Related papers: Anticipating backward stochastic Volterra integral…
This article is devoted to study the class of backward stochastic differential equation with delayed generator. We suppose the terminal value and the generator to be $L^{p}$-integrable with $p>1$. We derive a new type of estimation related…
The present paper is devoted to the well-posedness of a type of multi-dimensional backward stochastic differential equations (BSDEs) with a diagonally quadratic generator. We give a new priori estimate, and prove that the BSDE admits a…
This paper discusses a new type of anticipated backward stochastic differential equation with a time-delayed generator (DABSDEs, for short) driven by fractional Brownian motion, also known as fractional BSDEs, with Hurst parameter…
This paper adopts a highly effective numerical approach for approximating non-linear stochastic Volterra integral equations (NLSVIEs) based on the operational matrices of the Walsh function and the collocation method. The method transforms…
Optimal control problems of forward stochastic Volterra integral equations (SVIEs) are formulated and studied. When control region is arbitrary subset of Euclidean space and control enters into the diffusion, necessary conditions of…
In this paper, we establish an analytic framework for studying set-valued backward stochastic differential equations (set-valued BSDE), motivated largely by the current studies of dynamic set-valued risk measures for multi-asset or…
This paper establishes a new existence and uniqueness result of solutions for multidimensional backward stochastic differential equations (BSDEs) whose generators satisfy a weak monotonicity condition and a general growth condition in $y$,…
In this paper, we establish representation theorems for generators of backward stochastic differential equations (BSDEs in short) in probability spaces with general filtration from the perspective of transposition solutions of BSDEs. As…
This paper investigate a class of multi-dimensional backward stochastic differential equations (BSDEs) with singualr generators exhibiting diagonally quadratic growth and unbounded terminal conditions, thereby extending results in the…
Motivated from time-inconsistent stochastic control problems, we introduce a new type of coupled forward-backward stochastic systems, namely, flows of forward-backward stochastic differential equations. They are systems consisting of a…
We consider a class of reflected backward doubly stochastic differential equations with time delayed generator (in short RBDSDE with time delayed generator), in this case generator at time $t$ can depend on the values of a solution in the…
The note is devoted to estimates for convolutions appearing in some class of stochastic Volterra equations. Two maximal inequalities and exponential tail estimate are proved by the fractional method of infinite dimensional stochastic…
In the paper stochastic Volterra equations with noise terms driven by series of independent scalar Wiener processes are considered. In our study we use the resolvent approach to the equations under consideration. We give sufficient…
We construct a covariant version of the Tolman-Oppenheimer-Volkoff equations in the case of isotropic sources. The new equations make evident the mathematical problems in the determination of interior solutions of relativistic stellar…
We establish an existence and uniqueness result for a class of multidimensional quadratic backward stochastic differential equations (BSDE). This class is characterized by constraints on some uniform a priori estimate on solutions of a…
We extend existence and uniqueness results of [4] for nonlinear integro-differential equations of Volterra type between real locally complete vector spaces
In this paper we are concerned with a new type of backward equations with anticipation which we call neutral backward stochastic functional differential equations. We obtain the existence and uniqueness and prove a comparison theorem. As an…
We establish existence and uniqueness for a wide class of Markovian systems of backward stochastic differential equations (BSDE) with quadratic nonlinearities. This class is characterized by an abstract structural assumption on the…
In this article, we investigate the method of upper and lower solutions for Volterra integral equation of the first kind on arbitrary time scale $\mathbb{T}$. We establish some existence results in a certain sector. Moreover, monotone…
We consider backward stochastic differential equations (BSDE) with nonlinear generators typically of quadratic growth in the control variable. A measure solution of such a BSDE will be understood as a probability measure under which the…