Related papers: Weighted Bounded Mean Oscillation applied to Backw…
We introduce a novel regression model for the conditional left and right tail of a possibly heavy-tailed response. The proposed model can be used to learn the effect of covariates on an extreme value setting via a Lasso-type specification…
We obtain the global weighted $W^{1,p}$ estimates for weak solutions of nonlinear elliptic equations over Reifenberg flat domains. Where nonlinearity $A(x,z,\xi)$ is assumed to be local uniform continuous in $z$ and have small BMO semi-norm…
In this note, we prove the Freidlin-Wentzell's large deviation principle for BSDEs with one-sided reflection.
We study the stationary Stokes system in divergence form. The coefficients are assumed to be merely measurable in one direction and have Dini mean oscillations in the other directions. We prove that if $(u,p)$ is a weak solution of the…
In this paper we present a unified approach to establish gradient type formulas and Bismut type formulas for backward stochastic differential equations (BSDEs). This approach relies on a mix of derivative formulas with respect to the…
We extend the work of Hahn and Carvalho (2015) and develop a doubly-regularized sparse regression estimator by synthesizing Bayesian regularization with penalized least squares within a decision-theoretic framework. In contrast to existing…
We construct a new tail bound for the sum of independent random variables for situations in which the expected value of the sum is known and each random variable lies within a specified interval, which may be different for each variable.…
We study the quantitative stability of the solutions to Markovian quadratic reflected BSDEs with bounded terminal data. By virtue of BMO martingale and change of measure techniques, we obtain stability estimates for the variation of the…
We study the boundary behavior of non-negative solutions to a class of degenerate/singular parabolic equations, whose prototype is the parabolic $p$-Laplacian. Assuming that such solutions continuously vanish on some distinguished part of…
We introduce a new type of reflected backward stochastic differential equations (BSDEs) for which the reflection constraint is imposed on its main solution component, denoted as $Y$ by convention, but in terms of its conditional expectation…
This work deals with backward stochastic differential equation (BSDE) with random marked jumps, and their applications to default risk. We show that these BSDEs are linked with Brownian BSDEs through the decomposition of processes with…
Backward stochastic differential equations (BSDEs) in the sense of Pardoux-Peng [Backward stochastic differential equations and quasilinear parabolic partial differential equations, Lecture Notes in Control and Inform. Sci., 176, 200--217,…
The paper contains the proof of $L^p$-weighted norm inequalities for both, martingales square functions and the classical square functions in harmonic analysis of Littlewood-Paley and Lusin. Furthermore, the bounds are completely explicit…
In this paper, we study the multi-dimensional reflected backward stochastic differential equation driven by $G$-Brownian motion ($G$-BSDE) with a multi-variate constraint on the $G$-expectation of its solution. The generators are diagonally…
In this paper, we deal with a class of one-dimensional reflected backward stochastic differential equations with stochastic Lipschitz coefficient. We derive the existence and uniqueness of the solutions for those equations via Snell…
In this paper, we study a multi-dimensional backward stochastic differential equation (BSDE) with oblique reflection, which is a BSDE reflected on the boundary of a special unbounded convex domain along an oblique direction, and which…
In this article, we propose new Bayesian methods for selecting and estimating a sparse coefficient vector for skewed heteroscedastic response. Our novel Bayesian procedures effectively estimate the median and other quantile functions,…
We provide a probabilistic solution of a not necessarily Markovian control problem with a state constraint by means of a Backward Stochastic Differential Equation (BSDE). The novelty of our solution approach is that the BSDE possesses a…
In this paper, we study linear backward parabolic SPDEs in bounded domains and present new a priori estimates for their weak solutions. Inspired by the seminal work of Y. Hu, J. Ma and J. Yong from 2002 on strong solutions, we establish…
Explicit solutions for a class of linear backward stochastic differential equations (BSDE) driven by Gaussian Volterra processes are given. These processes include the multifractional brownian motion and the multifractional…