Results 31 to 40 of about 57,660 (268)
Penalization method for a nonlinear Neumann PDE via weak solutions of reflected SDEs [PDF]
, 2013 In this paper we prove an approximation result for the viscosity solution of a system of semi-linear partial differential equations with continuous coefficients and nonlinear Neumann boundary condition. The approximation we use is based on a penalization
Bahlali, Khaled +2 more
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Numerical Solutions of Backward Stochastic Differential Equations: A Finite Transposition Method [PDF]
, 2011 In this note, we present a new numerical method for solving backward stochastic differential equations. Our method can be viewed as an analogue of the classical finite element method solving deterministic partial differential equations.Comment: 4 ...
Wang, Penghui, Zhang, Xu
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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 +4 more
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Linear ForwardBackward 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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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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, 2011 Anticipated backward stochastic differential equations, studied the first time in 2007, are equations of the following type: {tabular}{rlll} $-dY_t$ &=& $f(t, Y_t, Z_t, Y_{t+\delta(t)}, Z_{t+\zeta(t)})dt-Z_tdB_t, $ & $ t\in[0, T];$ $Y_t$ &=& $\xi_t, $ & $
Xu, Xiaoming
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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
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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
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MathematicsThe 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
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