Related papers: Solving Unbounded Quadratic BSDEs by a Domination …
In this paper we prove necessary conditions for optimality of a stochastic control problem for a class of stochastic partial differential equations that is controlled through the boundary. This kind of problems can be interpreted as a…
This paper develops a comprehensive framework for optimal control of systems governed by fractional backward stochastic evolution equations (FBSEEs) in Hilbert spaces. We first establish a stochastic maximum principle (SMP) as a necessary…
Partial vertex cover and partial dominating set are two well-investigated optimization problems. While they are $\rm W[1]$-hard on general graphs, they have been shown to be fixed-parameter tractable on many sparse graph classes, including…
This paper is devoted to the study of the differentiability of solutions to real-valued backward stochastic differential equations (BSDEs for short) with quadratic generators driven by a cylindrical Wiener process. The main novelty of this…
We study the existence of minimal supersolutions of BSDEs under a family of mutually singular probability measures. We consider generators that are jointly lower semicontinuous, positive, and either convex in the control variable and…
We address a general optimal switching problem over finite horizon for a stochastic system described by a differential equation driven by Brownian motion. The main novelty is the fact that we allow for infinitely many modes (or regimes,…
This paper is concerned with a kind of linear-quadratic (LQ) optimal control problem of backward stochastic differential equation (BSDE) with partial information. The cost functional includes cross terms between the state and control, and…
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.…
We study a stochastic optimal control problem for fully coupled forward-backward stochastic control systems with a nonempty control domain. For our problem, the first-order and second-order variational equations are fully coupled linear…
This paper is concerned with a Stackelberg game of backward stochastic differential equations (BSDEs), where the coefficients of the backward system and the cost functionals are deterministic, and the control domain is convex. Necessary and…
We develop a family of stabilized backward differentiation formula (sBDF) schemes of orders one through four for semilinear parabolic equations. The proposed methods are designed to achieve three properties that are rarely available…
In this paper, we analyze mean-field reflected backward stochastic differential equations when the driver has quadratic growth in the second unknown $z$. Using linearization technique and BMO martingale theory, we first apply fixed point…
We show a method resulting in the improvement of several polynomial-space, exponential-time algorithms. An instance of the problem Max (r,2)-CSP, or simply Max 2-CSP, is parametrized by the domain size r (often 2), the number of variables n…
We study reflected backward stochastic differential equation (RBSDEs) on the probability space equipped with a Brownian motion. The main novelty of the paper lies in fact that we consider the following weak assumptions on the data: barriers…
We discuss BSDE with drivers containing nonlinearities of the type $p(y)|z|$ and $p(y)|z|^2$ with $p$ a polynomial of any degree. Sufficient conditions are given for existence and uniqueness of solutions as well as comparison results. We…
This paper deals with the existence and multiplicity of solutions for a class of Kirchhoff type elliptic system involving the Trudinger-Moser exponential growth nonlinearities. We first study the existence of solutions for the following…
In a recent paper, Soner, Touzi and Zhang [20] have introduced a notion of second order backward stochastic differential equations (2BSDEs for short), which are naturally linked to a class of fully non-linear PDEs. They proved existence and…
This article studies quadratic semimartingale BSDEs arising in power utility maximization when the market price of risk is of BMO type. In a Brownian setting we provide a necessary and sufficient condition for the existence of a solution…
We prove the existence and uniqueness of the solution of a BSDE with time-delayed generators in the small delay setting (or equivalently small Lipschitz constant), which employs the Stieltjes integral with respect to an increasing…
In this paper, we study the stability and convergence of some general quadratic semimartingales. Motivated by financial applications, we study simultaneously the semimartingale and its opposite. Their characterization and integrability…