Related papers: Reflected BSDE driven by G-Brownian motion with an…
In this paper, we consider a stochastic decision problem for a system governed by a stochastic differential equation, in which an optimal decision is made in such a way to minimize a vector-valued accumulated cost over a finite-time horizon…
In this paper, we deal with Reflected Backward Stochastic Differential Equations for which the constraint is not on the paths of the solution but on its law as introduced by Briand, Elie and Hu in [3]. We extend the recent work [2] of…
This paper first studies super linear G-expectation. Uniqueness and existence theorem for backward stochastic differential equations (BSDEs) under super linear expectation is established to provide probabilistic interpretation for the…
In this paper, we study a class of reflected backward stochastic differential equations (BSDEs) of mean-field type, where the mean-field interaction in terms of the distribution of the $Y$-component of the solution enters in both the driver…
In this paper, we study the well-posedness of backward doubly stochastic differential equations (BDSDEs), both with and without reflection, under weak conditions. First, when the generator $f$ is of general growth in $y$ and linear growth…
We study the problem of approximation of solutions of the Skorokhod problem and reflecting stochastic differential equations (SDEs) with jumps by sequences of solutions of equations with penalization terms. Applications to discrete…
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…
Bi-Directional Grid Constrained (BGC) stochastic processes (BGCSPs) constrain the random movement toward the origin steadily more and more, the further they deviate from the origin, rather than all at once imposing reflective barriers, as…
In this paper, we introduce a new kind of "variant" reflected backward doubly stochastic differential equations (VRBDSDEs in short), where the drift is the nonlinear function of the barrier process. In the one stochastic case, this type of…
Backward stochastic differential equations (BSDEs) appear in numeruous applications. Classical approximation methods suffer from the curse of dimensionality and deep learning-based approximation methods are not known to converge to the BSDE…
We study a class of backward stochastic differential equations (BSDEs) driven by a random measure or, equivalently, by a marked point process. Under appropriate assumptions we prove well-posedness and continuous dependence of the solution…
In this note, we consider Jensen's inequality for the nonlinear expectation associated with backward SDEs driven by $G$-Brownian motion ($G$-BSDEs for short). At first, we give a necessary and sufficient condition for $G$-BSDEs under which…
In [1], we proved the existence of solutions to reflected rough differential equations based on an idea of Euler approximation of the solutions which is due to Davie [6]. In this paper, we prove the existence theorem under weaker…
In this paper, we study reflected generalized backward doubly stochastic differential equations driven by Teugels martingales associated with L\'evy process (RGBDSDELs, in short) with one continuous barrier. Under uniformly Lipschitz…
We obtain well-posedness results for a class of ODE with a singular drift and additive fractional noise, whose right-hand-side involves some bounded variation terms depending on the solution. Examples of such equations are reflected…
This work deals with backward stochastic differential equation (BSDE) with random marked jumps, and their applications to default risk. We show that these BSDEs are linked with Brownian BSDEs through the decomposition of processes with…
We obtain existence and uniqueness in L^p, p>1 of the solutions of a backward stochastic differential equations (BSDEs for short) driven by a marked point process, on a bounded interval. We show that the solution of the BSDE can be…
We develop a theory of optimal stopping problems under G-expectation framework. We first define a new kind of random times, called G-stopping times, which is suitable for this problem. For the discrete time case with finite horizon, the…
In this paper, we consider the stochastic optimal control problems under model risk caused by uncertain volatilities. To have a mathematical consistent framework we use the notion of G-expectation and its corresponding G-Brwonian motion…
By using the Picard iteration scheme, this article establishes the existence and uniqueness theory for solutions to stochastic functional differential equations driven by G-Browniain motion. Assuming the monotonicity conditions, the…