Results 1 to 10 of about 21,651 (169)

Double barrier reflected BSDEs with stochastic Lipschitz coefficient [PDF]

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   +5 more sources

Reflected BSDE with stochastic Lipschitz coefficient [PDF]

, 2009
In this paper, we deal with a class of one-dimensional reflected backward stochastic differential equations with stochastic Lipschitz coefficient. We derive the existence and uniqueness of the solutions for those equations via Snell envelope and the ...
Lu, Wen
core   +2 more sources

Modified Runge–Kutta method with convergence analysis for nonlinear stochastic differential equations with Hölder continuous diffusion coefficient [PDF]

Iranian Journal of Numerical Analysis and Optimization, 2023
The main goal of this work is to develop and analyze an accurate trun-cated stochastic Runge–Kutta (TSRK2) method to obtain strong numeri-cal solutions of nonlinear one-dimensional stochastic differential equations (SDEs) with continuous Hölder diffusion
A. Haghighi
doaj   +1 more source

Mean-square stability and convergence of compensated split-step θ-method for nonlinear jump diffusion systems [PDF]

Mathematics and Modeling in Finance, 2021
In this paper, the existence and uniqueness of the numerical solution of the Stochastic Differential Equations with Jumps(SDEwJs) under the one side Lipschitz conditions and polynomial growth conditions are presented.
Ali Soheili, Yasser Taherinasab, Mohammad Amini   +2 more
doaj   +1 more source

Stability for Stochastic McKean--Vlasov Equations with Non-Lipschitz Coefficients [PDF]

SIAM Journal on Control and Optimization, 2021
In this paper we consider the stability for a type of stochastic McKean-Vlasov equations with non-Lipschitz coefficients. First, sufficient conditions are given for the exponential stability of the second moments for their solutions in terms of a Lyapunov function.
Xiaojie Ding, Huijie Qiao
openaire   +2 more sources

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
doaj   +1 more source

On the Global Positivity Solutions of Non-homogeneous Stochastic Differential Equations

Frontiers in Applied Mathematics and Statistics, 2022
In this article, we treat the existence and uniqueness of strong solutions to the Cauchy problem of stochastic equations of the form dXt=αXtdt+σXtγdBt,X0=x>0.
Farai Julius Mhlanga, Lazarus Rundora
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

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

Backward Stochastic Differential Equations Driven by a Jump Markov Process with Continuous and Non-Necessary Continuous Generators

Fractal and Fractional, 2022
We deal with backward stochastic differential equations driven by a pure jump Markov process and an independent Brownian motion (BSDEJs for short). We start by proving the existence and uniqueness of the solutions for this type of equation and present a ...
Khaoula Abdelhadi, Mhamed Eddahbi, Nabil Khelfallah, Anwar Almualim   +3 more
doaj   +1 more source