Related papers: Time-Delayed Generalized BSDEs
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 this note, we derive an existence and uniqueness results for delayed backward stochastic differential equation with only integrable data.
We consider multidimensional quadratic BSDEs with bounded and unbounded terminal conditions. We provide sufficient conditions which guarantee existence and uniqueness of solutions. In particular, these conditions are satisfied if the…
In this short note we consider RBSDE with Lipschitz drivers and barrier processes that are optional and right upper semicontinuous. We treat the case when the barrier can be represented as a decreasing limit of cadlag barriers. We combine…
In this paper, we establish a local representation theorem for generators of reflected backward stochastic differential equations (RBSDE), whose generators are continuous with linear growth. It generalizes some known representation theorems…
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 provide sufficient conditions on the coefficients of a stochastic functional differential equation with bounded memory driven by Brownian motion which guarantee existence and uniqueness of a maximal local and global strong solution for…
In traditional work on numerical schemes for solving stochastic differential equations (SDEs), it is usually assumed that the coefficients are globally Lipschitz. This assumption has been used to establish a powerful analysis of the…
This thesis consists of three parts. In the first part, we study $\mathbb{L}^p$ solutions of a large class of BSDEs. Existence, comparison theorem, uniqueness and a stability result are proved. In the second part, we establish the…
We extend the branching process based numerical algorithm of Bouchard et al. [3], that is dedicated to semilinear PDEs (or BSDEs) with Lipschitz nonlinearity, to the case where the nonlinearity involves the gradient of the solution. As in…
In this paper, we deal with one dimensional backward doubly stochastic differential equations (BDSDEs) where the coefficient is left Lipschitz in y (may be discontinuous) and uniformly continuous in z. We obtain a generalized comparison…
We compute lateral displacements and time-delays for a scattering processes of complex multi-soliton solutions of the Korteweg de-Vries equation.The resulting expressions are employed to explain the precise distinction between solutions…
We study the existence, uniqueness and approximation of solutions of stochastic differential equations with constraints driven by processes with bounded p-variation. Our main tool are new estimates showing Lipschitz continuity of the…
We consider several models of State Dependent Delay Differential Equations (SDDEs), in which the delay is affected by a small parameter. This is a very singular perturbation since the nature of the equation changes. Under some conditions,…
In this article, we prove the existence of bounded solutions of quadratic backward SDEs with jumps, that is to say for which the generator has quadratic growth in the variables (z,u). From a technical point of view, we use a direct fixed…
The aim of this paper is to prove the existence and qualitative property of random attractors for a stochastic nonlocal delayed reaction-diffusion equation (SNDRDE) on a semi-infinite interval with a Dirichlet boundary condition on the…
We consider a one-reflected backward stochastic differential equation with a general RCLL barrier in a filtration that supports a Brownian motion and an independent Poisson random measure. We establish the existence and uniqueness of a…
We prove existence and uniqueness of L^p solutions of reflected backward stochastic differential equations with p-integrable data and generators satisfying the monotonicity condition. We also show that the solution may be approximated by…
We propose a new numerical scheme for Backward Stochastic Differential Equations based on branching processes. We approximate an arbitrary (Lipschitz) driver by local polynomials and then use a Picard iteration scheme. Each step of the…
In this paper, we discuss the solvability of backward stochastic differential equations (BSDEs) with superquadratic generators. We first prove that given a superquadratic generator, there exists a bounded terminal value, such that the…