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Optimal control for stochastic neural oscillators. [PDF]

Biol Cybern
Rajabi F, Gibou F, Moehlis J.
europepmc   +1 more source

Generative diffusion models in infinite dimensions: a survey. [PDF]

Philos Trans A Math Phys Eng Sci
Franzese G, Michiardi P.
europepmc   +1 more source

Connections between sequential Bayesian inference and evolutionary dynamics. [PDF]

Philos Trans A Math Phys Eng Sci
Pathiraja S, Wacker P.
europepmc   +1 more source

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Backward Stochastic Differential Equations in Finance

Mathematical Finance, 1997
We are concerned with different properties of backward stochastic differential equations and their applications to finance. These equations, first introduced by Pardoux and Peng (1990), are useful for the theory of contingent claim valuation, especially cases with constraints and for the theory of recursive utilities, introduced by Duffie and Epstein ...
El Karoui, N., Peng, S., Quenez, M. C.
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Backward stochastic differential equations and integral-partial differential equations

Stochastics and Stochastic Reports, 1997
We consider a backward stochastic differential equation, whose data (the final condition and the coefficient) are given functions of a jump-diffusion process. We prove that under mild conditions the solution of the BSDE provides a viscosity solution of a system of parabolic integral-partial differential equations.
Guy Barles, Rainer Buckdahn, Etienne Pardoux   +2 more
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General Mean Reflected Backward Stochastic Differential Equations

Journal of Theoretical Probability, 2023
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Hu, Ying, Moreau, Remi, Wang, Falei
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MULTIVALUED STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS VIA BACKWARD DOUBLY STOCHASTIC DIFFERENTIAL EQUATIONS

Stochastics and Dynamics, 2008
In this paper, we establish by means of Yosida approximation, the existence and uniqueness of the solution of a backward doubly stochastic differential equation whose coefficient contains the subdifferential of a convex function. We will use this result to prove the existence of stochastic viscosity solution for some multivalued parabolic stochastic ...
Boufoussi, B., Mrhardy, N.
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Backward Stochastic Differential Equations

2013
We saw in Chap. 4 that the problem of pricing and hedging financial derivatives can be modeled in terms of (possibly reflected) backward stochastic differential equations (BSDEs) or, equivalently in the Markovian setup, by partial integro-differential equations or variational inequalities (PIDEs or PDEs for short). Also, Chaps.
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