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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

Backward-Forward Stochastic Differential Equations

Annals of Applied Probability, 1993
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Fabio Antonelli
exaly   +3 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

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

Stochastic Processes and Their Applications, 2013
23 ...
Kai Du
exaly   +5 more sources

Numberical Method for Backward Stochastic Differential Equations

Annals of Applied Probability, 2002
Let \(W\) be a \(d\)-dimensional Brownian motion. The authors develop a new method of approximating solutions \(Y\) of the multidimensional backward stochastic differential equation (BSDE) \[ dY_t= -f(t, Y_t)dt+ Z_t dW_t,\quad t\in [0,T], \] with a continuous driver \(f\) which is Lipschtz in the \(y\)-variable and independent of \(z\).
Jaime San Martín, , Soledad Torres
exaly   +3 more sources

Backward stochastic differential equations and partial differential equations with quadratic growth

Annals of Probability, 2000
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
exaly   +3 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   +1 more source

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   +1 more source

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
doaj   +1 more source

On approximation of the backward stochastic differential equation [PDF]

Journal of Statistical Planning and Inference, 2014
We consider the problem of approximation of the solution of the backward stochastic differential equation in the Markovian case. We suppose that the trend coefficient of the diffusion process depends on some unknown parameter and the diffusion coefficient of this equation is small.
Kutoyants, Yury A., Zhou, Li
openaire   +2 more sources