Related papers: Reflected Backward Stochastic Differential Equatio…
In this paper, we introduce a new method for study on backward stochastic differential equations with stopping time as time horizon. And using this, we show that some results on backward stochastic differential equations with constant time…
We consider a stochastic partial differential equation with two logarithmic nonlinearities, with two reflections at 1 and -1 and with a constraint of conservation of the space average. The equation, driven by the derivative in space of a…
This paper is intended to give a probabilistic representation for stochastic viscosity solution of semi-linear reflected stochastic partial differential equations with nonlinear Neumann boundary condition. We use it connection with…
We propose a two-stage penalized least squares method to build large systems of structural equations based on the instrumental variables view of the classical two-stage least squares method. We show that, with large numbers of endogenous…
In this work the existence of solutions of one-dimensional backward dou- bly stochastic differential equations (BDSDEs in short) where the coefficient is left-Lipschitz in y (may be discontinuous) and Lipschitz in z is studied. Also, the…
We consider a stochastic partial differential equation with reflection at 0 and with the constraint of conservation of the space average. The equation is driven by the derivative in space of a space--time white noise and contains a double…
This paper is intended to give a representation for stochastic viscosity solution of semi-linear reflected stochastic partial differential equations with nonlinear Neumann boundary condition. We use its connection with reflected generalized…
Simple form scalar differential equation with delay and non-linear negative periodic feedback is considered. The existence of slowly oscillating periodic solutions with the same period as the feedback coefficient is shown numerically within…
In this paper a new class of generalized backward doubly stochastic differential equations is investigated. This class involves an integral with respect to an adapted continuous increasing process. A probabilistic representation for…
In this paper we solve real-valued rough differential equations (RDEs) reflected on an irregular boundary. The solution $Y$ is constructed as the limit of a sequence $(Y^n)_{n\in\mathbb{N}}$ of solutions to RDEs with unbounded drifts…
In a noise driving by a multivariate point process $\mu$ with predictable compensator $\nu$, we prove existence and uniqueness of the reflected backward stochastic differential equation's solution with a lower obstacle…
This paper is devoted to the study of reflected Stochastic Differential Equations when the constraint is not on the paths of the solution but acts on the law of the solution. These reflected equations have been introduced recently by…
In this paper we discuss new types of differential equations which we call anticipated backward stochastic differential equations (anticipated BSDEs). In these equations the generator includes not only the values of solutions of the present…
We solve the optimal control problem of a one-dimensional reflected stochastic differential equation, whose coefficients can be path dependent. The value function of this problem is characterized by a backward stochastic partial…
We provide several characterizations to identify Strong envelop (for bounded measurable process) and Strong super-martingale (for non-negative right upper semi-continuous process of the class $\Dc$). As examples of application, we prove…
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 deal with Reflected Backward Stochastic Differential Equations for which the constraint is not on the paths of the solution but on its law as introduced by Briand, Elie and Hu in [3]. We extend the recent work [2] of…
We study a general class of nonlinear second-order variational inequalities with interconnected bilateral obstacles, related to a multiple modes switching game. Under rather weak assumptions, using systems of penalized unilateral backward…
Numerical methods for stochastic differential equations with non-globally Lipschitz coefficients are currently studied intensively. This article gives an overview of our work for the case that the drift coefficient is potentially…
In this paper, we deal with one dimensional backward doubly stochastic differential equations (BDSDEs) where the coefficient is left Lipschitz in y (may be discontinuous) and uniformly continuous in z. We obtain a generalized comparison…