Related papers: General Fully Coupled Forward Backward Stochastic …
In this paper, we present a backward deep BSDE method applied to Forward Backward Stochastic Differential Equations (FBSDE) with given terminal condition at maturity that time-steps the BSDE backwards. We present an application of this…
The paper deals with the existence and uniqueness of the solution of the backward stochastic variational inequality: \begin{equation} \left\{\begin{array} {l}-dY_{t}+\partial \varphi(Y_{t})dt \ni F(t,Y_{t},Z_{t})dt-Z_{t}dB_{t},\;0\leq t<T…
We study Backward Stochastic Differential Equations on a probability space equipped with a Brownian filtration. We assume that the terminal value and the generator at zero are merely integrable. Moreover, the generator is assumed to be…
Under a mild Lipschitz condition we prove a theorem on the existence and uniqueness of global solutions to delay fractional differential equations. Then, we establish a result on the exponential boundedness for these solutions.
Anticipated backward stochastic differential equations, studied the first time in 2007, are equations of the following type: {tabular}{rlll} $-dY_t$ &=& $f(t, Y_t, Z_t, Y_{t+\delta(t)}, Z_{t+\zeta(t)})dt-Z_tdB_t, $ & $ t\in[0, T];$ $Y_t$…
The present paper is devoted to study multi-dimensional coupled FBSDEs with diagonally quadratic generators. Relying on a comparison result obtained in [20], we provide conditions under which there exists a global solution. As a byproduct,…
We consider BSDEs with two reflecting irregular barriers. We give necessary and sufficient conditions for existence and uniqueness of $\mathbb{L}^{p}$ solutions for equations with generators monotone with respect to $y$ and Lipschitz…
In this paper, a class of stable explicit $\theta$-schemes are proposed for solving anticipated backward stochastic differential equations (anticipated BSDEs) which generator not only contains the present values of the solutions but also…
This paper proves the existence and uniqueness of a solution to doubly reflected backward stochastic differential equations where the coefficient is stochastic Lipschitz, by means of the penalization method.
We study the problem of existence of solutions for generalized backward stochastic differential equation with two reflecting barriers (GRBSDE for short) under weaker assumptions on the data. Roughly speaking we show the existence of a…
We first establish the existence of an unbounded solution to a backward stochastic differential equation (BSDE) with generator $g$ allowing a general growth in the state variable $y$ and a sub-quadratic growth in the state variable $z$,…
In this paper, we study backward stochastic differential equations (BSDEs shortly) with jumps that have Lipschitz generator in a general filtration supporting a Brownian motion and an independent Poisson random measure. Under just…
We study reflected solutions of one-dimensional backward doubly stochastic differential equations (BDSDEs in short). The "reflected" keeps the solution above a given stochastic process. We get the uniqueness and existence by penalization.…
In this paper we study one dimensional backward stochastic differential equations (BSDEs) with random terminal time not necessarily bounded or finite when the generator F(t,Y,Z) has a quadratic growth in Z. We provide existence and…
In this paper, we study the well-posedness of the Forward-Backward Stochastic Differential Equations (FBSDE) in a general non-Markovian framework. The main purpose is to find a unified scheme which combines all existing methodology in the…
We study the existence of a solution for a one-dimensional generalized backward stochastic differential equation with two reflecting barriers (GRBSDE for short) under assumptions on the input data which are weaker than that on the current…
By analogy with the theory of Backward Stochastic Differential Equations, we define Backward Stochastic Difference Equations on spaces related to discrete time, finite state processes. This paper considers these processes as constructions…
We are interested on reflected advanced backward stochastic differential equations (RABSDE) with default. By the predictable representation property and for a Lipschitz driver, we show that the RABSDE with default has a unique solution in…
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…
In this paper, we study the backward stochastic differential equation (BSDE) with two nonlinear mean reflections, which means that the constraints are imposed on the distribution of the solution but not on its paths. Based on the backward…