Related papers: Mean-Field Delayed BSDEs with Jumps

In this paper{\}we prove the existence of a solution for reflected backward doubly stochastic differential equations with poisson jumps (RBDSDEPs) with one continuous barrier where the generator is continuous and also we study the RBDSDEPs…

It is already well-understood that many delay differential equations with only a single constant delay exhibit a change in stability according to the value of the delay in relation to a critical delay value. Finding a formula for the…

Time change is a powerful technique for generating noises and providing flexible models. In the framework of time changed Brownian and Poisson random measures we study the existence and uniqueness of a solution to a general mean-field…

In this paper, we introduce a new type of backward stochastic differential equations (BSDEs), called conditional expectation BSDEs, whose drivers depend not only on the value of the solutions but also on their conditional expectations with…

Partial differential equations with discrete (concentrated) state-dependent delays are studied. The existence and uniqueness of solutions with initial data from a wider linear space is proven first and then a subset of the space of…

We extend Peng's maximum principle to the case of stochastic delay differential equations of mean-field type. More precisely, the coefficients of our control problem depend on the state, on the past trajectory and on its expected value.…

The aim of this paper is to study an optimal stopping problem for dynamic risk measures induced by backward stochastic differential equations with jumps and delayed generator. Firstly, we connect the value function of this problem to…

Differential equations with state-dependent delays define a semiflow of continuously differentiable solution operators in general only on an associated submanifold of the Banach space $C^1([-h,0],\mathbb{R}^n)$. We extend a recent result on…

Since the celebrated paper by El Karoui, Peng and Quenez [Mathematical Finance, 7 (1997), 1--71], backward stochastic differential equations have found wide applications in stochastic control, financial technology and machine learning. In…

We study the following backward stochastic differential equation on finite time horizon driven by an integer-valued random measure $\mu$ on $\mathbb R_+\times E$, where $E$ is a Lusin space, with compensator $\nu(dt,dx)=dA_t\,\phi_t(dx)$:…

We investigate inverse backward-in-time problems for a class of second-order degenerate Mean-Field Game (MFG) systems. More precisely, given the final datum $(u(\cdot, T),m(\cdot, T))$ of a solution to the one-dimensional mean-field game…

We first establish the existence of an unbounded solution to a backward stochastic differential equation (BSDE) with generator $g$ allowing a general growth in the state variable $y$ and a sub-quadratic growth in the state variable $z$,…

This paper is dedicated to the analysis of backward stochastic differential equations (BSDEs) with jumps, subject to an additional global constraint involving all the components of the solution. We study the existence and uniqueness of a…

In this paper, we establish a result for existence and uniqueness of stochastic differential equations on Riemannian manifolds, for regular inhomogeneous tensor coefficients with stochastic drift, under geometrical hypothesis on the…

This article is concerned with stochastic control problems for backward doubly stochastic differential equations of mean-field type, where the coefficient functions depend on the joint distribution of the state process and the control…

In this paper, we, for the first time, establish two comparison theorems for multi-dimensional backward stochastic differential equations with jumps. Our approach is novel and completely different from the existing results for…

Existence and uniqueness results of fully coupled forward stochastic differential equations without drifts and backward stochastic differential equations in a degenerate case are obtained for an arbitrarily large time duration.

In this paper, we are devoted to the numerical methods for mean-field stochastic differential equations with jumps (MSDEJs). First by using the mean-field It\^o formula [Sun, Yang and Zhao, Numer. Math. Theor. Meth. Appl., 10 (2017),…

We study the existence and uniqueness of a solution for the multivalued stochastic differential equation with delay (the multivalued term is of subdifferential type): \[ \left\{\begin{array} [c]{r} dX(t)+\partial\varphi\left(X(t)\right)…

We introduce a generalized Dynkin game problem with non linear conditional expectation ${\cal E}$ induced by a Backward Stochastic Differential Equation (BSDE) with jumps. Let $\xi, \zeta$ be two RCLL adapted processes with $\xi \leq…