Related papers: Reflected backward stochastic differential equatio…

In this paper, we first review the penalization method for solving deterministic Skorokhod problems in non-convex domains and establish estimates for problems with $\alpha$-H\"older continuous functions. With the help of these results…

For stochastic approximation algorithms with discontinuous dynamics, it is shown that under suitable distributional assumptions, the interpolated iterates track a Fillipov solution of the limiting differential inclusion. In addition, we…

In this paper, an optimal switching problem is proposed for one-dimensional reflected backward stochastic differential equations (RBSDEs, for short) where the generators, the terminal values and the barriers are all switched with positive…

This work is devoted to the study of the existence and periodicity of solutions of initial differential problems, paying special attention to the explicit computation of the period. These problems are also connected with some particular…

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 give a comprehensive treatment of a two-penalty boundary obstacle problem for a divergence form elliptic operator, motivated by applications to fluid dynamics and thermics. Specifically, we prove existence, uniqueness and…

We present an alternative proof for the existence of solutions of stochastic functional differential equations satisfying a global Lipschitz condition. The proof is based on an approximation scheme in which the continuous path dependence…

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…

It was shown recently that a Langevin process can be reflected at an energy absorbing boundary. Here, we establish that the law of this reflecting process can be characterized as the unique weak solution to a certain second order stochastic…

In this paper, a class of reflected backward stochastic differential equations (RBSDE) driven by a marked point process (MPP) with a convex/concave generator is studied. Based on fixed point argument, $\theta$-method and truncation…

We present simple assumptions on the constraints defining a hard core dynamics for the associated reflected stochastic differential equation to have a unique strong solution. Time-reversibility is proven for gradient systems with normal…

We study a class of reflected backward stochastic differential equations with nonpositive jumps and upper barrier. Existence and uniqueness of a minimal solution is proved by a double penalization approach under regularity assumptions on…

In this paper, we introduce a new method for study on backward stochastic differential equations with stopping time as time horizon. And using this, we show that some results on backward stochastic differential equations with constant time…

In this paper, we are interested in solving general time interval multidimensional backward stochastic differential equations in $L^p$ $(p\geq 1)$. We first study the existence and uniqueness for $L^p$ $(p>1)$ solutions by the method of…

In this paper we propose a numerical scheme for the class of backward doubly stochastic (BDSDEs) with possible path-dependent terminal values. We prove that our scheme converge in the strong $L^2$-sense and derive its rate of convergence.…

In this paper, we study the reflected BSDE with one continuous barrier, under the monotonicity and general increasing condition on $y$ and non Lipschitz condition on $z$. We prove the existence and uniqueness of the solution to these…

Motivated by studies of indirect measurements in quantum mechanics, we investigate stochastic differential equations with a fixed point subject to an additional infinitesimal repulsive perturbation. We conjecture, and prove for an important…

We deal with reflected solutions of anticipated backward doubly stochastic differential equations (RABDSDEs) driven by Teugels martingales associated with L\'evy process under a Lipschitz generator where the coefficients of these BDSDEs…

We consider stochastic differential equations with (oblique) reflection in a $2$-dimensional domain that has a cusp at the origin, i..e. in a neighborhood of the origin has the form $\{(x_1,x_2):0<x_1\leq\delta_0,\psi_1(x_1)<x_2<\psi_…

We prove that under natural assumptions on the data strong solutions in Sobolev spaces of semilinear parabolic equations in divergence form involving measure on the right-hand side may be represented by solutions of some generalized…