Related papers: Reflected backward stochastic differential equatio…

We consider reflected backward stochastic differential equations with two general optional barriers. The solutions to these equations have the so-called regulated trajectories, i.e trajectories with left and right finite limits. We prove…

We study a class of reflected backward stochastic differential equations with nonpositive jumps and upper barrier. Existence and uniqueness of a minimal solution is proved by a double penalization approach under regularity assumptions on…

In this paper, we introduce a new method to study the doubly reflected backward stochastic differential equation driven by G-Brownian motion (G-BSDE). Our approach involves approximating the solution through a family of penalized reflected…

We consider a stochastic partial differential equation with logarithmic (or negative power) nonlinearity, with one reflection at 0 and with a constraint of conservation of the space average. The equation, driven by the derivative in space…

This paper is concerned with the switching game of a one-dimensional backward stochastic differential equation (BSDE). The associated Bellman-Isaacs equation is a system of matrix-valued BSDEs living in a special unbounded convex domain…

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…

This paper establishes a discretization scheme for a large class of stochastic differential equations driven by a time-changed Brownian motion with drift, where the time change is given by a general inverse subordinator. The scheme involves…

Reflected diffusions naturally arise in many problems from applications ranging from economics and mathematical biology to queueing theory. In this paper we consider a class of infinite time-horizon singular stochastic control problems for…

In this paper we investigate the well-posedness of backward or forward stochastic differential equations whose law is constrained to live in an a priori given (smooth enough) set and which is reflected along the corresponding ''normal''…

In this paper we consider the controllability of certain class of non-autonomous neutral evolution stochastic functional differential equations, with time varying delays, driven by a fractional Brownian motion in a separable real Hilbert…

Classical numerical methods for solving partial differential equations suffer from the curse dimensionality mainly due to their reliance on meticulously generated spatio-temporal grids. Inspired by modern deep learning based techniques for…

We study the discrete-time approximation for solutions of forward-backward stochas- tic dierential equations (FBSDEs) with a jump. In this part, we study the case of Lipschitz generators, and we refer to the second part of this work [15]…

In this paper, we consider a reflected backward stochastic differential equation driven by a $G$-Brownian motion ($G$-BSDE), with the generator growing quadratically in the second unknown. We obtain the existence by the penalty method, and…

This paper studies a stochastic functional differential equation driven by a fractional Brownian motion with Hurst parameter H>1/2, constrained to be reflected at 0. We prove the existence of solutions using the Euler method. However,…

We construct a family of SDEs whose solutions select a reflected Brownian flow as well as a stochastic damped transport process (W\_t). The latter gives a representation for the solutions to the heat equation for differential 1-forms with…

In this paper, we consider a class of reflected stochastic differential equations for which the constraint is not on the paths of the solution but on its law. We establish a small noise large deviation principle, a large deviation for short…

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…

We provide a new, concise proof of weak existence and uniqueness of solutions to the stochastic differential equation for the multidimensional skew Brownian motion. We also present an application to Brownian particles with skew-elastic…

In this paper, we study the backward stochastic differential equation (BSDE) with two nonlinear mean reflections, which means that the constraints are imposed on the distribution of the solution but not on its paths. Based on the backward…

In this paper we discuss backward stochastic differential equations with Markov chain noise, having continuous drivers. We obtain the existence of a solution which is possibly not unique. Moreover, we show there is a minimal solution for…