Results 21 to 30 of about 61,087 (328)
Set-valued backward stochastic differential equations
The Annals of Applied Probability, 2023 38 ...
Ararat, Cagin, Ma, Jin, Wu, Wenqian
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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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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
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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
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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
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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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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
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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
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A Semi-Linear Backward Parabolic cauchy Problem with Unbounded Coefficients of Hamilton-Jacobi-Bellman Type and Applications to optimal control [PDF]
, 2014 We obtain weighted uniform estimates for the gradient of the solutions to a class of linear parabolic Cauchy problems with unbounded coefficients. Such estimates are then used to prove existence and uniqueness of the mild solution to a semi-linear ...
Addona, Davide
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