Related papers: Multi-dimensional BSDE with Oblique Reflection and…
This paper is concerned with linear quadratic optimal control problems for mean-field backward stochastic differential equations (MF-BSDEs, for short) with deterministic coefficients. The optimality system, which is a linear mean-field…
The work concerns a type of backward multivalued McKean-Vlasov stochastic differential equations. First, we prove the existence and uniqueness of solutions for backward multivalued McKean-Vlasov stochastic differential equations. Then, it…
We study the problem of the existence, uniqueness and stability of solutions of reflected stochastic differential equations (SDEs) with a minimality condition depending on the law of the solution (and not on the paths). We require that some…
We propose a new method for the numerical solution of backward stochastic differential equations (BSDEs) which finds its roots in Fourier analysis. The method consists of an Euler time discretization of the BSDE with certain conditional…
This study investigates the variational posterior convergence rates of inverse problems for partial differential equations (PDEs) with parameters in Besov spaces $B_{pp}^\alpha$ ($p \geq 1$) which are modeled naturally in a Bayesian manner…
Block-coordinate descent (BCD) is a popular framework for large-scale regularized optimization problems with block-separable structure. Existing methods have several limitations. They often assume that subproblems can be solved exactly at…
In this paper, we investigate mean-field backward stochastic differential equation (MFBSDE) with double mean reflections and nonlinear resistance. Specifically, the constraints are formulated in terms of the expectation of the solution, and…
We study backward stochastic differential equations (BSDEs) for time-changed L\'evy noises when the time-change is independent of the L\'evy process. We prove existence and uniqueness of the solution and we obtain an explicit formula for…
Stemmed from the derivation of the optimal control to a stochastic linear-quadratic control problem with Markov jumps, we study one kind of backward stochastic differential equations (BSDEs) that the generator f is affected by a Markovian…
This paper is devoted to proposing a new asymmetric risk-sensitive criterion involving different risk attitudes toward varying risk sources. The criterion can only be defined through the initial value of the minimal solutions of quadratic…
(Working Paper) Using a purely probabilistic argument, we prove the global well-posedness of multidimensional superquadratic backward stochastic differential equations (BSDEs) without Markovian assumption. The key technique is the interplay…
This work deals with the numerical approximation of backward stochastic differential equations (BSDEs). We propose a new algorithm which is based on the regression-later approach and the least squares Monte Carlo method. We give some…
In this work, we investigate the multidimensional Skorokhod problem for c\`adl\`ag processes, where the reflection is subject to a minimality condition depending on the law of the solution. We then apply these results to establish existence…
By using the Skorohod equation we derive an iteration procedure which allows us to solve a class of reflected backward stochastic differential equations with non-linear resistance induced by the reflected local time. In particular, we…
In this paper we study Backward Stochastic Differential Equations with two reflecting right continuous with left limits obstacles (or barriers) when the noise is given by Brownian motion and a Poisson random measure mutually independent.…
In this paper, we study the existence and uniqueness of the solution to a reflected backward stochastic differential equation (RBSDE) with the generator $g(t,y,z)=G_f^F(t,y,z)+f(y)|z|^2$, where $f(y)$ is a locally integrable function…
Dynamical systems that are subject to continuous uncertain fluctuations can be modelled using Stochastic Differential Equations (SDEs). Controlling such system results in solving path constrained SDEs. Broadly, these problems fall under the…
We propose the Compound BSDE method, a fully forward, deep-learning-based approach for solving a broad class of problems in financial mathematics, including optimal stopping. The method is based on a reformulation of option pricing problems…
In this paper we will study the existence and uniqueness of the solution for the stochastic variational inequality with oblique subgradients of the following form:{l} dX_{t}+H(X_{t}) \partial \phi (X_{t}) (dt) \ni f(t,X_{t}) dt+g(t,X_{t})…
In this paper, we provide an estimate for the solutions of reflected backward stochastic differential equations (RBSDEs) driven by a Markov chain, derive a continuous dependence property for their solutions with respect to the parameters of…