Results 1 to 10 of about 3,119 (165)

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.
Yuanyuan Jing, Zhi Li
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Modeling single cell trajectory using forward-backward stochastic differential equations. [PDF]

PLoS Computational Biology
Recent advances in single-cell sequencing technology have provided opportunities for mathematical modeling of dynamic developmental processes at the single-cell level, such as inferring developmental trajectories.
Kevin Zhang, Junhao Zhu, Dehan Kong, Zhaolei Zhang   +3 more
doaj   +4 more sources

Backward Stackelberg Games with Delay and Related Forward–Backward Stochastic Differential Equations

Mathematics, 2023
In this paper, we study a kind of Stackelberg game where the controlled systems are described by backward stochastic differential delayed equations (BSDDEs).
Li Chen, Peipei Zhou, Hua Xiao
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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, Richou, Adrien   +1 more
openaire   +4 more sources

g-Expectation for Conformable Backward Stochastic Differential Equations

Axioms, 2022
In this paper, we study the applications of conformable backward stochastic differential equations driven by Brownian motion and compensated random measure in nonlinear expectation.
Mei Luo, Michal Fečkan, Jin-Rong Wang, Donal O’Regan   +3 more
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Martingale Decomposition and Backward Stochastic Dynamic Equations on Time Scales

Journal of Mathematics, 2022
The paper aims to establish the related backward stochastic dynamic equations on time scales, BS ∇ Es for short, concerning to ∇-integral on time scales.
Guofeng Tang, Guangyan Jia
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Anticipated Backward Doubly Stochastic Differential Equations with Non-Lipschitz Coefficients

Mathematics, 2022
The work presented in this paper focuses on a type of differential equations called anticipated backward doubly stochastic differential equations (ABDSDEs) whose generators not only depend on the anticipated terms of the solution (Y·,Z·) but also satisfy
Tie Wang, Siyu Cui
doaj   +1 more source

Infinite horizon impulse control problem with jumps and continuous switching costs [PDF]

Arab Journal of Mathematical Sciences, 2022
Purpose – The purpose of this paper is to show the existence results for adapted solutions of infinite horizon doubly reflected backward stochastic differential equations with jumps.
Rim Amami, Monique Pontier, Hani Abidi
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Set-valued backward stochastic differential equations

The Annals of Applied Probability, 2023
38 ...
Ararat, Cagin, Ma, Jin, Wu, Wenqian
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A Deep Neural Network Algorithm for Semilinear Elliptic PDEs with Applications in Insurance Mathematics

Risks, 2020
In insurance mathematics, optimal control problems over an infinite time horizon arise when computing risk measures. An example of such a risk measure is the expected discounted future dividend payments.
Stefan Kremsner, Alexander Steinicke, Michaela Szölgyenyi   +2 more
doaj   +1 more source