Results 1 to 10 of about 5,613 (301)

Backward-Forward Stochastic Differential Equations

Annals of Applied Probability, 1993
This work shows the existence and uniqueness of the solution of Backward stochastic differential equations inspired from a model for stochastic differential utility in Finance Theory.
Fabio Antonelli
exaly   +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
doaj   +2 more sources

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   +2 more sources

Semi-linear degenerate backward stochastic partial differential equations and associated forward–backward stochastic differential equations

Stochastic Processes and Their Applications, 2013
In this paper, we consider the Cauchy problem of semi-linear degenerate backward stochastic partial differential equations (BSPDEs) under general settings without technical assumptions on the coefficients. For the solution of semi-linear degenerate BSPDE,
Kai Du
exaly   +6 more sources

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
doaj   +2 more sources

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

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
doaj   +2 more sources

Mean-Field Forward-Backward Doubly Stochastic Differential Equations and Related Nonlocal Stochastic Partial Differential Equations

Abstract and Applied Analysis, 2014
Mean-field forward-backward doubly stochastic differential equations (MF-FBDSDEs) are studied, which extend many important equations well studied before.
Qingfeng Zhu, Yufeng Shi
doaj   +2 more sources

Backward stochastic differential equations: from linear to fully nonlinear theory

, 2017
This book provides a systematic and accessible approach to stochastic differential equations, backward stochastic differential equations, and their connection with partial differential equations, as well as the recent development of the fully nonlinear ...
Jianfeng Zhang, Zhang, Jianfeng
core   +2 more sources

Markovian forward-backward stochastic differential equations and stochastic flows

Systems & Control Letters, 2012
Markovian forward-backward stochastic differential equations, (MFBSDEs), are discussed by exploiting techniques of stochastic flows. Using martingale representation, a differentiation rule, stochastic flows of diffeomorphisms and the unique decomposition
Siu, T., Elliott, R.
core   +4 more sources