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A STOCHASTIC ALGEBRAIC-DIFFERENTIAL EQUATION OF THE NEWTON-NELSON TYPE
We investigate a stochastic algebraic-differential equation, modelling dynamically distorted signals in an electronic device with the presence of...
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Fully coupled drift-less forward and backward stochastic differential equations in a degenerate case
Existence and uniqueness results of fully coupled forward stochastic differential equations without drifts and backward stochastic differential...
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Reflected Forward-Backward Stochastic Differential Equations Driven by G-Brownian Motion with Continuous Monotone Coefficients
This paper is devoted to investigating the existence of solution to a class of reflected forward-backward stochastic differential equations driven by G ...
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Multi-stage Euler–Maruyama methods for backward stochastic differential equations driven by continuous-time Markov chains
Numerical methods for computing the solutions of Markov backward stochastic differential equations (BSDEs) driven by continuous-time Markov chains...
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Multi-dimensional Path-dependent Forward-backward Stochastic Variational Inequalities
In this article, we consider a system of stochastic variational inequalities (SVIs) in the differential form. The system has a d -dimensional forward...
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Lp-Estimate for Linear Forward-Backward Stochastic Differential Equations
This paper is concerned with coupled linear forward-backward stochastic differential equations (FBSDEs, for short). When the homogeneous coefficients...
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Propagation of Chaos of Forward–Backward Stochastic Differential Equations with Graphon Interactions
In this paper, we study graphon mean field games using a system of forward–backward stochastic differential equations. We establish the existence and...
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Multi-dimensional Reflected Backward Stochastic Differential Equations Driven by G-Brownian Motion with Diagonal Generators
We consider the well-posedness problem of multi-dimensional reflected backward stochastic differential equations driven by G -Brownian motion ( G -BSDEs)...
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Strong Stability Preserving Multistep Schemes for Forward Backward Stochastic Differential Equations
In this work, we are concerned with strong stability preserving multistep (SSPM) schemes for forward backward stochastic differential equations...
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Sequential Systems of Reflected Backward Stochastic Differential Equations with Application to Impulse Control
We consider a system of finite horizon, sequentially interconnected, obliquely reflected backward stochastic differential equations (RBSDEs) with...
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Anticipated Backward Stochastic Volterra Integral Equations with Jumps and Applications to Dynamic Risk Measures
In this paper, we focus on anticipated backward stochastic Volterra integral equations (ABSVIEs) with jumps. We solve the problem of the...
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Multistep schemes for solving backward stochastic differential equations on GPU
The Backward Stochastic Differential Equation (BSDE) is an important tool for pricing and hedging. Highly accurate pricing for low computation time...
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Reflected Backward Stochastic Differential Equations Associated to Jump Markov Processes and Application to Partial Differential Equations
In this paper, we study a class of reflected backward stochastic differential equations (RBSDEs) driven by the compensated random measure associated...
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Reflected and Doubly Reflected Backward Stochastic Differential Equations with Irregular Obstacles and a Large Set of Stop** Strategies
We introduce a new formulation of reflected backward stochastic differential equations (BSDEs) and doubly reflected BSDEs associated with irregular...
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Backward reachability approach to state-constrained stochastic optimal control problem for jump-diffusion models
In this paper, we consider the stochastic optimal control problem for jump-diffusion models with state constraints. In general, the value function of...
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Mean-Field Backward Stochastic Differential Equations Driven by Fractional Brownian Motion
In this paper, we study a new class of equations called mean-field backward stochastic differential equations (BSDEs, for short) driven by fractional...
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Existence and Uniqueness of Solutions for Multi-dimensional Reflected Backward Stochastic Differential Equations with Diagonally Quadratic Generators
In this paper, we study multi-dimensional reflected backward stochastic differential equations (BSDEs) with diagonally quadratic generators. Using...
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Backward Doubly Stochastic Integral Equations of the Volterra Type and Some Related Problems
Backward doubly stochastic integral equations of the Volterra type (BDSIEVs in short) are observed in this paper. Existence of M-solution established...
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On Forward–Backward Stochastic Differential Equations in a Domination-Monotonicity Framework
In this paper, inspired by various stochastic linear-quadratic (LQ, for short) problems, we develop the method of continuation to study nonlinear...
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Error estimates of the backward Euler–Maruyama method for multi-valued stochastic differential equations
In this paper we derive error estimates of the backward Euler–Maruyama method applied to multi-valued stochastic differential equations. An important...