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
Backward-Forward Stochastic Differential Equations
The Annals of Applied Probability, 1993 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
ANTONELLI, FABIO
openaire +3 more sources
The adapted solution and comparison theorem for backward stochastic differential equations with Poisson jumps and applications [PDF]
, 2008 This paper deals with a class of backward stochastic differential equations with Poisson jumps and with random terminal times. We prove the existence and uniqueness result of adapted solution for such a BSDE under the assumption of non-Lipschitzian ...
Mao, Xuerong +2 more
core +4 more sources
Optimal control of stochastic partial differential equations in Banach spaces [PDF]
, 2010 In this thesis we study optimal control problems in Banach spaces for stochastic partial differential equations. We investigate two different approaches.
Serrano Perdomo, Rafael Antonio
core +7 more sources
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
doaj +1 more source
L2-convergence of Yosida approximation for semi-linear backward stochastic differential equation with jumps in infinite dimension [PDF]
Arab Journal of Mathematical SciencesPurpose – The main motivation of this paper is to present the Yosida approximation of a semi-linear backward stochastic differential equation in infinite dimension. Under suitable assumption and condition, an L2-convergence rate is established.
Hani Abidi +3 more
doaj +1 more source
Probability, Uncertainty and Quantitative Risk, 2022 For a backward stochastic differential equation (BSDE, for short), when the generator is not progressively measurable, it might not admit adapted solutions, shown by an example. However, for backward stochastic Volterra integral equations (BSVIEs, for short), the generators are allowed to be anticipating.
Wang, Hanxiao +2 more
openaire +2 more sources
On stochastic differential equations and a generalised Burgers equation [PDF]
, 2012 In this paper, we discuss a link of Itˆo’s stochastic differential equa- tions to nonlinear partial differential equations of Burgers type. Un- der certain conditions, we derive a generalised Burgers equation from a stochastic differential equation.
Wu, JiangLun, Yang, Wei
core +3 more sources
Backward stochastic differential equations on manifolds [PDF]
Probability Theory and Related Fields, 2004 47 pages To be published in ...
openaire +3 more sources
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
openaire +2 more sources