Results 21 to 30 of about 59,739 (301)

L2-convergence of Yosida approximation for semi-linear backward stochastic differential equation with jumps in infinite dimension [PDF]

Arab Journal of Mathematical Sciences
Purpose – 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, Rim Amami, Roger Pettersson, Chiraz Trabelsi   +3 more
doaj   +1 more source

Backward stochastic differential equations and backward stochastic Volterra integral equations with anticipating generators

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, Yong, Jiongmin, Zhou, Chao   +2 more
openaire   +2 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

On the speed of convergence of Picard iterations of backward stochastic differential equations [PDF]

Probability, Uncertainty and Quantitative Risk, 2021
It is a well-established fact in the scientific literature that Picard iterations of backward stochastic differential equations with globally Lipschitz continuous nonlinearity converge at least exponentially fast to the solution.
Martin Hutzenthaler, T. Kruse, T. Nguyen
semanticscholar   +1 more source

Backward stochastic differential equation driven by a marked point process: An elementary approach with an application to optimal control [PDF]

, 2014
We address a class of backward stochastic differential equations on a bounded interval, where the driving noise is a marked, or multivariate, point process.
Fulvia Confortola, M. Fuhrman, J. Jacod
semanticscholar   +1 more source

Backward Stochastic Differential Equations [PDF]

, 2015
In this chapter, we consider a different type of stochastic differential equation. In the setting of Chapter 17, we specified a solution process X through its dynamics and its initial value, as in ( 17.6). In this chapter, we specify a solution process Y through its dynamics and its terminal value, at a fixed, deterministic time \(T \in ]0,\infty ...
Samuel N. Cohen, Robert J. Elliott
openaire   +1 more source

Maximum principle for a stochastic delayed system involving terminal state constraints

Journal of Inequalities and Applications, 2017
We investigate a stochastic optimal control problem where the controlled system is depicted as a stochastic differential delayed equation; however, at the terminal time, the state is constrained in a convex set.
Jiaqiang Wen, Yufeng Shi
doaj   +1 more source

A direct approach to linear-quadratic stochastic control [PDF]

Opuscula Mathematica, 2017
A direct approach is used to solve some linear-quadratic stochastic control problems for Brownian motion and other noise processes. This direct method does not require solving Hamilton-Jacobi-Bellman partial differential equations or backward stochastic ...
Tyrone E. Duncan, Bozenna Pasik-Duncan
doaj   +1 more source

Perturbed backward stochastic differential equations

Mathematical and Computer Modelling, 2012
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Svetlana Jankovic, Miljana Jovanovic, Jasmina Djordjevic   +2 more
openaire   +2 more sources

Obliquely reflected backward stochastic differential equations [PDF]

Annales de l'Institut Henri Poincaré, Probabilités et Statistiques, 2020
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Chassagneux, Jean-François, Richou, Adrien   +1 more
openaire   +4 more sources