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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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Reflected Quadratic BSDEs Driven by G-Brownian Motions
In this paper, the authors consider a reflected backward stochastic differential equation driven by a G -Brownian motion ( G -BSDE for short), with the...
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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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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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Reflected BSDEs in non-convex domains
This paper establishes the well-posedness of reflected backward stochastic differential equations in non-convex domains that satisfy a weak version...
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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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Reflected Backward Stochastic Differential Equation with Rank-Based Data
In this paper, we study reflected backward stochastic differential equation (reflected BSDE) with rank-based data in a Markovian framework; that is,...
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Robust Time-Inconsistent Stochastic Linear-Quadratic Control with Drift Disturbance
This paper studies stochastic linear-quadratic control with a time-inconsistent objective and worst-case drift disturbance. We allow the agent to...
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Penalty method for obliquely reflected diffusions
We consider a multidimensional normally or obliquely reflected diffusion in a smooth domain. We approximate it by solutions of stochastic...
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The Convergence Rate from Discrete to Continuous Optimal Investment Stop** Problem
The author studies the optimal investment stop** problem in both continuous and discrete cases, where the investor needs to choose the optimal...
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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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Càdlàg semimartingale strategies for optimal trade execution in stochastic order book models
We analyse an optimal trade execution problem in a financial market with stochastic liquidity. To this end, we set up a limit order book model in...
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Stochastic optimal control with random coefficients and associated stochastic Hamilton–Jacobi–Bellman equations
We consider the optimal control problem for stochastic differential equations (SDEs) with random coefficients under the recursive-type objective...
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A Mean-Field Linear-Quadratic Stochastic Stackelberg Differential Game with one Leader and Two Followers
This paper is concerned with a linear-quadratic (LQ) stochastic Stackelberg differential game with one leader and two followers, where the game...
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Nonlinear BSDEs with Two Optional Doob’s Class Barriers Satisfying Weak Mokobodzki’s Condition and Extended Dynkin Games
We study reflected backward stochastic differential equations (RBSDEs) on the probability space equipped with a Brownian motion. The main novelty of...
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The Probabilistic Solution of a System of Semilinear Elliptic PDEs Under the Third Boundary Conditions
In this paper, we establish existence and uniqueness of weak (Sobolev) solution to the third boundary value problem for a class of semilinear...
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Robust classical-impulse stochastic control problems in an infinite horizon
This paper establishes a general analytical framework for classical and impulse stochastic control problems in the presence of model uncertainty. We...
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Backward Stochastic Differential Equations Driven by G-Brownian Motion with Double Reflections
In this paper, we study the reflected backward stochastic differential equations driven by G -Brownian motion with two reflecting obstacles, which...
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Optimal bubble riding with price-dependent entry: a mean field game of controls with common noise
In this paper we further extend the optimal bubble riding model proposed in Tangpi and Wang (Optimal bubble riding: a mean field game with varying...
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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...