Results 21 to 30 of about 3,305 (167)

A linear numerical scheme for nonlinear BSDEs with uniformly continuous coefficients

Journal of Applied Mathematics, 2004
We attempt to present a new numerical approach to solve nonlinear backward stochastic differential equations. First, we present some definitions and theorems to obtain the condition, from which we can approximate the nonlinear term of the backward ...
Omid. S. Fard, Ali V. Kamyad
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A stochastic Gronwall inequality in random time horizon and its application to BSDE

Journal of Inequalities and Applications, 2020
In this paper, we introduce and prove a stochastic Gronwall inequality in an (unbounded) random time horizon. As an application, we prove a comparison theorem for backward stochastic differential equation (BSDE for short) with random terminal time under ...
Hun O, Mun-Chol Kim, Chol-Kyu Pak
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Existence Solution for Fractional Mean-Field Backward Stochastic Differential Equation with Stochastic Linear Growth Coefficients

Mendel, 2023
We deal with fractional mean field backwardWe deal with fractional mean field backward stochastic differential equations with hurst parameter $H\in (\frac{1}{2},1)$ when the coefficient $f$ satisfy a stochastic Lipschitz conditions, we prove the ...
Mostapha Abdelouahab Saouli
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Backward stochastic differential equations on manifolds [PDF]

Probability Theory and Related Fields, 2004
47 pages To be published in ...
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Linear Forward—Backward Stochastic Differential Equations [PDF]

Applied Mathematics and Optimization, 1999
Theorems are proved establishing conditions for the solvability of a system of coupled linear forward-backward stochastic differential equations of the form \[ dX(t)= \bigl\{AX(t)+BY(t) +CZ(t)+Db(t)\bigr\}dt +\bigl \{A_1X(t) +B_1Y(t)+ C_1Z(t)+ D_1\sigma (t)\bigr\}dW(t), \] \[ dY(t)= \bigl\{ \widehat AX(t)+ \widehat BY(t)+ \widehat CZ(t)+ \widehat D ...
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Backward-Forward Stochastic Differential Equations

The Annals of Applied Probability, 1993
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Generalized BDSDEs driven by fractional Brownian motion

Nonautonomous Dynamical Systems, 2023
This article deals with a class of generalized backward doubly stochastic differential equations driven by fractional Brownian motion with the Hurst parameter HH greater than 1/2.
Aidara Sadibou, Ndiaye Assane, Sow Ahmadou Bamba   +2 more
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A Maximum Principle for Controlled Time-Symmetric Forward-Backward Doubly Stochastic Differential Equation with Initial-Terminal Sate Constraints

Abstract and Applied Analysis, 2012
We study the optimal control problem of a controlled time-symmetric forward-backward doubly stochastic differential equation with initial-terminal state constraints. Applying the terminal perturbation method and Ekeland’s variation principle, a necessary
Shaolin Ji, Qingmeng Wei, Xiumin Zhang
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Backward Stochastic Differential Equations (BSDEs) Using Infinite-Dimensional Martingales with Subdifferential Operator

Axioms, 2022
In this paper, we focus on a family of backward stochastic differential equations (BSDEs) with subdifferential operators that are driven by infinite-dimensional martingales. We shall show that the solution to such infinite-dimensional BSDEs exists and is
Pei Zhang, Adriana Irawati Nur Ibrahim, Nur Anisah Mohamed   +2 more
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Semi-linear degenerate backward stochastic partial differential equations and associated forward–backward stochastic differential equations

Stochastic Processes and their Applications, 2013
23 ...
Du, Kai, Zhang, Qi
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