Results 31 to 40 of about 3,119 (165)

The Optimal Control Problem with State Constraints for Fully Coupled Forward-Backward Stochastic Systems with Jumps

Abstract and Applied Analysis, 2014
We focus on the fully coupled forward-backward stochastic differential equations with jumps and investigate the associated stochastic optimal control problem (with the nonconvex control and the convex state constraint) along with stochastic maximum ...
Qingmeng Wei
doaj   +1 more source

Hybrid Neural Networks for Solving Fully Coupled, High-Dimensional Forward–Backward Stochastic Differential Equations

Mathematics
The theory of forward–backward stochastic differential equations occupies an important position in stochastic analysis and practical applications. However, the numerical solution of forward–backward stochastic differential equations, especially for high ...
Mingcan Wang, Xiangjun Wang
doaj   +1 more source

Perturbed backward stochastic differential equations

Mathematical and Computer Modelling, 2012
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Janković, Svetlana, Jovanović, Miljana, Djordjević, Jasmina   +2 more
openaire   +2 more sources

Stochastic PDEs and Infinite Horizon Backward Doubly Stochastic Differential Equations

Journal of Applied Mathematics, 2012
We give a sufficient condition on the coefficients of a class of infinite horizon BDSDEs, under which the infinite horizon BDSDEs have a unique solution for any given square integrable terminal values.
Bo Zhu, Baoyan Han
doaj   +1 more source

Generalized BSDEs driven by RCLL martingales with stochastic monotone coefficients

Modern Stochastics: Theory and Applications, 2023
A solution is given to generalized backward stochastic differential equations driven by a real-valued RCLL martingale on an arbitrary filtered probability space.
Badr Elmansouri, Mohamed El Otmani
doaj   +1 more source

Almost Surely Exponential Stability of Numerical Solutions for Stochastic Pantograph Equations

Abstract and Applied Analysis, 2014
Our effort is to develop a criterion on almost surely exponential stability of numerical solution to stochastic pantograph differential equations, with the help of the discrete semimartingale convergence theorem and the technique used in stable analysis ...
Shaobo Zhou
doaj   +1 more source

Double barrier reflected BSDEs with stochastic Lipschitz coefficient

Modern Stochastics: Theory and Applications, 2017
This paper proves the existence and uniqueness of a solution to doubly reflected backward stochastic differential equations where the coefficient is stochastic Lipschitz, by means of the penalization method.
Mohamed Marzougue, Mohamed El Otmani
doaj   +1 more source

Multi-valued backward stochastic differential equations with regime switching

Advances in Difference Equations, 2019
The paper considers a class of multi-valued backward stochastic differential equations with subdifferential of a lower semi-continuous convex function with regime switching, whose generator is a continuous-time Markov chain with a finite state space ...
Ruijuan Deng, Yong Ren
doaj   +1 more source

Anticipated backward stochastic differential equations

The Annals of Probability, 2009
Published in at http://dx.doi.org/10.1214/08-AOP423 the Annals of Probability (http://www.imstat.org/aop/) by the Institute of Mathematical Statistics (http://www.imstat.org)
Peng, Shige, Yang, Zhe
openaire   +4 more sources

Almost Sure Exponential Stability of Numerical Solutions for Stochastic Pantograph Differential Equations with Poisson Jumps

Mathematics, 2022
The stability analysis of the numerical solutions of stochastic models has gained great interest, but there is not much research about the stability of stochastic pantograph differential equations.
Amr Abou-Senna, Boping Tian
doaj   +1 more source