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Perturbed backward stochastic differential equations
Mathematical and Computer Modelling, 2012 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Svetlana Jankovic +2 more
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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 +1 more
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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
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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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On the robustness of backward stochastic differential equations
Stochastic Processes and their Applications, 2002 The backward stochastic differential equation driven by a Brownian motion \(W=\{W_t\} _{0\leq t\leq T}\), \[ Y_t= \xi + \int _t^T f(r,Y_r, Z_r)\,dr -\int _t^T Z_r\,dW_r,\quad 0\leq t\leq T, \] is considered, where the solution \((Y_t, Z_t)\) is supposed to be progressively measurable with respect to the filtration \(\{\mathcal F_t \}\) defined by the ...
Briand, Philippe +2 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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Mathematics, 2021 In this paper, we mainly investigate the weak convergence analysis about the error terms which are determined by the discretization for solving the stochastic differential equation (SDE, for short) in forward-backward stochastic differential equations ...
Wei Zhang, Hui Min
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Set-valued backward stochastic differential equations
The Annals of Applied Probability, 2023 In this paper, we establish an analytic framework for studying set-valued backward stochastic differential equations (set-valued BSDE), motivated largely by the current studies of dynamic set-valued risk measures for multi-asset or network-based financial models. Our framework will make use of the notion of Hukuhara difference between sets, in order to
Ararat, Cagin, Ma, Jin, Wu, Wenqian
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A stochastic differential equation SIS epidemic model [PDF]
, 2011 In this paper we extend the classical susceptible-infected-susceptible epidemic model from a deterministic framework to a stochastic one and formulate it as a stochastic differential equation (SDE) for the number of infectious individuals $I(t)$. We then
Hu, L. +4 more
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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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