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Splitting scheme for backward doubly stochastic differential equations
A splitting scheme is proposed for a class of backward doubly stochastic differential equations (BDSDEs). The main idea is to decompose the backward...
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Markovian-Switching Systems: Backward and Forward-Backward Stochastic Differential Equations, Mean-Field Interactions, and Nonzero-Sum Differential Games
This work is devoted to Markovian-switching systems. In particular, backward stochastic differential equations (BSDEs), forward-backward stochastic...
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General Coupled Mean-Field Reflected Forward-Backward Stochastic Differential Equations
In this paper we consider general coupled mean-field reflected forward-backward stochastic differential equations (FBSDEs), whose coefficients not...
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Uniqueness Problem for the Backward Differential Equation of a Continuous-State Branching Process
The distributional properties of a multi-dimensional continuous-state branching process are determined by its cumulant semigroup, which is defined by...
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Linear-Quadratic Pareto Cooperative Game for Mean-Field Backward Stochastic System
This paper focuses on a Pareto cooperative differential game with a linear mean-field backward stochastic system and a quadratic form cost...
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Picard Approximation of a Singular Backward Stochastic Nonlinear Volterra Integral Equation
In this paper we prove that Picard iterations of BSDEs with globally Lipschitz continuous nonlinearities converge exponentially fast to the solution....
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Caputo fractional backward stochastic differential equations driven by fractional Brownian motion with delayed generator
Over the years, the research of backward stochastic differential equations (BSDEs) has come a long way. As a extension of the BSDEs, the BSDEs with...
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Pareto Optimal Cooperative Control of Mean-Field Backward Stochastic Differential System in Finite Horizon
This research article aims to investigate a new type of Pareto cooperative differential game governed by backward stochastic differential equations...
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Temporal Semi-discretizations of a Backward Semilinear Stochastic Evolution Equation
This paper studies the convergence of three temporal semi-discretizations for a backward semilinear stochastic evolution equation. For general...
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On a Forward and a Backward Stochastic Euler Equation
We derive a stochastic Euler equation with transport noise and terminal time condition from a variational principle and relate it to the...
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Backward Euler method for stochastic differential equations with non-Lipschitz coefficients driven by fractional Brownian motion
We study the traditional backward Euler method for stochastic differential equation driven by fractional Brownian motion whose drift coefficient...
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The Cost of Null Controllability for a Backward Stochastic Degenerate Parabolic Equation in the Vanishing Viscosity Limit
In this paper, we investigate the cost of null controllability for a backward stochastic degenerate parabolic equation with a boundary control in the...
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A Strong Convergence Rate of the Averaging Principle for Two-Time-Scale Forward-Backward Stochastic Differential Equations
In this paper, we study the strong convergence rate of the averaging principle of two-time-scale forward-backward stochastic differential equations...
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Some Results on Backward Stochastic Differential Equations of Fractional Order
In this article, we deal with fractional stochastic differential equations, so-called Caputo type fractional backward stochastic differential...
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Backward Euler–Maruyama Method for the Random Periodic Solution of a Stochastic Differential Equation with a Monotone Drift
In this paper, we study the existence and uniqueness of the random periodic solution for a stochastic differential equation with a one-sided...
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Doubly Reflected Backward Stochastic Differential Equations Driven by G-Brownian Motion with Uniformly Continuous Coefficients
In this paper, we consider doubly reflected backward stochastic differential equations driven by G -Brownian motion with uniformly continuous...
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General Mean Reflected Backward Stochastic Differential Equations
The present paper is devoted to the study of backward stochastic differential equations (BSDEs) with mean reflection formulated by Briand et al. (Ann...
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A Strong Averaging Principle Rate for Two-Time-Scale Coupled Forward–Backward Stochastic Differential Equations Driven by Fractional Brownian Motion
This paper concerns the strong convergence rate of an averaging principle for two-time-scale coupled forward–backward stochastic differential...
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Reflected Backward Stochastic Differential Equations Driven by G-Brownian Motion Under Monotonicity Condition
In this paper, we construct an approximation sequence by a smoothing method for continuous functions; then, we prove that there exists a unique...
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Linear Quadratic Leader-Follower Stochastic Differential Games: Closed-Loop Solvability
In this paper, a leader-follower stochastic differential game is studied for a linear stochastic differential equation with quadratic cost...