Results 21 to 30 of about 5,613 (301)
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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SPDIEs and BSDEs Driven by Lévy Processes and Countable Brownian Motions
Journal of Function Spaces, 2016 The paper is devoted to solving a new class of backward stochastic differential equations driven by Lévy process and countable Brownian motions. We prove the existence and uniqueness of the solutions to the backward stochastic differential equations by ...
Pengju Duan
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Delayed Stochastic Linear-Quadratic Control Problem and Related Applications
Journal of Applied Mathematics, 2012 We discuss a quadratic criterion optimal control problem for stochastic linear system with delay in both state and control variables. This problem will lead to a kind of generalized forward-backward stochastic differential equations (FBSDEs) with Itô’s ...
Li Chen, Zhen Wu, Zhiyong Yu
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Perturbed backward stochastic differential equations
Mathematical and Computer Modelling, 2012 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Svetlana Jankovic +2 more
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Obliquely reflected backward stochastic differential equations [PDF]
Annales de l'Institut Henri Poincaré, Probabilités et Statistiques, 2020 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Chassagneux, Jean-François +1 more
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A linear numerical scheme for nonlinear BSDEs with uniformly continuous coefficients
Journal of Applied Mathematics, 2004 We attempt to present a new numerical approach to solve nonlinear backward stochastic differential equations. First, we present some definitions and theorems to obtain the condition, from which we can approximate the nonlinear term of the backward ...
Omid. S. Fard, Ali V. Kamyad
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On the robustness of backward stochastic differential equations
Stochastic Processes and their Applications, 2002 The backward stochastic differential equation driven by a Brownian motion \(W=\{W_t\} _{0\leq t\leq T}\), \[ Y_t= \xi + \int _t^T f(r,Y_r, Z_r)\,dr -\int _t^T Z_r\,dW_r,\quad 0\leq t\leq T, \] is considered, where the solution \((Y_t, Z_t)\) is supposed to be progressively measurable with respect to the filtration \(\{\mathcal F_t \}\) defined by the ...
Briand, Philippe +2 more
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Backward Stochastic Differential Equations [PDF]
, 2015 In this chapter, we consider a different type of stochastic differential equation. In the setting of Chapter 17, we specified a solution process X through its dynamics and its initial value, as in ( 17.6). In this chapter, we specify a solution process Y through its dynamics and its terminal value, at a fixed, deterministic time \(T \in ]0,\infty ...
Samuel N. Cohen, Robert J. Elliott
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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
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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 +2 more
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