Results 41 to 50 of about 3,119 (165)

Weak Convergence Analysis and Improved Error Estimates for Decoupled Forward-Backward Stochastic Differential Equations

Mathematics, 2021
In this paper, we mainly investigate the weak convergence analysis about the error terms which are determined by the discretization for solving the stochastic differential equation (SDE, for short) in forward-backward stochastic differential equations ...
Wei Zhang, Hui Min
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Backward doubly stochastic differential equations with jumps and stochastic partial differential-integral equations [PDF]

Chinese Annals of Mathematics, Series B, 2012
19 ...
Zhu, Qingfeng, Shi, Yufeng
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Existence Solution for Fractional Mean-Field Backward Stochastic Differential Equation with Stochastic Linear Growth Coefficients

Mendel, 2023
We deal with fractional mean field backwardWe deal with fractional mean field backward stochastic differential equations with hurst parameter $H\in (\frac{1}{2},1)$ when the coefficient $f$ satisfy a stochastic Lipschitz conditions, we prove the ...
Mostapha Abdelouahab Saouli
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Backward stochastic differential equations with unbounded generators [PDF]

Stochastics and Dynamics, 2019
In this paper, we consider two classes of backward stochastic differential equations (BSDEs). First, under a Lipschitz-type condition on the generator of the equation, which can also be unbounded, we give sufficient conditions for the existence of a unique solution pair. The method of proof is that of Picard iterations and the resulting conditions are
Gashi, B, Li, J
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Multistep schemes for solving backward stochastic differential equations on GPU

Journal of Mathematics in Industry, 2022
The Backward Stochastic Differential Equation (BSDE) is an important tool for pricing and hedging. Highly accurate pricing for low computation time becomes interesting for minimizing monetary loss.
Lorenc Kapllani, Long Teng
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Mean field forward-backward stochastic differential equations

Electronic Communications in Probability, 2013
The purpose of this note is to provide an existence result for the solution of fully coupled Forward Backward Stochastic Differential Equations (FBSDEs) of the mean field type. These equations occur in the study of mean field games and the optimal control of dynamics of the McKean Vlasov type.
Carmona, René, Delarue, François
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Infinite Horizon Optimal Control of Stochastic Delay Evolution Equations in Hilbert Spaces

Abstract and Applied Analysis, 2013
The aim of the present paper is to study an infinite horizon optimal control problem in which the controlled state dynamics is governed by a stochastic delay evolution equation in Hilbert spaces.
Xueping Zhu, Jianjun Zhou
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A class of stochastic Gronwall’s inequality and its application

Journal of Inequalities and Applications, 2018
This paper puts forward the basic form of stochastic Gronwall’s inequality and uses, respectively, the iterative method, the integral method and the martingale representation method to prove it.
Xin Wang, Shengjun Fan
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Infinite horizon forward–backward stochastic differential equations

Stochastic Processes and their Applications, 2000
Let \(B\) be a standard \(d\)-dimensional Wiener process defined on a probability space \((\Omega ,\mathfrak F,P)\), let \((\mathfrak F_{t})\) be the (augmented) natural filtration of \(B\). An infinite horizon forward-backward stochastic differential equation \[ \begin{aligned} & dX(t) = b(t,X(t),Y(t),Z(t)) dt + \sigma (t,X(t), Y(t),Z(t)) dB(t), \tag ...
Peng, Shige, Shi, Yufeng
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Option pricing mechanisms driven by backward stochastic differential equations

Financial Innovation
This study investigates an option pricing method called g-pricing based on backward stochastic differential equations combined with deep learning.
Yufeng Shi, Bin Teng, Sicong Wang
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