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NeuroQ: Quantum-Inspired Brain Emulation. [PDF]

Biomimetics (Basel)
Vallverdú J, Rius G.
europepmc   +1 more source

Pattern Formation in Agent-Based and PDE Models for Evolutionary Games with Payoff-Driven Motion. [PDF]

Bull Math Biol
Yao T, Xu C, Cooney DB.
europepmc   +1 more source

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Backward Stochastic Differential Equations in the Plane

Potential Analysis, 2002
Backward stochastic differential equations have been introduced by \textit{E. Pardoux} and \textit{S. G. Peng} [Syst. Control Lett. 14, No. 1, 55-61 (1990; Zbl 0692.93064)]. They proved existence and uniqueness of an adapted solution \((Y_t, Z_t)\) of the equation \(dY_t= -f(t;Y_t,Z_t) dt+ Z_t dW_t\), \(t\in [0,T]\), driven by a Brownian motion \(W ...
Zaïdi, N. Lanjri, Nualart, D.
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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.
exaly   +3 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 \(z\).
Jin Ma, , Jaime San Martín
exaly   +3 more sources

On Reflected Backward Stochastic Differential Equations

Calcutta Statistical Association Bulletin, 2002
Some aspects of reflected backward stochastic differential equations in a half-line or in an orthant are surveyed. The roleof an optimal stopping problem in solving RBSDE in a half-line is highlighted. RBSDE in an orthant with time-space dependent oblique reflection is formulated and an outline of the ideas involved in proving the existence of a unique
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On a class of backward doubly stochastic differential equations

Applied Mathematics and Computation, 2011
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Svetlana Jankovic, Jasmina Djordjevic, Miljana Jovanovic   +2 more
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Backward stochastic differential equations and partial differential equations with quadratic growth

Annals of Probability, 2000
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Backward Stochastic Differential Equations

1999
In Chapter 3, in order to derive the stochastic maximum principle as a set of necessary conditions for optimal controls, we encountered the problem of finding adapted solutions to the adjoint equations. Those are terminal value problems of (linear) stochastic differential equations involving the Ito stochastic integral. We call them backward stochastic
Jiongmin Yong, Xun Yu Zhou
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