Related papers: Particles Systems for Mean Reflected BSDEs

We introduce a new formulation of reflected BSDEs and doubly reflected BSDEs associated with irregular obstacles. In the first part of the paper, we consider an extension of the classical optimal stopping problem over a larger set of…

We consider a reflected backward stochastic differential equations with default time and an optional barrier in a filtration generated by a one-dimensional Brownian motion and a defaultable process. We suppose that the barrier have…

We consider systems of backward stochastic differential equations with c\`adl\`ag upper barrier $U$ and oblique reflection from below driven by an increasing continuous function $H$. Our equations are defined on general probability spaces…

Score-based diffusion models learn to reverse a stochastic differential equation that maps data to noise. However, for complex tasks, numerical error can compound and result in highly unnatural samples. Previous work mitigates this drift…

In this paper, we aim to study solutions of reflected generalized BSDEs, involving the integral with respect to a continuous process, which is the local time of the diffusion on the boundary. We consider both a finite random terminal and a…

By using the Skorohod equation we derive an iteration procedure which allows us to solve a class of reflected backward stochastic differential equations with non-linear resistance induced by the reflected local time. In particular, we…

We investigate two-barriers-reflected backward stochastic differential equations with data from rank-based stochastic differential equation. More specifically, we focus on the solution of backward stochastic differential equations…

This work concerns generalized backward stochastic differential equations, which are coupled with a family of reflecting diffusion processes. First of all, we establish the large deviation principle for forward stochastic differential…

In this paper, we are concerned with the averaging problem for a class of forward-backward stochastic differential equations with reflection driven by G-Brownian motion (reflected G-FBSDEs), which corresponds to the singular perturbation…

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…

In this paper we study different algorithms for backward stochastic differential equations (BSDE in short) basing on random walk framework for 1-dimensional Brownian motion. Implicit and explicit schemes for both BSDE and reflected BSDE are…

In this paper, we study the convergence rate between reflected backward stochastic differential equations with quadratic generators and their penalized BSDEs. Using techniques of BMO martingales, we prove the convergence rate is at order…

In this paper, we analyze a real-valued reflected backward stochastic differential equation (RBSDE) with an unbounded obstacle and an unbounded terminal condition when its generator $f$ has quadratic growth in the $z$-variable. In…

We consider a backward stochastic differential equation with a generator that can be subjected to delay, in the sense that its current value depends on the weighted past values of the solutions, for instance a distorted recent average.…

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…

In this paper, we study a kind of constrained backward stochastic differential equations (BSDEs) such that the nonlinear expectation of the composition of a loss function and the solution remains above zero. The existence and uniqueness…

In this paper, we consider reflected anticipated backward stochastic differential equations (RABSDEs, for short) with an additional resistance in the generators. Firstly, we study the existence and uniqueness results. In Luo (2020), the…

In this paper, we analyze the mean field backward stochastic differential equations (MFBSDEs) with double mean reflections, whose generator and constraints both depend on the distribution of the solution. When the generator is Lipschitz…

In this note, we prove the Freidlin-Wentzell's large deviation principle for BSDEs with one-sided reflection.

In this note, we study one-dimensional reflected backward doubly stochastic differential equations (RBDSDEs) with one continuous barrier and discontinuous generator (left-or right-continuous). By a comparison theorem establish here for…