Related papers: A class of multidimensional quadratic BSDEs
We study the nonlinear operator of mapping the terminal value $\xi$ to the corresponding minimal supersolution of a backward stochastic differential equation with the generator being monotone in $y$, convex in $z$, jointly lower…
We give local and global existence and uniqueness results for systems of coupled FBSDEs in the multidimensional setting and with generators allowed to grow arbitrarily fast in the control variable. Our results are based on Malliavin…
Finite dimensional solutions to a class of stochastic partial differential equations are obtained extending the differential constraints method for deterministic PDE to the stochastic framework. A geometrical reformulation of the stochastic…
This paper is devoted to study different type of BSDE with delayed generator. We first establish an existence and uniqueness result under delayed Lipschitz condition for non homogenous backward stochastic differential equation with delayed…
We show that any two trajectories of solutions of a one-dimensional fractional differential equation (FDE) either coincide or do not intersect each other. In contrary, in the higher dimensional case, two different trajectories can meet.…
There are close relations between tripartite tensors with bounded geometric ranks and linear determinantal varieties with bounded codimensions. We study linear determinantal varieties with bounded codimensions, and prove upper bounds of the…
In this paper, we focus on a family of backward stochastic differential equations (BSDEs) with sub-differential operators that are driven by infinite-dimensional martingales which involve symmetry, that is, the process involves a positive…
We study the problem of existence of solutions for generalized backward stochastic differential equation with two reflecting barriers (GRBSDE for short) under weaker assumptions on the data. Roughly speaking we show the existence of a…
This paper investigates a new class of homogeneous stochastic control problems with cone control constraints, extending the classical homogeneous stochastic linear-quadratic (LQ) framework to encompass nonlinear system dynamics and…
In Liang et al (2009), the current authors demonstrated that BSDEs can be reformulated as functional differential equations, and as an application, they solved BSDEs on general filtered probability spaces. In this paper the authors continue…
A large family of linear, usually overdetermined, systems of partial differential equations that admit a multiplication of solutions, i.e, a bi-linear and commutative mapping on the solution space, is studied. This family of PDE's contains…
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…
Let $D$ and $E$ be subspaces of the tensor product of the finite-dimensional Hilbert spaces $\mathbb{C}^m \otimes \mathbb{C}^n$. We show that the number of product vectors in $D$ with their partial conjugates in $E$ is uniformly bounded…
Four classes of three dimensional quadratic algebras of the type $\lsb Q_0 , Q_\pm \rsb$ $=$ $\pm Q_\pm$, $\lsb Q_+ , Q_- \rsb$ $=$ $aQ_0^2 + bQ_0 + c$, where $(a,b,c)$ are constants or central elements of the algebra, are constructed using…
This paper is devoted to proving a general invariant representation theorem for generators of general time interval backward stochastic differential equations, where the generator $g$ has a quadratic growth in the unknown variable $z$ and…
We define discrete generating series for arbitrary functions \( f \colon \mathbb{Z}^n \rightarrow \mathbb{C} \) and derive functional relations that these series satisfy. For linear difference equations with constant coefficients, we…
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 study supersolutions of a backward stochastic differential equation, the control processes of which are constrained to be continuous semimartingales of the form $dZ = {\Delta}dt + {\Gamma}dW$. The generator may depend on the…
In the present paper, we consider multidimensional nonlinear backward stochastic differential equations (BSDEs) with a driver depending on the martingale part $M$ of a solution. We assume that the nonlinear term is merely monotone…
The equations underlying all supersymmetric solutions of six-dimensional minimal ungauged supergravity coupled to an anti-self-dual tensor multiplet have been known for quite a while, and their complicated non-linear form has hindered all…