Related papers: Reflected BSDEs with monotone generator
In this paper, we study a multi-dimensional backward stochastic differential equation (BSDE) with oblique reflection, which is a BSDE reflected on the boundary of a special unbounded convex domain along an oblique direction, and which…
In this paper, we study a scalar linearly growing BSDE with a weakly $L^{1+}$-integrable terminal value. We prove that the BSDE admits a solutionif the terminal value satisfies some $\Psi$-integrability condition, which is weaker than the…
We investigate a class of quadratic backward stochastic differential equations (BSDEs) with generators singular in $ y $. First, we establish the existence of solutions and a comparison theorem, thereby extending results in the literature.…
The differential equation (DE) with proportional delay is a particular case of the time-dependent delay differential equation (DDE). In this paper, we solve non-linear DEs with proportional delay using the successive approximation method…
A system of dynamically consistent nonlinear evaluation (${\cal{F}}$-evaluation) provides an ideal characterization for the dynamical behaviors of risk measures and the pricing of contingent claims. The purpose of this paper is to study the…
The present paper is devoted to the study of mean-field backward stochastic differential equations (MFBSDEs) with double mean reflections whose generators are not Lipschitz continuous. With the help of the Skorokhod problem and some a…
This paper investigates a class of generalized mean-reflected McKean-Vlasov type backward stochastic differential equations (BSDEs). Our new framework combines a mean reflection constraint on the solution's expectation with a generalized…
We study the nonlinear operator of mapping the terminal value $\xi$ to the corresponding minimal supersolution of a backward stochastic differential equation with the generator being monotone in $y$, convex in $z$, jointly lower…
We study the existence and uniqueness of minimal supersolutions of backward stochastic differential equations with generators that are jointly lower semicontinuous, bounded below by an affine function of the control variable and satisfy a…
In this paper, we study the doubly conditional reflected backward stochastic differential equations (BSDEs), where constraints are made on the conditional expectation of the first component of the solution with respect to a general…
The present paper is devoted to the well-posedness of a type of multi-dimensional backward stochastic differential equations (BSDEs) with a diagonally quadratic generator. We give a new priori estimate, and prove that the BSDE admits a…
In this paper, we study the uniqueness and existence of solutions of RGSDEs with nonlinear resistance under an integral-Lipschitz condition of coefficients. Moreover we obtain the comparison theorem for RGSDEs with nonlinear resistance.
We solve the optimal control problem of a one-dimensional reflected stochastic differential equation, whose coefficients can be path dependent. The value function of this problem is characterized by a backward stochastic partial…
In this paper, we study the existence and uniqueness of solutions to a class of non-Lipschitz G-BSDEs and the corresponding stochastic recursive optimal control problem. More precisely, we suppose that the generator of G-BSDE is uniformly…
We introduce a domination argument which asserts that: if we can dominate theparameters of a quadratic backward stochastic differential equation (QBSDE) with continuousgenerator from above and from below by those of two BSDEs having ordered…
In this paper, we study backward stochastic Volterra integral equations of type-I with time delayed generators. Under some condition (small time horizon or a Lipschitz constant), we derive an existence and uniqueness results. Next, with the…
In this paper we establish the existence and the uniqueness of the solution of a special class of BSDEs for L\'{e}vy processes in the case of a Lipschitz generator of sublinear growth. We then study a related problem of logarithmic utility…
In this paper, we study the reflected backward stochastic differential equation driven by G-Brownian motion (reflected G-BSDE for short) with an upper obstacle. The existence is proved by approximation via penalization. By using a variant…
We investigate conditions for solvability and Malliavin differentiability of backward stochastic differential equations driven by a L\'evy process. In particular, we are interested in generators which satisfy a locally Lipschitz condition…
In this paper, we study a class of mean-field reflected backward stochastic differential equations (MFRBSDEs) driven by a marked point process. Based on a g-expectation representation lemma, we give the existence and uniqueness of MFRBSDEs…