Related papers: Uniqueness of solution to scalar BSDEs with $L\exp…

In this paper, we study the backward stochastic differential equation (BSDE) with two nonlinear mean reflections, which means that the constraints are imposed on the distribution of the solution but not on its paths. Based on the backward…

We present existence, uniqueness, and sharp regularity results of solution to the stochastic partial differential equation (SPDE) \begin{align} \label{abs eqn} du=(a^{ij}(\omega,t)u_{x^ix^j}+f)dt + (\sigma^{ik}(\omega,t)u_{x^i}+g^k)dw^k_t,…

We show existence of a unique solution and a comparison theorem for a one-dimensional backward stochastic differential equation with jumps that emerge from a L\'evy process. The considered generators obey a time-dependent extended…

A backward stochastic differential equation (BSDE) is an SDE of the form $-dY_t = f(t,Y_t,Z_t)dt - Z_t^*dW_t;\ Y_T = \xi$. The subject of BSDEs has seen extensive attention since their introduction in the linear case by Bismut (1973) and in…

The first goal of this paper is to establish the existence of a positive solution for the singular boundary value problem (1.1), where $\mathcal{B}$ is a general boundary operator of Dirichlet, Neumann or Robin type, either classical or…

We solve a class of BSDE with a power function $f(y) = y^q$, $q > 1$, driving its drift and with the terminal boundary condition $ \xi = \infty \cdot \mathbf{1}_{B(m,r)^c}$ (for which $q > 2$ is assumed) or $ \xi = \infty \cdot…

We consider a one-reflected backward stochastic differential equation with a general RCLL barrier in a filtration that supports a Brownian motion and an independent Poisson random measure. We establish the existence and uniqueness of a…

We prove existence and uniqueness of L^p solutions of reflected backward stochastic differential equations with p-integrable data and generators satisfying the monotonicity condition. We also show that the solution may be approximated by…

A class of backward doubly stochastic differential equations (BDSDEs in short) with continuous coefficients is studied. We give the comparison theorems, the existence of the maximal solution and the structure of solutions for BDSDEs with…

In a noise driving by a multivariate point process $\mu$ with predictable compensator $\nu$, we prove existence and uniqueness of the reflected backward stochastic differential equation's solution with a lower obstacle…

In this paper we prove some uniqueness results for quadratic backward stochastic differential equations without any convexity assumptions on the generator. The bounded case is revisited while some new results are obtained in the unbounded…

In this paper, we study the existence of solution to BSDE with quadratic growth and unbounded terminal value. We apply a localization procedure together with a priori bounds. As a byproduct, we apply the same method to extend a result on…

We study a class of nonlinear BSDEs with a superlinear driver process f adapted to a filtration F and over a random time interval [[0, S]] where S is a stopping time of F. The terminal condition $\xi$ is allowed to take the value +$\infty$,…

In this paper we study the existence of stationary solutions for stochastic partial differential equations. We establish a new connection between $L_{\rho}^2({\mathbb{R}^{d}};{\mathbb{R}^{1}}) \otimes…

We consider a class of multi-dimensional BSDEs on a finite time horizon (containing in particular Lipschitzian-quadratic BSDEs), whose terminal values are bounded as well as their corresponding Malliavin derivatives. We prove two results.…

In this paper, we first study one-dimensional quadratic backward stochastic differential equations driven by $G$-Brownian motions ($G$-BSDEs) with unbounded terminal values. With the help of a $\theta$-method of Briand and Hu [4] and…

Uniqueness of positive solutions to viscous Hamilton-Jacobi-Bellman (HJB) equations of the form $-\Delta u(x) + \frac{1}{\gamma} |D{u}(x)|^\gamma = f(x) - \lambda$, with $f$ a coercive function and $\lambda$ a constant, in the subquadratic…

This paper is concerned with a class of uncertain backward stochastic differential equations (UBSDEs) driven by both an $m$-dimensional Brownian motion and a $d$-dimensional canonical process with uniform Lipschitzian coefficients. Such…

We establish an existence and uniqueness result for a class of multidimensional quadratic backward stochastic differential equations (BSDE). This class is characterized by constraints on some uniform a priori estimate on solutions of a…

We establish sufficient conditions for the existence and uniqueness of mean-field backward stochastic differential equations with time delayed generator in the sense that at t, the generator may depend on previous values up to a delay…