and elliptic ... See full document
21
Backward stochastic differential equations with Young drift
... In (Diehl et al. 2015), well-posedness of the corresponding mixed SDE is estab- lished by first constructing a joint rough path “above” W and η . The deterministic theory of rough paths then allows mixed SDEs to be ... See full document
17
Singular Optimal Control Problem of Stochastic Switching Systems
... practical applications in fields such as physics, biology, economics, management sciences, ...modern stochastic optimal control theory has been developed along the lines of Pontryagin’s maximum principle ... See full document
5
Strong convergence rates for backward Euler–Maruyama method for non-linear dissipative-type stochastic differential equations with super-linear diffusion coefficients
... The rest of the paper is arranged as follows. In section 2, we introduce the monotone condition under which we prove the existence of a unique solution to equation (1.1), along with appropriate bounds that will be needed ... See full document
21
Non zero sum differential games of anticipated forward backward stochastic differential delayed equations under partial information and application
... wide applications and can explain various past-dependent ...the stochastic filtering formula, we derived the fil- tering equation and proved the existence and uniqueness of the filtering equation and the ... See full document
21
Mean-field type games between two players driven by backward stochastic differential equations
... with coefficients involving the marginal state distribution, mean-field BSDEs, has recently gained ...of stochastic differential equations, arising both in dynamic programming and from the ... See full document
26
Discretizing a backward stochastic differential equation
... important applications into control theory and mathematical finance, many math- ematicians are not satisfied merely by descriptive existence ...forward-backward stochastic differen- tial ... See full document
14
Backward stochastic partial differential equations driven by infinite dimensional martingales and applications
... a backward stochastic differential equation driven by an infinite dimensional ...a backward stochastic partial differential equation in infinite ...more applications, for example the ... See full document
37
Mean-field backward doubly stochastic differential equations and related SPDEs
... large stochastic particle systems with mean- field interaction have been studied by stochastic methods in recent years (see [–] and the references ...have applications in many areas such as ... See full document
20
An asymmetric information non zero sum differential game of mean field backward stochastic differential equation with applications
... their applications has become popular among ...zero-sum stochastic differential game with partial information and applied the results to study a portfolio game problem; Hafayed et ...mean-field ... See full document
25
Strong completeness for a class of stochastic differential equations with irregular coefficients
... diffusion coefficients are uniformly elliptic and uniformly continuous, see ...diffusion coefficients to be uniformly elliptic or to be uniformly continuous, nor the derivatives satisfy some L p ... See full document
35
Criteria for Bounded (Unbounded) Oscillations of neutral Impulsive Differential Equations of the Second Order with Variable Coefficients
... C2.3: q( ) t PC t ([ , ), R), 0 q t ( ) q 1 0 for t [ , ). t 0 The following Lemma 2.1 and Lemma 2.2, which are essential in carrying out our investigation are impulsive extensions of the work done by Grammatikopoulos et ... See full document
5
Some existence results for advanced backward stochastic differential equations with a jump time*,**
... Using the methodology of BSDEs in an enlargement of filtration setting as in Kharroubi and Lim [8], we give conditions such that there exists a unique solution of (0.1) and of (0.2) under immersion hypothesis and in ... See full document
23
A branching particle system approximation for a class of FBSDEs
... forward- backward stochastic differential equations (FBSDEs) is proposed by using branching particle systems in a random ...by stochastic differential equations derived ... See full document
34
Related subjects