Related papers: Backward stochastic differential equations with un…
In this paper, we analyze a real-valued reflected backward stochastic differential equation (RBSDE) with an unbounded obstacle and an unbounded terminal condition when its generator $f$ has quadratic growth in the $z$-variable. In…
We study the problem of existence of solutions for generalized backward stochastic differential equation with two reflecting barriers (GRBSDE for short) under weaker assumptions on the data. Roughly speaking we show the existence of a…
We prove the backward uniqueness for general parabolic operators of second order in the whole space under assumptions that the leading coefficients of the operator are Lipschitz and their gradients satisfy certain decay conditions. This…
In this paper, we deal with a class of multivalued backward doubly stochastic differential equations with time delayed coefficients. Based on a slight extension of the existence and uniqueness of solutions for backward doubly stochastic…
Dynamical semigroups have become the key structure for describing open system dynamics in all of physics. Bounded generators are known to be of a standard form, due to Gorini, Kossakowski, Sudarshan and Lindblad. This form is often used…
The aim of this paper is to establish the existence and uniqueness of the solution to a system of nonlinear fully coupled forward-backward doubly stochastic differential equations with Poisson jumps. Our system is Markovian in the sense…
An existence and uniqueness theorem for a class of stochastic delay differential equations is presented, and the convergence of Euler approximations for these equations is proved under general conditions. Moreover, the rate of almost sure…
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…
In this paper, we study backward stochastic differential equations driven by G-Brownian motion where the generator has time-varying monotonicity with respect to y and Lipsitz property with respect to z. Through the Yosida approximation, we…
The Cauchy problem for a multidimensional linear transport equation with discontinuous coefficient is investigated. Provided the coefficient satisfies a one-sided Lipschitz condition, existence, uniqueness and weak stability of solutions…
Under a generalized Mokobodzki condition for reflected BSDEs with two continuous barriers which relates the growth of the generator $g$ and that of the barriers, we establish several existence and uniqueness results on $L^p\ (p>1)$…
We introduce a class of second order backward stochastic differential equations and show relations to fully non-linear parabolic PDEs. In particular, we provide a stochastic representation result for solutions of such PDEs and discuss Monte…
In this paper, we study the existence and uniqueness of solutions for several classes of stochastic evolution equations with non-Lipschitz coefficients, that is, backward stochastic evolution equations, stochastic Volterra type evolution…
We study the existence of solutions to backward stochastic differential equations with drivers f(t,W,y,z) that are convex in z. We assume f to be Lipschitz in y and W but do not make growth assumptions with respect to z. We first show the…
We deal with a weakly coupled system of ODEs of the type $$ x_j'' + n_j^2 \,x_j + h_j(x_1,\ldots,x_d) = p_j(t), \qquad j=1,\ldots,d, $$ with $h_j$ locally Lipschitz continuous and bounded, $p_j$ continuous and $2\pi$-periodic, $n_j \in…
In this paper, we provide a one-to-one correspondence between the solution Y of a BSDE with singular terminal condition and the solution H of a BSDE with singular generator. This result provides the precise asymptotic behavior of Y close to…
A splitting scheme for backward doubly stochastic differential equations is proposed. The main idea is to decompose a backward doubly stochastic differential equation into a backward stochastic differential equation and a stochastic…
Anticipated backward stochastic differential equation (ABSDE) studied the first time in 2007 is a new type of stochastic differential equations. In this paper, we establish a general comparison theorem for 1-dimensional ABSDEs with the…
We study two classes of linear difference differential equations analogous to Euler-Cauchy ordinary differential equations, but in which multiple arguments are shifted forward or backward by fixed amounts. Special cases of these equations…
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…