Related papers: Multi-dimensional BSDEs whose terminal values are …
We consider Lipschitz-type backward stochastic differential equations (BSDEs) driven by cylindrical martingales on the space of continuous functions. We show the existence and uniqueness of the solution of such infinite-dimensional BSDEs…
In this work we prove Malliavin differentiability for the solution to an SDE with locally Lipschitz and semi-monotone drift. To this end we construct a sequence of SDEs with globally Lipschitz drifts. We show that the solutions of these…
We consider backward stochastic differential equations (BSDEs) related to finite state, continuous time Markov chains. We show that appropriate solutions exist for arbitrary terminal conditions, and are unique up to sets of measure zero. We…
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…
This paper studies a system of multi-dimensional reflected backward stochastic differential equations with oblique reflections (RBSDEs for short) in infinite horizon associated to switching problems. The existence and uniqueness of the…
This article deals with the numerical resolution of Markovian backward stochastic differential equations (BSDEs) with drivers of quadratic growth with respect to $z$ and bounded terminal conditions. We first show some bound estimates on the…
We prove a general theorem that the $L_{\rho}^2({\mathbb{R}^{d}};{\mathbb{R}^{1}})\otimes L_{\rho}^2({\mathbb{R}^{d}};{\mathbb{R}^{d}})$ valued solution of an infinite horizon backward doubly stochastic differential equation, if exists,…
This paper is devoted to the existence, uniqueness and comparison theorem on unbounded solutions of one-dimensional backward stochastic differential equations (BSDEs) with sub-quadratic generators, where the terminal time is allowed to be…
A novel discretization is presented for forward-backward stochastic differential equations (FBSDE) with differentiable coefficients, simultaneously solving the BSDE and its Malliavin sensitivity problem. The control process is estimated by…
We deal with backward stochastic differential equations with time delayed generators. In this new type of equations, a generator at time t can depend on the values of a solution in the past, weighted with a time delay function for instance…
We investigate solutions of backward stochastic differential equations (BSDE) with time delayed generators driven by Brownian motions and Poisson random measures, that constitute the two components of a Levy process. In this new type of…
We give a dual representation of minimal supersolutions of BSDEs with non-bounded, but integrable terminal conditions and under weak requirements on the generator which is allowed to depend on the value process of the equation. Conversely,…
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 thesis consists of three parts. In the first part, we study $\mathbb{L}^p$ solutions of a large class of BSDEs. Existence, comparison theorem, uniqueness and a stability result are proved. In the second part, we establish the…
We study Malliavin differentiability for the solutions of a stochastic differential equation with drift of super-linear growth. Assuming we have a monotone drift with polynomial growth, we prove Malliavin differentiability of any order. As…
We consider the minimal super-solution of a backward stochastic differential equation with constraint on the gains-process. The terminal condition is given by a function of the terminal value of a forward stochastic differential equation.…
This paper investigates multidimensional extended type-I BSVIEs and infinite families of BSDEs in the case of quadratic generators. We establish existence and uniqueness results in the case of fully quadratic as well as Lipschitz-quadratic…
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…
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 are interested in solving multidimensional backward stochastic differential equations (BSDEs) in $L^p\ (p>1)$ under weaker assumptions on the coefficients, considering both a finite and an infinite time interval. We…