Results 51 to 60 of about 3,119 (165)

Numberical Method for Backward Stochastic Differential Equations

The Annals of Applied Probability, 2002
Let \(W\) be a \(d\)-dimensional Brownian motion. The authors develop a new method of approximating solutions \(Y\) of the multidimensional backward stochastic differential equation (BSDE) \[ dY_t= -f(t, Y_t)dt+ Z_t dW_t,\quad t\in [0,T], \] with a continuous driver \(f\) which is Lipschtz in the \(y\)-variable and independent of \(z\).
Ma, Jin, Protter, Philip, San Martín Aristegui, Jaime, Torres, Soledad   +3 more
openaire   +2 more sources

A First Application of the Backward Technique in Social Sciences: Exploring Demographic Noise in a Model with Three Personality Types

Axioms
In the realm of dynamical systems described by deterministic differential equations used in biomathematical modeling, two types of random events influence the populations involved in the model: the first one is called environmental noise, due to factors ...
Roberto Macrelli, Margherita Carletti, Vincenzo Fano   +2 more
doaj   +1 more source

Monotonic Limit Properties for Solutions of BSDEs with Continuous Coefficients

International Journal of Mathematics and Mathematical Sciences, 2009
This paper investigates the monotonic limit properties for the minimal and maximal solutions of certain one-dimensional backward stochastic differential equations with continuous coefficients.
ShengJun Fan, Xing Song, Ming Ma
doaj   +1 more source

Irregular barrier reflected BDSDEs with general jumps under stochastic Lipschitz and linear growth conditions

Modern Stochastics: Theory and Applications, 2020
In this paper, a solution is given to reflected backward doubly stochastic differential equations when the barrier is not necessarily right-continuous, and the noise is driven by two independent Brownian motions and an independent Poisson random measure.
Mohamed Marzougue, Yaya Sagna
doaj   +1 more source

Reflected BSDEs with default time and irregular obstacles

Comptes Rendus. Mathématique
In this note, we study reflected backward stochastic differential equations with a default time, where the reflecting obstacle is not necessarily right-continuous.
Elmansouri, Badr
doaj   +1 more source

Stochastic Optimization Theory of Backward Stochastic Differential Equations Driven by G-Brownian Motion

Abstract and Applied Analysis, 2013
We consider the stochastic optimal control problems under G-expectation. Based on the theory of backward stochastic differential equations driven by G-Brownian motion, which was introduced in Hu et al.
Zhonghao Zheng, Xiuchun Bi, Shuguang Zhang   +2 more
doaj   +1 more source

Stochastic Control Representations for Penalized Backward Stochastic Differential Equations [PDF]

SIAM Journal on Control and Optimization, 2015
24 pages in SIAM Journal on Control and Optimization ...
openaire   +6 more sources

Reflected Backward Stochastic Differential Equations Driven by Countable Brownian Motions

Journal of Applied Mathematics, 2013
This paper deals with a new class of reflected backward stochastic differential equations driven by countable Brownian motions. The existence and uniqueness of the RBSDEs are obtained via Snell envelope and fixed point theorem.
Pengju Duan, Min Ren, Shilong Fei
doaj   +1 more source

Maximum principle for delayed stochastic mean-field control problem with state constraint

Advances in Difference Equations, 2019
In this paper, we consider the optimal control problem for the mean-field stochastic differential equations with delay and state constraint. By virtue of the classical Ekeland’s variational principle, the duality method and a new type of mean-field ...
Li Chen, Jiandong Wang
doaj   +1 more source

Dynamic Risk Measures for Processes via Backward Stochastic Differential Equations Associated with Lévy Processes. [PDF]

Entropy (Basel), 2021
Miao L, Liu Z, Hu Y.
europepmc   +1 more source