Related papers: Reflected and doubly reflected BSDEs with jumps: a…
We consider ergodic backward stochastic differential equations, in a setting where noise is generated by a countable state uniformly ergodic Markov chain. We show that for Lipschitz drivers such that a comparison theorem holds, these…
We investigate degenerate saddle point problems, which can be viewed as limit cases of standard mixed formulations of symmetric problems with large jumps in coefficients. We prove that they are well-posed in a standard norm despite the…
We study stochastic delay differential equations (SDDE) where the coefficients depend on the moving averages of the state process. As a first contribution, we provide sufficient conditions under which a linear path functional of the…
We study the optimal investment stopping problem in both continuous and discrete case, where the investor needs to choose the optimal trading strategy and optimal stopping time concurrently to maximize the expected utility of terminal…
In this paper, we continue in solving reflected generalized backward stochastic differential equations (RGBSDE for short) and fixed terminal time with use some new technical aspects of the stochastic calculus related to the reflected…
This paper considers the problem of remote state estimation for Markov jump linear systems in the presence of uncertainty in the posterior mode probabilities. Such uncertainty may arise when the estimator receives noisy or incomplete…
We study some jumping SDE and the corresponding Fokker-Planck (or Kolmogorov forward) equation, which is a non-local PDE. We assume only some measurability and growth conditions on the coefficients. We prove that for any weak solution…
Most previous contributions to BSDEs, and the related theories of nonlinear expectation and dynamic risk measures, have been in the framework of continuous time diffusions or jump diffusions. Using solutions of BSDEs on spaces related to…
We prove existence and uniqueness for semimartingale reflecting diffusions in 2-dimensional piecewise smooth domains with varying, oblique directions of reflection on each "side", under geometric, easily verifiable conditions. Our…
We obtain an existence and uniqueness theorem for fully coupled forward-backward SDEs (FBSDEs) with jumps via the classical solution to the associated quasilinear parabolic partial integro-differential equation (PIDE), and provide the…
In this paper we look at ergodic BSDEs in the case where the forward dynamics are given by the solution to a non-autonomous (time-periodic coefficients) Ornstein-Uhlenbeck SDE with L\'evy noise, taking values in a separable Hilbert space.…
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…
This paper explores some sufficient conditions for the enhanced solvability of strong vector equilibrium problems, which can be established via a variational approach. Enhanced solvability here means existence of solutions, which are strong…
In this paper, we study a multidimensional backward stochastic differential equation (BSDE) with an additional rough drift (rough BSDE), and give the existence and uniqueness of the adapted solution, either when the terminal value and the…
Backward stochastic differential equations (BSDEs) appear in numeruous applications. Classical approximation methods suffer from the curse of dimensionality and deep learning-based approximation methods are not known to converge to the BSDE…
We prove the existence and uniqueness of solutions to a class of quadratic BSDE systems which we call triangular quadratic. Our results generalize several existing results about diagonally quadratic BSDEs in the non-Markovian setting. As…
We establish an existence and uniqueness result for a class of multidimensional quadratic backward stochastic differential equations (BSDE). This class is characterized by constraints on some uniform a priori estimate on solutions of a…
In this article, we deal with a multiple dimensional coupled Markovian BSDEs system with stochastic linear growth generators with respect to volatility processes. An existence result is provided by using approximation techniques.
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.
We study non-linear Backward Stochastic Differential Equations (BSDEs) driven by a Brownian motion and p default martingales. The driver of the BSDE with multiple default jumps can take a generalized form involving an optional finite…