Related papers: Continuity problem for singular BSDE with random t…
We study strong existence and pathwise uniqueness for a class of infinite-dimensional singular stochastic differential equations (SDE), with state space as the cone $\{x \in \mathbb{R}^{\mathbb{N}}: -\infty < x_1 \leq x_2 \leq \cdots\}$,…
We solve the Skorokhod embedding problem (SEP) for a general time-homogeneous diffusion $X$: given a distribution $\rho$, we construct a stopping time $\tau$ such that the stopped process $X_{\tau}$ has the distribution $\rho$. Our solution…
This paper is devoted to obtaining a wellposedness result for multidimensional BSDEs with possibly unbounded random time horizon and driven by a general martingale in a filtration only assumed to satisfy the usual hypotheses, i.e. the…
In this paper, we will prove that, if the coefficient $g=g(t,y,z)$ of a BSDE is assumed to be continuous and linear growth in $(y,z)$, then the uniqueness of solution and continuous dependence with respect to $g$ and the terminal value…
We provide sufficient conditions for the continuity of the free-boundary in a general class of finite-horizon optimal stopping problems arising for instance in finance and economics. The underlying process is a strong solution of one…
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…
This paper studies small-time behavior at the supremum of a diffusion process. For a solution to the SDE $\mathrm{d} X_t=\mu(X_t)\mathrm{d} t+\sigma(X_t)\mathrm{d} W_t$ (where $W$ is a standard Brownian motion) we consider…
We are concerned with solvability of nonlinear systems involving a discrete singular $\phi$-Laplacian operator of type \begin{equation*} u \mapsto \Delta\left[\phi(\Delta u(n-1))\right] \qquad (n\in \{1, \dots, T\}), \end{equation*}…
In [4], the existence of the solution is proved for a scalar linearly growing backward stochastic differential equation (BSDE) if the terminal value is $L\exp{\left(\mu \sqrt{2\log{(1+L)}}\,\right)}$-integrable with the positive parameter…
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…
Backward stochastic differential equations extend the martingale representation theorem to the nonlinear setting. This can be seen as path-dependent counterpart of the extension from the heat equation to fully nonlinear parabolic equations…
We deal with backward stochastic differential equations with time delayed generators. In this new type of equations, a generator at time t can depend on the values of a solution in the past, weighted with a time delay function for instance…
In this article, we are interested in solving numerically backward doubly stochastic differential equations (BDSDEs) with random terminal time tau. The main motivations are giving a probabilistic representation of the Sobolev's solution of…
We consider a class of generalised stochastic porous media equations with multiplicative Lipschitz continuous noise. These equations can be related to physical models exhibiting self-organised criticality. We show that these SPDEs have…
We consider singular quasilinear stochastic partial differential equations (SPDEs) studied in \cite{FHSX}, which are defined in paracontrolled sense. The main aim of the present article is to establish the global-in-time solvability for a…
We study a class of self-similar jump type SDEs driven by H\"older-continuous drift and noise coefficients. Using the Lamperti transformation for positive self-similar Markov processes we obtain a necessary and sufficient condition for…
In \cite{HuTang2018ECP}, the existence of the solution is proved for a scalar linearly growing backward stochastic differential equation (BSDE) when the terminal value is $L\exp\left(\mu\sqrt{2\log(1+L)}\right)$-integrable for a positive…
In this paper, we consider the solvability problems for the fully coupled forward-backward stochastic difference equations (FBS{\Delta}Es) on spaces related to discrete time, finite state processes. On one hand, we provide the necessary and…
The classical optimal trading problem is the closure of a position in an asset over a time interval; the trader maximizes an expected utility under the constraint that the position be fully closed by terminal time. Since the asset price is…
We study the nonlinear-damping continuation of singular solutions of the critical and supercritical NLS. Our simulations suggest that for generic initial conditions that lead to collapse in the undamped NLS, the solution of the…