[PDF] Top 20 Backward stochastic differential equations with Young drift
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Backward stochastic differential equations with Young drift
... Stochastic differential equations (SDEs) driven by Brownian motion W and an addi- tional deterministic path η of low regularity (so called “mixed SDEs”) have been ...using Young integration ... See full document
17
The Euler scheme for stochastic differential equations with discontinuous drift coefficient: a numerical study of the convergence rate
... constant drift and a constant diffusion coefficient and carry out intensive numerical tests for its convergence ...the drift coefficient and the initial ... See full document
21
Mean-field type games between two players driven by backward stochastic differential equations
... with backward stochastic dynamics are defined and ...solve backward stochastic differential equations (BSDEs) that depend on the marginal distributions of player ... See full document
26
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 ...forward–backward ... See full document
14
Reflected BSDEs Driven by Lévy Processes and Countable Brownian Motions
... Abstract A new class of reflected backward stochastic differential equations RBSDEs driven by Teugels martingales associated with Lévy process and Countable Brownian Motions are investig[r] ... See full document
8
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 defined ... See full document
34
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 ... See full document
25
Discretizing a backward stochastic differential equation
... Zhang [12] studied a numerical scheme to solve a coupled forward-backward sto- chastic differential equations, which converge strongly to the real solution. His ap- proach is still quite different than ours. ... See full document
14
Backward stochastic partial differential equations driven by infinite dimensional martingales and applications
... We shall deal here with an arbitrary filtration, and moreover, as in the case of Example 4.9 in Section 4 below, this filtration can be larger than the Wiener filtration. Similar cases are treated in details in [3]; cf. ... See full document
37
On drift parameter estimation for mean reversion type stochastic differential equations with discrete observations
... normality for the proposed estimators. Long [] investigated the parameter estimation problem for discrete observations driven by a small Levy noises and further gave a dis- cussion of the case of the drift ... See full document
23
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 ... See full document
26
Stability of two classes of improved backward Euler methods for stochastic delay differential equations of neutral type
... − 6x(t) + x(t − 1) dt + x(t) cos(x(t − 1))dW (t), t > 0, (4.1) with the initial data x(t) = 1 for t ∈ [−1, 0], where W (t) is a scalar Brownian motion. It is easy to see that the drift and diffusion coefficients ... See full document
13
A Mean Field Stochastic Maximum Principle for Optimal Control of Forward Backward Stochastic Differential Equations with Jumps via Malliavin Calculus
... type stochastic control problem where the dynamics is governed by a forward and backward stochastic differential equa- tion (SDE) driven by Lévy processes and the information available to the ... See full document
17
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] ... See full document
8
Almost sure exponential stability of backward Euler–Maruyama discretizations for hybrid stochastic differential equations
... The answer to the first question is not positive. In fact we shall show in Section 3 that the EM method CANNOT reproduce the stability characteristic of the SDE (1.1). Our aim in this paper is to seek a positive answer ... See full document
23
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 governed by ... See full document
27
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
Multidimensional stochastic differential equations with distributional drift
... other types of transforms to study similar equations. Indeed the transfor- mation introduced by Zvonkin in [27], when the drift is a function, is also stated in the multidimensional case. In a series of ... See full document
26
Delayed Forward-Backward stochastic PDE's driven by non Gaussian Lévy noise with application in finance
... the present value of future returns linked to specific financial instrument, to analyse price fluctuations of raw materials against seasonal effects, to determine the time value of money against future ... See full document
307
Singular Optimal Control Problem of Stochastic Switching Systems
... paper, backward stochastic differential equations have been used to establish singular maximum principle for stochastic optimal control problems of switching ...for stochastic ... See full document
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