Related papers: A note on a new existence result for reflected BSD…
This paper proves the existence and uniqueness of a solution to doubly reflected backward stochastic differential equations where the coefficient is stochastic Lipschitz, by means of the penalization method.
Given a right-non-degenerate set-theoretic solution $(X,r)$ to the Yang-Baxter equation, we construct a whole family of YBE solutions $r^{(k)}$ on $X$ indexed by its reflections $k$ (i.e., solutions to the reflection equation for $r$). This…
This paper addresses reflected backward stochastic differential equations (RBSDE hereafter) that take the form of \begin{eqnarray*} \begin{cases} dY_t=f(t,Y_t, Z_t)d(t\wedge\tau)+Z_tdW_t^{\tau}+dM_t-dK_t,\quad Y_{\tau}=\xi, Y\geq…
We solve the Skorokhod embedding problem for a class of Gaussian processes including Brownian motion with non-linear drift. Our approach relies on solving an associated strongly coupled system of Forward Backward Stochastic Differential…
In this paper, we propose a new notion of Forward--Backward Martingale Problem (FBMP), and study its relationship with the weak solution to the forward--backward stochastic differential equations (FBSDEs). The FBMP extends the idea of the…
We focus on a class of BSDEs driven by a cadlag martingale and corresponding Markov type BSDE which arise when the randomness of the driver appears through a Markov process. To those BSDEs we associate a deterministic problem which, when…
We prove the existence of weak solution for a system of quasi-variational inequalities related to a switching problem with dynamic driven by operator associated with a semi-Dirichlet form and with measure data. We give a stochastic…
In this paper, a class of reflected backward stochastic differential equations (RBSDE) driven by a marked point process (MPP) with a convex/concave generator is studied. Based on fixed point argument, $\theta$-method and truncation…
In this paper, we study reflected backward stochastic difference equations (RBSDEs for short) with finitely many states in discrete time. The general existence and uniqueness result, as well as comparison theorems for the solutions, are…
This article deals with the numerical approximation of Markovian backward stochastic differential equations (BSDEs) with generators of quadratic growth with respect to $z$ and bounded terminal conditions. We first study a slight…
We deal with reflected solutions of anticipated backward doubly stochastic differential equations (RABDSDEs) driven by Teugels martingales associated with L\'evy process under a Lipschitz generator where the coefficients of these BDSDEs…
In this paper, we study a class of mean-field reflected backward stochastic differential equations (MFRBSDEs) driven by a marked point process. Based on a g-expectation representation lemma, we give the existence and uniqueness of MFRBSDEs…
Recent advances in learning dynamical systems from data have shown significant promise. However, many existing methods assume access to the full state of the system -- an assumption that is rarely satisfied in practice, where systems are…
In this paper we study ergodic backward stochastic differential equations (EBSDEs) dropping the strong dissipativity assumption needed in the previous work. In other words we do not need to require the uniform exponential decay of the…
In this paper, we analyze mean-field reflected backward stochastic differential equations when the driver has quadratic growth in the second unknown $z$. Using linearization technique and BMO martingale theory, we first apply fixed point…
We revisit work of Rost, Dupire and Cox--Wang on connections between Root's solution of the Skorokhod embedding problem and obstacle problems. We develop an approach based on viscosity sub- and supersolutions and an accompanying comparison…
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…
In this paper, we discuss the solvability of backward stochastic differential equations (BSDEs) with superquadratic generators. We first prove that given a superquadratic generator, there exists a bounded terminal value, such that the…
In the first part of this paper, we study RBSDEs in the case where the filtration is not quasi-left continuous and the lower obstacle is given by a predictable process. We prove the existence and uniqueness by using some results of optimal…
We consider multidimensional quadratic BSDEs with bounded and unbounded terminal conditions. We provide sufficient conditions which guarantee existence and uniqueness of solutions. In particular, these conditions are satisfied if the…