Results 11 to 20 of about 3,335 (259)
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
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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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Harmonic analysis of stochastic equations and backward stochastic differential equations [PDF]
Probability Theory and Related Fields, 2008 The BMO martingale theory is extensively used to study nonlinear multi-dimensional stochastic equations (SEs) in $\cR^p$ ($p\in [1, \infty)$) and backward stochastic differential equations (BSDEs) in $\cR^p\times \cH^p$ ($p\in (1, \infty)$) and in $\cR^\infty\times \bar{\cH^\infty}^{BMO}$, with the coefficients being allowed to be unbounded.
Delbaen, Freddy, Tang, Shanjian
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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 +2 more
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Probability, Uncertainty and Quantitative Risk, 2022 For a backward stochastic differential equation (BSDE, for short), when the generator is not progressively measurable, it might not admit adapted solutions, shown by an example. However, for backward stochastic Volterra integral equations (BSVIEs, for short), the generators are allowed to be anticipating.
Wang, Hanxiao +2 more
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Applied Mathematics in Science and Engineering, 2022 Many types of fractional stochastic differential equation (FrSDE), such as Caputo, fractional Brown motion derivatives, and Mittag-Later functions, exist.
Jiahao Chen +3 more
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A Game—Theoretic Model for a Stochastic Linear Quadratic Tracking Problem
Axioms, 2023 In this paper, we solve a stochastic linear quadratic tracking problem. The controlled dynamical system is modeled by a system of linear Itô differential equations subject to jump Markov perturbations.
Vasile Drăgan +2 more
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Backward stochastic differential equations on manifolds [PDF]
Probability Theory and Related Fields, 2004 47 pages To be published in ...
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Analysis of stability for stochastic delay integro-differential equations
Journal of Inequalities and Applications, 2018 In this paper, we concern stability of numerical methods applied to stochastic delay integro-differential equations. For linear stochastic delay integro-differential equations, it is shown that the mean-square stability is derived by the split-step ...
Yu Zhang, Longsuo Li
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Study of Pricing of High-Dimensional Financial Derivatives Based on Deep Learning
Mathematics, 2023 Many problems in the fields of finance and actuarial science can be transformed into the problem of solving backward stochastic differential equations (BSDE) and partial differential equations (PDEs) with jumps, which are often difficult to solve in high-
Xiangdong Liu, Yu Gu
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