Results 31 to 40 of about 3,101,733 (290)

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
doaj   +1 more source

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
doaj   +1 more source

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
doaj   +1 more source

Hybrid Neural Networks for Solving Fully Coupled, High-Dimensional Forward–Backward Stochastic Differential Equations

Mathematics
The theory of forward–backward stochastic differential equations occupies an important position in stochastic analysis and practical applications. However, the numerical solution of forward–backward stochastic differential equations, especially for high ...
Mingcan Wang, Xiangjun Wang
doaj   +1 more source

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
doaj   +1 more source

Backward stochastic differential equations with unbounded generators [PDF]

Stochastics and Dynamics, 2019
In this paper, we consider two classes of backward stochastic differential equations (BSDEs). First, under a Lipschitz-type condition on the generator of the equation, which can also be unbounded, we give sufficient conditions for the existence of a unique solution pair. The method of proof is that of Picard iterations and the resulting conditions are
Gashi, B, Li, J
openaire   +2 more sources

Backward stochastic partial differential equations driven by infinite-dimensional martingales and applications [PDF]

This paper studies first a result of existence and uniqueness of the solution to a backward stochastic differential equation driven by an infinite-dimensional martingale.
Al-Hussein, AbdulRahman
core   +1 more source

Observer‐Based Adaptive Event‐Triggered Tracking Control for Fuzzy TS Systems With Premise Mismatch

International Journal of Adaptive Control and Signal Processing, EarlyView.
This paper presents an adaptive logistic event‐triggered observer‐based tracking controller for Takagi‐Sugeno fuzzy systems under constrained inputs and network delays. Leveraging a hybrid LMI and Secretary Bird Optimization approach, this strategy significantly minimizes communication overhead and computational burden while ensuring optimal reference ...
Oussama Djadane, Salama Makni, Mourad Kchaou, Ahmed El Hajjaji   +3 more
wiley   +1 more source

Study of Pricing of High-Dimensional Financial Derivatives Based on Deep Learning

Mathematics, 2023
Many problems in the fields of finance and actuarial science can be transformed into the problem of solving backward stochastic differential equations (BSDE) and partial differential equations (PDEs) with jumps, which are often difficult to solve in high-
Xiangdong Liu, Yu Gu
doaj   +1 more source

Backward stochastic differential equations associated with the vorticity equations

Journal of Functional Analysis, 2014
We derive a non-linear version of the Feynman-Kac formula for the solutions of the vorticity equation in dimension 2 with space periodic boundary conditions. We prove the existence (global in time) and uniqueness for a stochastic terminal value problem associated with the vorticity equation in dimension 2.
Cruzeiro, A. B., Qian, Z. M.
openaire   +3 more sources