Results 91 to 100 of about 5,613 (301)

Reflected BSDEs with default time and irregular obstacles

Comptes Rendus. Mathématique
In this note, we study reflected backward stochastic differential equations with a default time, where the reflecting obstacle is not necessarily right-continuous.
Elmansouri, Badr
doaj   +1 more source

Irregular barrier reflected BDSDEs with general jumps under stochastic Lipschitz and linear growth conditions

Modern Stochastics: Theory and Applications, 2020
In this paper, a solution is given to reflected backward doubly stochastic differential equations when the barrier is not necessarily right-continuous, and the noise is driven by two independent Brownian motions and an independent Poisson random measure.
Mohamed Marzougue, Yaya Sagna
doaj   +1 more source

Backward stochastic differential equations with applications [PDF]

, 2018
In this thesis we study backward stochastic differential equations driven by a Brownian motion and by a Levy process and their applications, focusing on their applications to financial markets.
Muchatibaya, Arnold Kaynet
core  

Stochastic grid bundling method for backward stochastic differential equations [PDF]

, 2018
In this work, we apply the Stochastic Grid Bundling Method (SGBM) to numerically solve backward stochastic differential equations. The SGBM algorithm is based on conditional expectations approximation by means of bundling of Monte Carlo sample paths and ...
Oosterlee, C.W. (Kees), Chau, K.W. (Ki), Chau, Ki, Oosterlee, Kees   +3 more
core   +1 more source

Tough, Ductile, and Strong Hard‐Soft Cementitious Composite Enabled by Multi‐Material Additive Manufacturing

Advanced Materials, EarlyView.
Drawing inspiration from the layered hard‐soft architecture found in sea sponges, this work establishes a new framework for architected cementitious composites (ACC) through multi‐material additive manufacturing (MMAM) process. The integration of mortar and elastomer phases into layered architectures enables synergistic toughening mechanisms, including
Aimane Najmeddine, Shashank Gupta, William Makinen, Zayvinn Lin, Krystal Delnoce, Reza Moini   +5 more
wiley   +1 more source

NUMERICAL METHOD FOR BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS BY

, 2001
Artículo de publicación ISIWe propose a method for numerical approximation of backward stochastic differential equations. Our method allows the final condition of the equation to be quite general and simple to implement.
Protter, Philip, San Martín, Jaime, Ma, Jin, Torres, Soledad, Protter, P., Martin, J. San, Ma, J., Torres, S.   +7 more
core  

Open Problems on Backward Stochastic Differential Equations [PDF]

, 1999
Recent years, many interesting problems in the theory of backward stochastic differential equations (in short, BSDE) have been solved. Others still remain open. In this paper, we will discuss those related to the stochastic control theory.
openaire   +1 more source

Universal Conductance Fluctuations in Quantum Anomalous Hall Insulators

Advanced Materials, EarlyView.
Universal conductance fluctuations are observed in mesoscopic quantum anomalous Hall insulators. Two distinct fluctuation patterns are identified, arising from different interference processes of bulk and chiral edge states, respectively. These findings unveil rich quantum interference phenomena in quantum anomalous Hall insulators and provide insights
Peng Deng, Peng Zhang, Gang Qiu, Ting‐Hsun Yang, Chang Niu, Yaochen Li, Wenqiang Cui, Yang Feng, Peide D. Ye, Ke He, Kai Chang, Kang L. Wang   +11 more
wiley   +1 more source

Stochastic Optimization Theory of Backward Stochastic Differential Equations Driven by G-Brownian Motion

Abstract and Applied Analysis, 2013
We consider the stochastic optimal control problems under G-expectation. Based on the theory of backward stochastic differential equations driven by G-Brownian motion, which was introduced in Hu et al.
Zhonghao Zheng, Xiuchun Bi, Shuguang Zhang   +2 more
doaj   +1 more source

On the viscosity solutions of a stochastic differential utility problem [PDF]

We prove existence, uniqueness and gradient estimates of stochastic differential utility as a solution of the Cauchy problem for degenerate nonlinear partial differential equation.
Andrea Pascucci, Fabio Antonelli
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