Related papers: A complex Feynman-Kac formula via linear backward …
In this book we establish under suitable assumptions the uniqueness and existence of viscosity solutions of Kolmogorov backward equations for stochastic partial differential equations (SPDEs). In addition, we show that this solution is the…
In this paper, we study a kind of constrained backward stochastic differential equations (BSDEs) such that the nonlinear expectation of the composition of a loss function and the solution remains above zero. The existence and uniqueness…
In this paper, we consider the solvability problems for the fully coupled forward-backward stochastic difference equations (FBS{\Delta}Es) on spaces related to discrete time, finite state processes. On one hand, we provide the necessary and…
In this paper, we study the well-posedness of the Forward-Backward Stochastic Differential Equations (FBSDE) in a general non-Markovian framework. The main purpose is to find a unified scheme which combines all existing methodology in the…
We provide a representation formula for viscosity solutions to a class of nonlinear second order parabolic PDEs given as a sup--envelope function. This is done through a dynamic programming principle derived from Denis, Hu, Peng (2010). The…
In this paper we study the mean-field backward stochastic differential equations (mean-field bsde) of the form dY(t) =-f(t,Y(t),Z(t),K(t, . ),E[\varphi(Y(t),Z(t),K(t,.))])dt+Z(t)dB(t) +\int_{R_{0}}K(t,\zeta)\tilde{N}(dt,d\zeta), where B is…
In this paper, we introduce a large class of convergent numerical methods, based on (linear) basis function regression technique, to approximate the solution to a forward-backward stochastic differential equation with jumps (FBSDEJ…
Nonlinear stochastic differential equations (NSDEs) are a pillar of mathematical modeling for scientific and engineering applications. Accurate and efficient simulation of large-scale NSDEs is prohibitive on classical computers due to the…
The inverse problem of the calculus of variations asks whether a given system of partial differential equations (PDEs) admits a variational formulation. We show that the existence of a presymplectic form in the variational bicomplex, when…
We design a particle interpretation of Feynman-Kac measures on path spaces based on a backward Markovian representation combined with a traditional mean field particle interpretation of the flow of their final time marginals. In contrast to…
In this paper, we derive a parabolic partial differential equation for the expected exit time of non-autonomous time-periodic non-degenerate stochastic differential equations. This establishes a Feynman-Kac duality between expected exit…
In this paper we study the relationship between functional forward-backward stochastic systems and path-dependent PDEs. In the framework of functional It\^o calculus, we introduce a path-dependent PDE and prove that its solution is uniquely…
We propose algorithms for solving high-dimensional Partial Differential Equations (PDEs) that combine a probabilistic interpretation of PDEs, through Feynman-Kac representation, with sparse interpolation. Monte-Carlo methods and…
In this paper we present a novel sampling-based numerical scheme designed to solve a certain class of stochastic optimal control problems, utilizing forward and backward stochastic differential equations (FBSDEs). By means of a nonlinear…
This paper extends the results of Ma, Wu, Zhang, Zhang [11] to the context of path-dependent multidimensional forward-backward stochastic differential equations (FBSDE). By path-dependent we mean that the coefficients of the…
Under nondegeneracy assumptions on the diffusion coefficients, we establish the derivative formulae of Bismut-Elworthy-Li's type for forward-backward stochastic differential equations with respect to Poisson random measure using the lent…
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,…
We present the systematic formalism to derive the path-integral formulation for the hard-core particle systems far from equilibrium. Writing the master equation for a stochastic process of the system in terms of the annihilation and…
In this paper, we deal with a class of mean-field backward stochastic differential equations (BSDEs) related to finite state, continuous time Markov chains. We obtain the existence and uniqueness theorem and a comparison theorem for…
This paper establishes a Feynman-Kac formula to represent the solution to general time inhomogeneous stochastic parabolic partial differential equations driven by multiplicative fractional Gaussian noises in bounded domain where L_t is a…