Results 61 to 70 of about 3,305 (167)

Almost Sure and Lp Convergence of Split-Step Backward Euler Method for Stochastic Delay Differential Equation

Abstract and Applied Analysis, 2014
The convergence of the split-step backward Euler (SSBE) method applied to stochastic differential equation with variable delay is proven in Lp-sense.
Qian Guo, Xueyin Tao
doaj   +1 more source

Stochastic Maximum Principle of Near-Optimal Control of Fully Coupled Forward-Backward Stochastic Differential Equation

Abstract and Applied Analysis, 2014
This paper first makes an attempt to investigate the near-optimal control of systems governed by fully nonlinear coupled forward-backward stochastic differential equations (FBSDEs) under the assumption of a convex control domain.
Maoning Tang
doaj   +1 more source

Feynman-Kac theorem in Hilbert spaces

Electronic Journal of Differential Equations, 2014
In this article we study the relationship between solutions to Cauchy problems for the abstract stochastic differential equation $dX(t)=AX(t)dt + BdW(t)$ and solutions to Cauchy problems (backward and forward) for the infinite dimensional ...
Irina V. Melnikova, Valentina S. Parfenenkova   +1 more
doaj  

Lp solutions of backward stochastic differential equations

Stochastic Processes and their Applications, 2003
Existence and uniqueness of solutions of the following backward stochastic differential equation are studied: \[ Y_t=\xi +\int _t^Tf(r,Y_r,Z_r)\,\text dr-\int _t^TZ_r\,\text dB_r, \qquad 0\leq t\leq T.\tag{1} \] Here ...
Briand, Ph., Delyon, B., Hu, Y., Pardoux, E., Stoica, L.   +4 more
openaire   +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

Switching game of backward stochastic differential equations and associated system of obliquely reflected backward stochastic differential equations

Discrete & Continuous Dynamical Systems - A, 2015
This paper is concerned with the switching game of a one-dimensional backward stochastic differential equation (BSDE). The associated Bellman-Isaacs equation is a system of matrix-valued BSDEs living in a special unbounded convex domain with reflection on the boundary along an oblique direction.
Hu, Ying, Tang, Shanjian
openaire   +3 more sources

An optimal control problem for linear SDE of mean-field type with terminal constraint and partial information

Advances in Difference Equations, 2019
This paper is concerned with an optimal control problem for a linear stochastic differential equation (SDE) of mean-field type, where the drift coefficient of observation equation is linear with respect to the state, the control and their expectations ...
Haiyan Zhang
doaj   +1 more source

A multi-dimensional FBSDE with quadratic generator and its applications

Analele Stiintifice ale Universitatii Ovidius Constanta: Seria Matematica, 2015
We consider, in the Markovian framework, a multi-dimensional forward - back - ward stochastic differential equation with quadratic growth for the generator function of the backward system.
Rotenstein Eduard
doaj   +1 more source

The nonlocal boundary value problem for one-dimensional backward Kolmogorov equation and associated semigroup

Karpatsʹkì Matematičnì Publìkacìï, 2019
This paper is devoted to a partial differential equation approach to the problem of construction of Feller semigroups associated with one-dimensional diffusion processes with boundary conditions in theory of stochastic processes.
R.V. Shevchuk, I.Ya. Savka, Z.M. Nytrebych   +2 more
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The 𝒮-Transform of Sub-fBm and an Application to a Class of Linear Subfractional BSDEs

Advances in Mathematical Physics, 2013
Let SH be a subfractional Brownian motion with index ...
Zhi Wang, Litan Yan
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