Related papers: Asymptotic behavior for delayed backward stochasti…
We study the asymptotic behaviour of solutions of Forward Backward Stochastic Differential Equations in the coupled case, when the diffusion coefficient of the forward equation is multiplicatively perturbed by a small parameter that…
We study some properties concerning the asymptotic behavior of solutions to nonautonomous retarded functional differential equations, depending on the knowledge of certain solutions of the associated generalized characteristic equation.
In this paper, we consider coupled forward-backward stochastic differential equations (FBSDEs in short) with parameter $\varepsilon >0$. We study the asymptotic behavior of its solutions and establish a large deviation principle for the…
In this note, we derive an existence and uniqueness results for delayed backward stochastic differential equation with only integrable data.
This paper is devoted to study different type of BSDE with delayed generator. We first establish an existence and uniqueness result under delayed Lipschitz condition for non homogenous backward stochastic differential equation with delayed…
In this paper, we provide a one-to-one correspondence between the solution Y of a BSDE with singular terminal condition and the solution H of a BSDE with singular generator. This result provides the precise asymptotic behavior of Y close to…
Our aim is to study the following new type of multivalued backward stochastic differential equation: \[ \left\{\begin{array} [c]{r}-dY\left(t\right) +\partial\varphi\left(Y\left(t\right)\right) dt\ni…
We consider a backward stochastic differential equation with a generator that can be subjected to delay, in the sense that its current value depends on the weighted past values of the solutions, for instance a distorted recent average.…
This paper is dedicated to the investigation of the asymptotic behavior of a delayed wave equation without the presence of any position term. First, it is shown that the problem is well-posed in the sense of semigroups theory. Thereafter,…
In this paper, we consider forward-backward stochastic differential equation driven by $G$-Brownian motion ($G$-FBSDEs in short) with small parameter $\varepsilon > 0$. We study the asymptotic behavior of the solution of the backward…
This paper is concerned with the decoupling of delayed linear forward-backward stochastic differential equations (D-FBSDEs), which is much more involved than the delay-free case due to the infinite dimension caused by the delay. A new…
This work is the first attempt to treat partial differential equations with discrete (concentrated) state-dependent delay. The main idea is to approximate the discrete delay term by a sequence of distributed delay terms (all with…
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…
Existence and uniqueness results of fully coupled forward stochastic differential equations without drifts and backward stochastic differential equations in a degenerate case are obtained for an arbitrarily large time duration.
A delayed term in a differential equation reflects the fact that information takes significant time to travel from one place to another within a process being studied. Despite de apparent similarity with ordinary differential equations,…
This work concerns generalized backward stochastic differential equations, which are coupled with a family of reflecting diffusion processes. First of all, we establish the large deviation principle for forward stochastic differential…
In this paper we discuss new types of differential equations which we call anticipated backward stochastic differential equations (anticipated BSDEs). In these equations the generator includes not only the values of solutions of the present…
This paper continues the study of [11, 13] for stationary solutions of stochastic linear retarded functional differential equations with the emphasis on delays which appear in those terms including spatial partial derivatives. As a…
Partial differential equations with discrete (concentrated) state-dependent delays in the space of continuous functions are investigated. In general, the corresponding initial value problem is not well posed, so we find an additional…
Spectral properties and transition to instability in neutral delay differential equations are investigated in the limit of large delay. An approximation of the upper boundary of stability is found and compared to an analytically derived…