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Backward Stackelberg Games with Delay and Related Forward–Backward Stochastic Differential Equations

Mathematics, 2023
In this paper, we study a kind of Stackelberg game where the controlled systems are described by backward stochastic differential delayed equations (BSDDEs).
Li Chen, Peipei Zhou, Hua Xiao
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Obliquely reflected backward stochastic differential equations [PDF]

Annales de l'Institut Henri Poincaré, Probabilités et Statistiques, 2020
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Chassagneux, Jean-François, Richou, Adrien   +1 more
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Infinite horizon impulse control problem with jumps and continuous switching costs [PDF]

Arab Journal of Mathematical Sciences, 2022
Purpose – The purpose of this paper is to show the existence results for adapted solutions of infinite horizon doubly reflected backward stochastic differential equations with jumps.
Rim Amami, Monique Pontier, Hani Abidi
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A test of backward stochastic differential equations solver for solving semilinear parabolic differential equations in 1D and 2D

Partial Differential Equations in Applied Mathematics, 2022
Backward stochastic differential equation solver was first introduced by Han et al in 2017. A semilinear parabolic partial differential equation is converted into a stochastic differential equation, and then solved by the backward stochastic differential
Evan Davis, Guangming Yao, Elizabeth Javor, Kalani Rubasinghe, Luis Antonio Topete Galván   +4 more
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A class of backward stochastic Bellman–Bihari’s inequality and its applications

Journal of Inequalities and Applications, 2021
In this paper, we propose and prove several different forms of backward stochastic Bellman–Bihari’s inequality. Then, as two applications, two different types of the comparison theorems for backward stochastic differential equation with stochastic non ...
Wu Hao, Jinxia Wang
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Backward Deep BSDE Methods and Applications to Nonlinear Problems

Risks, 2023
We present a pathwise deep Backward Stochastic Differential Equation (BSDE) method for Forward Backward Stochastic Differential Equations with terminal conditions that time-steps the BSDE backwards and apply it to the differential rates problem as a ...
Yajie Yu, Narayan Ganesan, Bernhard Hientzsch   +2 more
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Mean-Field and Anticipated BSDEs with Time-Delayed Generator

Mathematics, 2023
In this paper, we discuss a new type of mean-field anticipated backward stochastic differential equation with a time-delayed generator (MF-DABSDEs) which extends the results of the anticipated backward stochastic differential equation to the case of mean-
Pei Zhang, Nur Anisah Mohamed, Adriana Irawati Nur Ibrahim   +2 more
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Existence, uniqueness and stability of solutions to fractional backward stochastic differential equations

Applied Mathematics in Science and Engineering, 2022
Many types of fractional stochastic differential equation (FrSDE), such as Caputo, fractional Brown motion derivatives, and Mittag-Later functions, exist.
Jiahao Chen, Suoao Ke, Xiaofei Li, Wenbo Liu   +3 more
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Set-valued backward stochastic differential equations

The Annals of Applied Probability, 2023
38 ...
Ararat, Cagin, Ma, Jin, Wu, Wenqian
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A kind of non-zero sum mixed differential game of backward stochastic differential equation

Advances in Difference Equations, 2020
This paper is concerned with a non-zero sum mixed differential game problem described by a backward stochastic differential equation. Here the term “mixed” means that this game problem contains a deterministic control v1 $v_{1}$ of Player 1 and a random ...
Huanjun Zhang
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