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On Approximation of the Backward Stochastic Differential Equation [PDF]

Journal of Statistical Planning and Inference, 2013
We consider the problem of approximation of the solution of the backward stochastic differential equation in the Markovian case. We suppose that the trend coefficient of the diffusion process depends on some unknown parameter and the diffusion ...
Y. Kutoyants, Li Zhou
semanticscholar   +4 more sources

On the backward stochastic differential equation with generator f(y)|z|2

Journal of Mathematical Analysis and Applications, 2021
In this paper, we consider the backward stochastic differential equation (BSDE) with generator f ( y ) | z | 2 , where the function f is defined on an open interval D and locally integrable. The existence and uniqueness of bounded solutions and L p ( p ≥
Lidong Zhang
exaly   +2 more sources

Discretizing a backward stochastic differential equation

International Journal of Mathematics and Mathematical Sciences, 2002
We show a simple method to discretize Pardoux-Peng's nonlinear backward stochastic differential equation. This discretization scheme also gives a numerical method to solve a class of semi-linear PDEs.
Yinnan Zhang, Weian Zheng
doaj   +2 more sources

Reflected Backward Stochastic Differential Equation with Jumps and Random Obstacle

Electronic Journal of Probability, 2003
In this paper we give a solution for the one-dimensional reflected backward stochastic differential equation when the noise is driven by a Brownian motion and an independent Poisson point process.
Youssef Ouknine, Said Hamadène
exaly   +2 more sources

Linear quadratic control of backward stochastic differential equation with partial information [PDF]

Applied Mathematics and Computation, 2020
In this paper, we study an optimal control problem of linear backward stochastic differential equation (BSDE) with quadratic cost functional under partial information.
Guangchen Wang, Wencan Wang, Zhiguo Yan
semanticscholar   +1 more source

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
doaj   +1 more source

Viability property for a backward stochastic differential equation and applications to partial differential equations

Probability Theory and Related Fields, 2000
Rainer Buckdahn, Marc Quincampoix, Quincampoix Marc   +2 more
exaly   +2 more sources

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
doaj   +1 more source

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
doaj   +1 more source

Backward stochastic differential equations with double mean reflections [PDF]

Stochastic Processes and their Applications, 2023
In this paper, we study the backward stochastic differential equation (BSDE) with two nonlinear mean reflections, which means that the constraints are imposed on the distribution of the solution but not on its paths.
Hanwu Li
semanticscholar   +1 more source