Related papers: Solving Unbounded Quadratic BSDEs by a Domination …
We study the existence of solutions to backward stochastic differential equations with drivers f(t,W,y,z) that are convex in z. We assume f to be Lipschitz in y and W but do not make growth assumptions with respect to z. We first show the…
In Liang et al (2009), the current authors demonstrated that BSDEs can be reformulated as functional differential equations, and as an application, they solved BSDEs on general filtered probability spaces. In this paper the authors continue…
We extend the wellposedness results for second order backward stochastic differential equations introduced by Soner, Touzi and Zhang \cite{stz} to the case of a bounded terminal condition and a generator with quadratic growth in the $z$…
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…
We prove the existence of a weak solution to a backward stochastic differential equation (BSDE) $$ Y_t=\xi+\int_t^T f(s,X_s,Y_s,Z_s)\,ds-\int_t^T Z_s\,d\wien_s$$ in a finite-dimensional space, where $f(t,x,y,z)$ is affine with respect to…
As a natural variant of domination in graphs, Dankelmann et al. [Domination with exponential decay, Discrete Math. 309 (2009) 5877-5883] introduce exponential domination, where vertices are considered to have some dominating power that…
We establish a general existence and uniqueness result of $L^1$ solution for a multidimensional backward stochastic differential equation (BSDE for short) with generator $g$ satisfying a one-sided Osgood condition as well as a general…
We consider the optimal control problem of stochastic evolution equations in a Hilbert space under a recursive utility, which is described as the solution of a backward stochastic differential equation (BSDE). A very general maximum…
We consider a parametric nonautonomous $(p, q)$-equation with unbalanced growth as follows \begin{align*} \left\{ \begin{aligned} &-\Delta_p^\alpha u(z)-\Delta_q u(z)=\lambda \vert u(z)\vert^{\tau-2}u(z)+f(z, u(z)), \quad \quad \hbox{in…
In this paper, we establish representation theorems for generators of backward stochastic differential equations (BSDEs in short), whose generators are monotonic and convex growth in $y$ and quadratic growth in $z$. We also obtain a…
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…
We establish existence and uniqueness for a wide class of Markovian systems of backward stochastic differential equations (BSDE) with quadratic nonlinearities. This class is characterized by an abstract structural assumption on the…
This paper is devoted to solving a multidimensional backward stochastic differential equation (BSDE for short) with a general random terminal time $\tau$ taking values in $[0,+\infty]$. The generator $g$ of such BSDE satisfies a stochastic…
This paper focuses on the study of infinite horizon fully coupled nonlinear forward-backward stochastic difference equations (FBS$\bigtriangleup$Es). Firstly, we establish a pair of priori estimates for the solutions to forward stochastic…
We consider Upper Domination, the problem of finding the minimal dominating set of maximum cardinality. Very few exact algorithms have been described for solving Upper Domination. In particular, no binary programming formulations for Upper…
We study an optimal control problem on infinite time horizon with semimartingale strategies, random coefficients and regime switching. The value function and the optimal strategy can be characterized in terms of three systems of backward…
Roman domination is one of the many variants of domination that keeps most of the complexity features of the classical domination problem. We prove that Roman domination behaves differently in two aspects: enumeration and extension. We…
By imposing an additional integrability condition on the first component of the solution, this paper establishes an existence and uniqueness result for $L^1$ solutions of multidimensional backward stochastic differential equations (BSDEs)…
The \emph{domination subdivision number} sd$(G)$ of a graph $G$ is the minimum number of edges that must be subdivided (where an edge can be subdivided at most once) in order to increase the domination number of $G$. It has been shown…
We consider a backward stochastic differential equation with a generator that can be subjected to delay, in the sense that its current value depends on the weighted past values of the solutions, for instance a distorted recent average.…