Results 61 to 70 of about 3,119 (165)

L p -Solutions and Comparison Results for Lévy-Driven Backward Stochastic Differential Equations in a Monotonic, General Growth Setting. [PDF]

J Theor Probab, 2022
Kremsner S, Steinicke A.
europepmc   +1 more source

Mean-Variance Hedging and Forward-Backward Stochastic Differential Filtering Equations

Abstract and Applied Analysis, 2011
This paper is concerned with a mean-variance hedging problem with partial information, where the initial endowment of an agent may be a decision and the contingent claim is a random variable.
Guangchen Wang, Zhen Wu
doaj   +1 more source

Lp solutions of backward stochastic differential equations

Stochastic Processes and their Applications, 2003
Existence and uniqueness of solutions of the following backward stochastic differential equation are studied: \[ Y_t=\xi +\int _t^Tf(r,Y_r,Z_r)\,\text dr-\int _t^TZ_r\,\text dB_r, \qquad 0\leq t\leq T.\tag{1} \] Here ...
Briand, Ph., Delyon, B., Hu, Y., Pardoux, E., Stoica, L.   +4 more
openaire   +1 more source

Backward stochastic differential equations associated with the vorticity equations

Journal of Functional Analysis, 2014
We derive a non-linear version of the Feynman-Kac formula for the solutions of the vorticity equation in dimension 2 with space periodic boundary conditions. We prove the existence (global in time) and uniqueness for a stochastic terminal value problem associated with the vorticity equation in dimension 2.
Cruzeiro, A. B., Qian, Z. M.
openaire   +3 more sources

Switching game of backward stochastic differential equations and associated system of obliquely reflected backward stochastic differential equations

Discrete & Continuous Dynamical Systems - A, 2015
This paper is concerned with the switching game of a one-dimensional backward stochastic differential equation (BSDE). The associated Bellman-Isaacs equation is a system of matrix-valued BSDEs living in a special unbounded convex domain with reflection on the boundary along an oblique direction.
Hu, Ying, Tang, Shanjian
openaire   +3 more sources

Lp-solution of generalized BSDEs in a general filtration with stochastic monotone coefficients

Modern Stochastics: Theory and Applications
Multidimensional generalized backward stochastic differential equations (GBSDEs) are studied within a general filtration that supports a Brownian motion under weak assumptions on the associated data. The existence and uniqueness of solutions in ${\mathbb{
Badr Elmansouri, Mohamed El Otmani
doaj   +1 more source

Quadratic BSDEs with Singular Generators and Unbounded Terminal Conditions: Theory and Applications

Mathematics
We investigate a class of quadratic backward stochastic differential equations (BSDEs) with generators that are singular in y. First, we establish the existence of solutions and a comparison theorem, thereby extending the existing results in the ...
Wenbo Wang, Guangyan Jia
doaj   +1 more source

Reflected backward stochastic partial differential equations driven by Teugels martingales

Boundary Value Problems
In this paper, we study a class of multi-dimensional reflected backward stochastic partial differential equations (RBSPDEs) driven by the Teugels martingales related to a Lévy process.
Hongchao Qian
doaj   +1 more source

Donsker-Type Theorem for Numerical Schemes of Backward Stochastic Differential Equations

Mathematics
This article studies the theoretical properties of the numerical scheme for backward stochastic differential equations, extending the relevant results of Briand et al. with more general assumptions.
Yi Guo, Naiqi Liu
doaj   +1 more source

Infinite time interval backward stochastic differential equations with continuous coefficients. [PDF]

Springerplus, 2016
Zong Z, Hu F.
europepmc   +1 more source