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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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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 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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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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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 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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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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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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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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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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Mixed Zero-Sum Stochastic Differential Game and Doubly Reflected BSDEs with a Specific Generator
This paper studies the mixed zero-sum stochastic differential game problem. We allow the functionals and dynamics to be of polynomial growth. The...
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Nadaraya-Watson estimators for reflected stochastic processes
We study the Nadaraya-Watson estimators for the drift function of two-sided reflected stochastic differential equations. The estimates, based on...
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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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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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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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Doubly Reflected Backward Stochastic Differential Equations in the Predictable Setting
In this paper, we introduce a specific kind of doubly reflected backward stochastic differential equations (in short DRBSDEs), defined on probability...
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Infinite Horizon Forward-Backward Doubly Stochastic Differential Equations and Related SPDEs
A type of infinite horizon forward-backward doubly stochastic differential equations is studied. Under some monotonicity assumptions, the existence...
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Maximum Principle for Stochastic Control System with Elephant Memory and Jump Diffusion
Motivated by a duopoly game problem, the authors study an optimal control problem where the system is driven by Brownian motion and Poisson point...
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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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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...