Related papers: Skorohod Equation and Reflected Backward Stochasti…
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…
In this paper, we study multi-dimensional reflected backward stochastic differential equations with diagonally quadratic generators. Using the comparison theorem for diagonally quadratic BSDEs which is established recently in [14], we…
We obtain existence and uniqueness in L^p, p>1 of the solutions of a backward stochastic differential equations (BSDEs for short) driven by a marked point process, on a bounded interval. We show that the solution of the BSDE can be…
In this paper, we deal with a new type of differential equations called anticipated backward doubly stochastic differential equations (anticipated BDSDEs). The coefficients of these BDSDEs depend on the future value of the solution $(Y,…
We consider an infinite horizon, obliquely reflected backward stochastic differential equation (RBSDE). The main contribution of the present work is that we generalize previous results on infinite horizon reflected BSDEs to the setting…
This paper deals with the consistency, a rate of convergence and the asymptotic distribution of a nonparametric estimator of the trend in the Skorokhod reflection problem defined by a fractional SDE and a Moreau sweeping process.
We consider a one-dimensional Stochastic Differential Equation with reflection where we allow the drift to be merely bounded and measurable. It is already known that such equations have a unique strong solution. Recently, it has been shown…
The study of both sensitivity analysis and differentiability of the stochastic flow of a reflected process in a convex polyhedral domain is challenging because the dynamics are discontinuous at the boundary of the domain and the boundary of…
In [5] the authors obtained Mean-Field backward stochastic differential equations (BSDE) associated with a Mean-field stochastic differential equation (SDE) in a natural way as limit of some highly dimensional system of forward and backward…
In this paper, we prove that there exists at least one solution for the reflected forward-backward stochastic differential equation driven by G-Brownian motion satisfying the obstacle constraint with monotone coefficients.
We introduce a new formulation of reflected BSDEs and doubly reflected BSDEs associated with irregular obstacles. In the first part of the paper, we consider an extension of the classical optimal stopping problem over a larger set of…
A local strict comparison theorem and some converse comparison theorems are proved for reflected backward stochastic differential equations under suitable conditions.
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…
We study the problem of existence, uniqueness and approximation of solutions of finite dimensional Stratonovich stochastic differential equations with reflecting boundary condition driven by semimartingales with jumps. As an application we…
In this paper we study reflected backward stochastic differential equations with a continuous, linear growth coefficient and two barriers which belong to L^2. We prove that there exists at least by penalization method.
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…
The goal of this paper is to solve backward doubly stochastic differential equation (BDSDE, in short) under weak assumptions on the data. The first part is devoted to the development of some new technical aspects of stochastic calculus…
We propose to study a new type of Backward stochastic differential equations driven by a family of It\^o's processes. We prove existence and uniqueness of the solution, and investigate stability and comparison theorem.
We study the well-posedness of a coupled system of Skorohod-like stochastic differential equations with reflecting boundary condition. The setting describes the evacuation dynamics of a mixed crowd composed of both active and passive…
We consider systems of backward stochastic differential equations with c\`adl\`ag upper barrier $U$ and oblique reflection from below driven by an increasing continuous function $H$. Our equations are defined on general probability spaces…