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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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Linear-quadratic-singular stochastic differential games and applications
We consider a class of non-cooperative N -player nonzero-sum stochastic differential games with singular controls, in which each player can affect a...
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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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Non-zero-sum Stochastic Differential Games for Asset-Liability Management with Stochastic Inflation and Stochastic Volatility
This paper investigates the optimal asset-liability management problems for two managers subject to relative performance concerns in the presence of...
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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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Backward Stochastic Differential Equations and Related Control Problems
A conditional expectation of the form \(Y_t=E[\xi +\int _t^Tf_sds|\mathcal {F}_t]\) is regarded as a... -
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...