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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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On approximation of the backward stochastic differential equation [PDF]
Journal of Statistical Planning and Inference, 2014 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 coefficient of this equation is small.
Kutoyants, Yury A., Zhou, Li
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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 +4 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 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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Harmonic analysis of stochastic equations and backward stochastic differential equations [PDF]
Probability Theory and Related Fields, 2008 The BMO martingale theory is extensively used to study nonlinear multi-dimensional stochastic equations (SEs) in $\cR^p$ ($p\in [1, \infty)$) and backward stochastic differential equations (BSDEs) in $\cR^p\times \cH^p$ ($p\in (1, \infty)$) and in $\cR^\infty\times \bar{\cH^\infty}^{BMO}$, with the coefficients being allowed to be unbounded.
Delbaen, Freddy, Tang, Shanjian
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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 +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 +2 more
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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 +3 more
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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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