[PDF] Top 20 Fully coupled forward backward stochastic differential equations on Markov chains
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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 are ... See full document
18
Non zero sum differential games of anticipated forward backward stochastic differential delayed equations under partial information and application
... nonlinear backward stochastic differential equations (BSDEs) were first de- veloped by Pardoux and Peng [1] and have been widely applied in the optimal control, mathematical finance, and related fields ... See full document
21
Multi valued backward stochastic differential equations with regime switching
... theory, Markov chain has vast appli- cations in diverse ...by Markov chains. Thus, there is a great motivation to discuss Markov chain ...BSDEs coupled with a finite state Markov ... See full document
21
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 ... See full document
17
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 ... See full document
138
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 ... See full document
14
Backward-forward linear-quadratic mean-field games with major and minor agents
... of backward-major and forward-minors will yield a large- population system with backward-forward stochastic differential equation (BFSDE), which is structurally different to ... See full document
27
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 ... See full document
25
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 ... See full document
34
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 ... See full document
17
On constrained Langevin equations and (bio)chemical reaction networks
... time Markov chain model for chemical reaction networks, beginning with its most common form in Section ...scaled Markov chain model, where the state representation is converted from abundances to molecular ... See full document
30
Relationship between Maximum Principle and Dynamic Programming in Stochastic Differential Games and Applications
... In this paper, we have discussed the relationship between maximum principle and dynamic programming in zero- sum stochastic differential games. Under the assumption that the value function is smooth, ... See full document
9
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 ... See full document
20
Estimation Using Quantized Innovations for Wireless Sensor Networks
... of Markov chains include a random walk, a queuing system, and, of course, the state- space dynamical system that we have been ...of Markov chains has existed since Markov’s pioneering work in ... See full document
38
Existence and uniqueness of solutions for a class of infinite horizon systems derived from optimal control
... In [2], Lions has discussed the existence and uniqueness of solutions for system (1.5) and gave an existence and uniqueness result. In [1], Hu and Peng considered the existence and uniqueness of solutions for a class of ... See full document
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
Uni directional optical pulses, temporal propagation, and spatial and temporal dispersion
... the forward directed field D + ; and not by its preferred underlying backward ...that forward evolving field components do not couple to field components that evolve backwards; this the typical ... See full document
13
The adapted solution and comparison theorem for backward stochastic differential equations with Poisson jumps and applications
... Feynman–Kac formula gives a probabilistic interpretation for linear second-order PDEs of elliptic or parabolic types, which has been generalized to the systems of semi-linear second-order PDEs by Peng [14], Pardoux and ... 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
On Jensen’s inequality, Hölder’s inequality, and Minkowski’s inequality for dynamically consistent nonlinear evaluations
... by backward stochastic differential equations (BSDEs for short), which was put forward by Peng, is a special case of a dynamically consistent nonlinear evaluation ... See full document
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