Results 11 to 20 of about 59,739 (301)
Forward-backward stochastic differential equation games with delay and noisy memory [PDF]
Stochastic Analysis and Applications, 2017 The goal of this paper is to study a stochastic game connected to a system of forward-backward stochastic differential equations (FBSDEs) involving delay and noisy memory.
K. Dahl
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An optimal control problem for mean-field forward-backward stochastic differential equation with noisy observation [PDF]
at - Automatisierungstechnik, 2015 This article is concerned with an optimal control problem derived by mean-field forward-backward stochastic differential equation with noisy observation, where the drift coefficients of the state equation and the observation equation are linear with ...
Guangchen Wang, Hua Xiao, Guojing Xing
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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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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 +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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Closed-Loop Solvability of Stochastic Linear-Quadratic Optimal Control Problems with Poisson Jumps
Mathematics, 2022 The stochastic linear–quadratic optimal control problem with Poisson jumps is addressed in this paper. The coefficients in the state equation and the weighting matrices in the cost functional are all deterministic but are allowed to be indefinite.
Zixuan Li, Jingtao Shi
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Averaging Principle for Backward Stochastic Differential Equations [PDF]
Discrete Dynamics in Nature and Society, 2021 The averaging principle for BSDEs and one-barrier RBSDEs, with Lipschitz coefficients, is investigated. An averaged BSDEs for the original BSDEs is proposed, as well as the one-barrier RBSDEs, and their solutions are quantitatively compared. Under some appropriate assumptions, the solutions to original systems can be approximated by the solutions to ...
Yuanyuan Jing, Zhi Li
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