Related papers: On Z-mean reflected BSDEs
This paper deals with existence and uniqueness, in viscosity sense, of a solution for a system of m variational partial differential inequalities with inter-connected obstacles. A particular case of this system is the deterministic version…
We introduce a new formulation of reflected BSDEs and doubly reflected BSDEs associated with irregular obstacles. In the first part of the paper, we consider an extension of the classical optimal stopping problem over a larger set of…
We establish the existence of both optimal relaxed controls and strict optimal controls for systems driven by Reflected Stochastic Differential Equations RSDEs. Our approach is based on weak convergence techniques for the associated RSDEs…
In this paper, we study the multi-dimensional backward stochastic differential equations (BSDEs) whose generator depends also on the mean of both variables. When the generator is diagonally quadratic, we prove that the BSDE admits a unique…
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 deal with a class of one-dimensional reflected backward stochastic differential equations with stochastic Lipschitz coefficient. We derive the existence and uniqueness of the solutions for those equations via Snell…
In this paper, we prove that there exists a unique strong solution to reflecting stochastic differential equations with merely measurable drift giving an affirmative answer to the longstanding problem. This is done through Zvonkin…
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…
This paper is concerned with the stochastic Hamilton-Jacobi-Bellman equation with controlled leading coefficients, which is a type of fully nonlinear backward stochastic partial differential equation (BSPDE for short). In order to formulate…
We consider a class of reflected backward doubly stochastic differential equations with time delayed generator (in short RBDSDE with time delayed generator), in this case generator at time $t$ can depend on the values of a solution in the…
This paper studies a system of multi-dimensional reflected backward stochastic differential equations with oblique reflections (RBSDEs for short) in infinite horizon associated to switching problems. The existence and uniqueness of the…
We prove the existence and uniqueness of a strong solution for an SDE on a semi-axis with singularities at the point 0. The result obtained yields, for example, the strong uniqueness of non-negative solutions to SDEs governing Bessel…
Recently, it has become evident that submodularity naturally captures widely occurring concepts in machine learning, signal processing and computer vision. Consequently, there is need for efficient optimization procedures for submodular…
To the Yang-Baxter equation an additional relation can be added. This is the reflection equation which appears in various places, with or without spectral parameter. For example, in factorizable scattering on a half-line, integrable lattice…
In the present article we provide existence, uniqueness and stability results under an exponential moments condition for quadratic semimartingale backward stochastic differential equations (BSDEs) having convex generators. We show that the…
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…
In this paper, we focus on the solvability of a class of fractional backward stochastic differential equations (BSDEs, for short) with delayed generator. In this class of equations, the generator includes not only the values of the…
We establish the existence of weak solutions of coupled systems of elliptic partial differential equations with quasimonotone nonlinearities in the domain interior and on the boundary. When the nonlinearities satisfy some monotonicity…
Using the theory of fixed point index, we establish new results for the existence of nonzero solutions of Hammerstein integral equations with reflections. We apply our results to a first order periodic boundary value problem with…
This paper is concerned with the existence and uniqueness of random periodic solutions for stochastic differential equations (SDEs), where the drift terms involved need not to be uniformly dissipative. On the one hand, via the reflection…