Related papers: Reflected Stochastic Differential Equations Driven…
In this paper, we study the existence and uniqueness of $\mathbb{L}^p$-solutions for $p \in (1, 2)$, first for backward stochastic differential equations (BSDEs) in a general filtration that supports a Brownian motion and an independent…
We study a class of stochastic differential equations with non-Lipschitzian coefficients.A unique strong solution is obtained and a large deviation principle of Freidln-Wentzell type has been established.
We study the existence of a solution for a one-dimensional generalized backward stochastic differential equation with two reflecting barriers (GRBSDE for short) under assumptions on the input data which are weaker than that on the current…
In this paper, we introduce a specific kind of doubly reflected Backward Stochastic Differential Equations (in short DRBSDEs), defined on probability spaces equipped with general filtration that is essentially non quasi-left continuous,…
In this paper, we study existence and uniqueness to multidimensional Reflected Backward Stochastic Differential Equation in an open convex domain, allowing for oblique directions of reflection. In a Markovian framework, combining \emph{a…
This work contributes a systematic survey and complementary insights of reflecting Brownian motion and its properties. Extension of the Skorohod problem's solution to more general cases is investigated, based on which a discussion is…
We establish several existence, uniqueness and comparison results for $L^1$ solutions of non-reflected BSDEs and reflected BSDEs with one and two continuous barriers under the assumption that the generator $g$ satisfies a one-sided Osgood…
We provide sufficient conditions on the coefficients of a stochastic functional differential equation with bounded memory driven by Brownian motion which guarantee existence and uniqueness of a maximal local and global strong solution for…
We consider the problem of viscosity solution of integro-partial differential equation(IPDE in short) with one obstacle via the solution of reflected backward stochastic differential equations(RBSDE in short) with jumps. We show existence…
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.
In this paper, we study reflected backward stochastic difference equations (RBSDEs for short) with finitely many states in discrete time. The general existence and uniqueness result, as well as comparison theorems for the solutions, are…
We are interested on reflected advanced backward stochastic differential equations (RABSDE) with default. By the predictable representation property and for a Lipschitz driver, we show that the RABSDE with default has a unique solution in…
In this paper, we prove a convergence theorem for singular perturbations problems for a class of fully nonlinear parabolic partial differential equations with ergodic structures. The limit function is represented as the viscosity solution…
This paper is devoted to studying the properties of the exit times of stochastic differential equations driven by $G$-Brownian motion ($G$-SDEs). In particular, we prove that the exit times of $G$-SDEs has the quasi-continuity property. As…
For a Lagrangian system with nonholonomic constraints, we construct extensions of the equations of motion to sets of second-order ordinary differential equations. In the case of a purely kinetic Lagrangian, we investigate the conditions…
In this note we prove an existence and uniqueness result for the solution of multidimensional stochastic delay differential equations with normal reflection. The equations are driven by a fractional Brownian motion with Hurst parameter…
In this paper, the existence and pathwise uniqueness of strong solutions for jump-type stochastic differential equations are investigated under non-Lipschitz conditions. A sufficient condition is obtained for ensuring the non-confluent…
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…
In this paper, the successive approximation method is applied to investigate the existence and uniqueness of solutions to the stochastic differential equations (SDEs) driven by L\'evy noise under non-Lipschitz condition which is a much…
In this article, we consider non-smooth time-dependent domains and single-valued, smoothly varying directions of reflection at the boundary. In this setting, we first prove existence and uniqueness of strong solutions to stochastic…