Related papers: Reflected BSDEs in time-dependent convex regions

The rates of strong convergence for various approximation schemes are investigated for a class of stochastic differential equations (SDEs) which involve a random time change given by an inverse subordinator. SDEs to be considered are unique…

In this paper, we consider backward stochastic differential equations driven by $G$-Brownian motion (GBSDEs) under quadratic assumptions on coefficients. We prove the existence and uniqueness of solution for such equations. On the one hand,…

The present paper is devoted to the study of the well-posedness of BSDEs with mean reflection whenever the generator has quadratic growth in the $z$ argument. This work is the sequel of Briand et al. [BSDEs with mean reflection,…

We consider a reflected backward stochastic differential equations with default time and an optional barrier in a filtration generated by a one-dimensional Brownian motion and a defaultable process. We suppose that the barrier have…

To characterize the Neumann problem for nonlinear Fokker-Planck equations, we investigate distribution dependent reflecting SDEs (DDRSDEs) in a domain. We first prove the well-posedness and establish functional inequalities for reflecting…

In this paper, we study the convergence rate between reflected backward stochastic differential equations with quadratic generators and their penalized BSDEs. Using techniques of BMO martingales, we prove the convergence rate is at order…

Given strong uniqueness for an It\^o's stochastic equation, we prove that its solution can beconstructed on "any" probability space by using, for example, Euler's polygonal approximations. Stochastic equations in $\mathbb{R}^{d}$ and in…

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 study a discrete-time approximation for solutions of systems of decoupled forward-backward doubly stochastic differential equations (FBDSDEs). Assuming that the coefficients are Lipschitz-continuous, we prove the convergence of the…

We introduce an explicit, adaptive time-stepping scheme for the simulation of SPDEs with one-sided Lipschitz drift coefficients. Strong convergence rates are proven for the full space-time discretisation with multiplicative trace-class…

In this paper we deal with Skorokhod problem for right continuous left limited (rcll) barriers. We prove existence and uniqueness of the solution when the barriers are only supposed to be rcll and completely separated. Then, we apply our…

In this paper, we study the discrete-time approximation schemes for a class of backward stochastic differential equations driven by $G$-Brownian motion ($G$-BSDEs) which corresponds to the hedging pricing of European contingent claims. By…

In this paper{\}we prove the existence of a solution for reflected backward doubly stochastic differential equations with poisson jumps (RBDSDEPs) with one continuous barrier where the generator is continuous and also we study the RBDSDEPs…

We consider the problem of inferring latent stochastic differential equations (SDEs) with a time and memory cost that scales independently with the amount of data, the total length of the time series, and the stiffness of the approximate…

We consider stochastic differential equations with (oblique) reflection in a $2$-dimensional domain that has a cusp at the origin, i..e. in a neighborhood of the origin has the form $\{(x_1,x_2):0<x_1\leq\delta_0,\psi_1(x_1)<x_2<\psi_…

We prove a result on the convex dependence of solutions of ordinary differential equations on an ordered finite-dimensional real vector space with respect to the initial data.

The aim of this short note is to fill in a gap in our earlier paper [16] on 2BSDEs with reflections, and to explain how to correct the subsequent results in the second paper [15]. We also provide more insight on the properties of 2RBSDEs,…

We formulate a notion of doubly reflected BSDEs with a default time and two completely separated RCLL barriers. We demonstrate the existence and uniqueness of the solution. Within the defaultable setup, we introduce a type of generalized…

This paper is devoted to the unique solvability of backward stochastic Volterra integral equations (BSVIEs for short), in terms of both M-solution introduced in [15] and the adapted solutions in [6], [11]. We prove the existence and…

In this paper, we deal with a class of reflected backward stochastic differential equations associated to the subdifferential operator of a lower semi-continuous convex function driven by Teugels martingales associated with L\'{e}vy…