Related papers: Reflected forward-backward stochastic differential…

In this paper we prove a viability result for multidimensional, time dependent, stochastic differential equations driven by fractional Brownian motion with Hurst parameter1/2 < H < 1, using pathwise approach. The sufficient condition is…

We consider the stochastic continuity equation perturbed by a fractional Brownian motion and the drift is allowed to be discontinuous. We show that for almost all paths of the fractional Brownian motion there exists a solution to the…

In this paper, we investigate suffcient and necessary conditions for the comparison theorem of neutral stochastic functional differential equations driven by G-Brownian motion (G-NSFDE). Moreover, the results extend the ones in the linear…

We consider reflected generalized backward doubly stochastic differential equations driven by a non-homogeneous L\'evy process. Under stochastic conditions on the coefficients, we prove the existence and uniqueness of a solution.…

In this paper we study Backward Stochastic Differential Equations with two reflecting right continuous with left limits obstacles (or barriers) when the noise is given by Brownian motion and a Poisson random measure mutually independent.…

The aim of this paper is to present the analysis for the solutions of nonlinear stochastic functional differential equation driven by G-Brownian motion with infinite delay (G-SFDEwID). Under some useful assumptions, we have proved that the…

The present paper considers a new kind of backward stochastic differential equations driven by G-Brownian motion, which is called ergodic G-BSDEs. Firstly, the well-posedness of G-BSDEs with infinite horizon is given by a new linearization…

We study the problem of existence, uniqueness and approximation of solutions of finite dimensional Stratonovich stochastic differential equations with reflecting boundary condition driven by semimartingales with jumps. As an application we…

We consider reflected backward stochastic differential equations with two optional barriers of class (D) satisfying Mokobodzki's separation condition and coefficient which is only continuous and non-increasing. We assume that data are…

By studying parabolic equations in mixed-norm spaces, we prove the existence and uniqueness of strong solutions to stochastic differential equations driven by Brownian motion with coefficients in spaces with mixed-norm, which extends Krylov…

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.

We prove that a stochastic flow of reflected Brownian motions in a smooth multidimensional domain is differentiable with respect to its initial position. The derivative is a linear map represented by a multiplicative functional for…

We first introduce the calculus of Peng's G-Brownian motion on a sublinear expectation space $(\Omega, {\cal H}, \hat{\mathbb{E}})$. Then we investigate the exponential stability of paths for a class of stochastic differential equations…

We consider a mixed stochastic differential equation driven by possibly dependent fractional Brownian motion and Brownian motion. Under mild regularity assumptions on the coefficients, it is proved that the equation has a unique solution.

This paper is devoted to the synchronization of stochastic differential equations driven by the linear multiplicative fractional Brownian motion with Hurst parameter $H\in(\frac{1}{2},1)$. We firstly prove that the equation has a unique…

In this work we mainly prove the existence and pathwise uniqueness of solutions to general backward doubly stochastic differential equations with jumps appearing in both forward and backward integral parts. Several comparison theorems under…

In this paper, we establish the existence and uniqueness of fully coupled forward-backward stochastic differential equations (FBSDEs in short) driven by anomalous sub-diffusions $B_{L_t}$ under suitable monotonicity conditions on the…

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…

In this paper, we prove the existence and uniqueness of the solution for neutral stochastic differential delay equations with locally monotone coefficients by using numerical approximation. An example is provided to illustrate our theory.

In this note we prove an existence and uniqueness result of solution for stochastic differential delay equations with hereditary drift driven by a fractional Brownian motion with Hurst parameter $H > 1/2$. Then, we show that, when the delay…