Results 21 to 30 of about 3,119 (165)

A direct approach to linear-quadratic stochastic control [PDF]

Opuscula Mathematica, 2017
A direct approach is used to solve some linear-quadratic stochastic control problems for Brownian motion and other noise processes. This direct method does not require solving Hamilton-Jacobi-Bellman partial differential equations or backward stochastic ...
Tyrone E. Duncan, Bozenna Pasik-Duncan
doaj   +1 more source

Mean-Field and Anticipated BSDEs with Time-Delayed Generator

Mathematics, 2023
In this paper, we discuss a new type of mean-field anticipated backward stochastic differential equation with a time-delayed generator (MF-DABSDEs) which extends the results of the anticipated backward stochastic differential equation to the case of mean-
Pei Zhang, Nur Anisah Mohamed, Adriana Irawati Nur Ibrahim   +2 more
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Backward Deep BSDE Methods and Applications to Nonlinear Problems

Risks, 2023
We present a pathwise deep Backward Stochastic Differential Equation (BSDE) method for Forward Backward Stochastic Differential Equations with terminal conditions that time-steps the BSDE backwards and apply it to the differential rates problem as a ...
Yajie Yu, Narayan Ganesan, Bernhard Hientzsch   +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 ...
openaire   +2 more sources

A test of backward stochastic differential equations solver for solving semilinear parabolic differential equations in 1D and 2D

Partial Differential Equations in Applied Mathematics, 2022
Backward stochastic differential equation solver was first introduced by Han et al in 2017. A semilinear parabolic partial differential equation is converted into a stochastic differential equation, and then solved by the backward stochastic differential
Evan Davis, Guangming Yao, Elizabeth Javor, Kalani Rubasinghe, Luis Antonio Topete Galván   +4 more
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Linear Forward—Backward Stochastic Differential Equations [PDF]

Applied Mathematics and Optimization, 1999
Theorems are proved establishing conditions for the solvability of a system of coupled linear forward-backward stochastic differential equations of the form \[ dX(t)= \bigl\{AX(t)+BY(t) +CZ(t)+Db(t)\bigr\}dt +\bigl \{A_1X(t) +B_1Y(t)+ C_1Z(t)+ D_1\sigma (t)\bigr\}dW(t), \] \[ dY(t)= \bigl\{ \widehat AX(t)+ \widehat BY(t)+ \widehat CZ(t)+ \widehat D ...
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Backward-Forward Stochastic Differential Equations

The Annals of Applied Probability, 1993
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Fully Coupled Mean-Field Forward-Backward Stochastic Differential Equations and Stochastic Maximum Principle

Abstract and Applied Analysis, 2014
We discuss a new type of fully coupled forward-backward stochastic differential equations (FBSDEs) whose coefficients depend on the states of the solution processes as well as their expected values, and we call them fully coupled mean-field forward ...
Hui Min, Ying Peng, Yongli Qin
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Semi-linear degenerate backward stochastic partial differential equations and associated forward–backward stochastic differential equations

Stochastic Processes and their Applications, 2013
23 ...
Du, Kai, Zhang, Qi
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Mean-Field Forward-Backward Doubly Stochastic Differential Equations and Related Nonlocal Stochastic Partial Differential Equations

Abstract and Applied Analysis, 2014
Mean-field forward-backward doubly stochastic differential equations (MF-FBDSDEs) are studied, which extend many important equations well studied before.
Qingfeng Zhu, Yufeng Shi
doaj   +1 more source