Related papers: A class of multidimensional quadratic BSDEs
In \cite{BigAlg-3gen}, an explicit description of bi-quadratic algebras on three generators with PBW basis was obtained. There are four classes: I-IV. The aim of the paper is to study algebras that belong to one of the classes: class II.1.…
We study a stochastic optimal control problem for forward-backward control systems with quadratic generators. In order to establish the first and second-order variational and adjoint equations, we obtain a new estimate for one-dimensional…
Generalizing Krieger's finite generation theorem, we give conditions for an ergodic system to be generated by a pair of partitions, each required to be measurable with respect to a given sub-algebra, and also required to have a fixed size.
Some difficulties regarding the application of the well-known sieve method are considered in the case when a practical (program) realization of selecting elements, having a particular property among the elements of a set with a sufficiently…
In this paper, we introduce a new type of backward stochastic differential equations (BSDEs) with infinite anticipation, where the generator depends on the entire future values of the solution in infinite horizon. We show that the new BSDEs…
This paper is devoted to obtaining a wellposedness result for multidimensional BSDEs with possibly unbounded random time horizon and driven by a general martingale in a filtration only assumed to satisfy the usual hypotheses, i.e. the…
In this paper, we are interested in solving general time interval multidimensional backward stochastic differential equations in $L^p$ $(p\geq 1)$. We first study the existence and uniqueness for $L^p$ $(p>1)$ solutions by the method of…
We analyze a class of multidimensional linear-quadratic stochastic control problems with random coefficients, motivated by multi-asset optimal trade execution. The problems feature non-diffusive controlled state dynamics and a terminal…
In this paper we establish the existence and the uniqueness of the solution of a special class of BSDEs for L\'{e}vy processes in the case of a Lipschitz generator of sublinear growth. We then study a related problem of logarithmic utility…
We refine the solvability of quadratic semimartingale BSDEs by employing a Lipschitz-quadratic regularization procedure. In the first step, we prove an existence and uniqueness result for a class of Lipschitz-quadratic BSDEs. A…
We consider a one parameter family of a PT symmetric two dimensional system with quadratic non-linearities. Such systems are shown to perform periodic oscillations due to existing centers. We describe this systems by constructing a…
We provide a framework connecting several well known theories related to the linearity of graded modules over graded algebras. In the first part, we pay a particular attention to the tensor products of graded bimodules over graded algebras.…
The aim of the paper is to give an explicit description of bi-quadratic algebras on 3 generators with PBW basis.
Nondeterministic polynomial-time Blum-Shub-Smale Machines over the reals give rise to a discrete complexity class between NP and PSPACE. Several problems, mostly from real algebraic geometry / polynomial systems, have been shown complete…
We consider BSDEs with two reflecting irregular barriers. We give necessary and sufficient conditions for existence and uniqueness of $\mathbb{L}^{p}$ solutions for equations with generators monotone with respect to $y$ and Lipschitz…
The present paper studies a kind of robust optimization problems with constraint. The problem is formulated through Backward Stochastic Differential Equations (BSDEs) with quadratic generators. A necessary condition is established for the…
In this paper, we study a multidimensional backward stochastic differential equation (BSDE) with an additional rough drift (rough BSDE), and give the existence and uniqueness of the adapted solution, either when the terminal value and the…
In this paper, we prove that a kind of second order stochastic differential operator can be represented by the limit of solutions of BSDEs with uniformly continuous coefficients. This result is a generalization of the representation for the…
We study a one-dimensional ordinary differential equation modelling optical conveyor belts, showing in particular cases of physical interest that periodic solutions exist. Moreover, under rather general assumptions it is proved that the set…
Coupled 3D-1D problems arise in many practical applications, in an attempt to reduce the computational burden in simulations where cylindrical inclusions with a small section are embedded in a much larger domain. Nonetheless the resolution…