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We obtain existence and uniqueness in L^p, p>1 of the solutions of a backward stochastic differential equations (BSDEs for short) driven by a marked point process, on a bounded interval. We show that the solution of the BSDE can be…
In this note, we present a new numerical method for solving backward stochastic differential equations. Our method can be viewed as an analogue of the classical finite element method solving deterministic partial differential equations.
In this paper we study different algorithms for backward stochastic differential equations (BSDE in short) basing on random walk framework for 1-dimensional Brownian motion. Implicit and explicit schemes for both BSDE and reflected BSDE are…
In this paper, we study a class of second order backward stochastic differential equations (2BSDEs) with quadratic growth in coefficients. We first establish solvability for such 2BSDEs and then give their applications to robust utility…
This article deals with the existence and the uniqueness of solutions to quadratic and superquadratic Markovian backward stochastic differential equations (BSDEs for short) with an unbounded terminal condition. Our results are deeply linked…
We prove the existence of the unique solution of a general Backward Stochastic Differential Equation with quadratic growth driven by martingales. Some kind of comparison theorem is also proved.
The problem of representation of elements of weighted space of infinitely differentiable functions on real line by exponential series is considered.
New theorems about the existence of solution for a system of infinite linear equations with a Vandermonde type matrix of coefficients are proved. Some examples and applications of these results are shown. In particular, a kind of these…
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…
We lift the constraint of a diagonal representation of the Hamiltonian by searching for square integrable bases that support a tridiagonal matrix representation of the wave operator. Doing so results in exactly solvable problems with a…
For backward stochastic Volterra integral equations (BSVIEs, for short), under some mild conditions, the so-called adapted solutions or adapted M-solutions uniquely exist. However, satisfactory regularity of the solutions is difficult to…
Motivated from time-inconsistent stochastic control problems, we introduce a new type of coupled forward-backward stochastic systems, namely, flows of forward-backward stochastic differential equations. They are systems consisting of a…
We give solutions of a Diophantine equation containing factorials, which can be written as a cubic form, or as a sum of binomial coefficients. We also give some solutions to higher degree forms and relate some solutions to an unsolvable…
In this paper we study the homeomorphic properties of the solutions to one dimensional backward doubly stochastic differential equations under suitable assumptions, where the terminal values depend on a real parameter. Then, we apply them…
We use variable transformation from the real line to finite or semi-infinite spaces where we expand the regular solution of the 1D time-independent Schrodinger equation in terms of square integrable bases. We also require that the basis…
A family of asymptotic solutions at infinity for the system of ordinary differential equations is considered. Existence of exact solutions which have these asymptotics is proved.
In this paper, we focus on a family of backward stochastic differential equations (BSDEs) with sub-differential operators that are driven by infinite-dimensional martingales which involve symmetry, that is, the process involves a positive…
In this paper, we study a class of quadratic Backward Stochastic Differential Equations (BSDEs) which arises naturally when studying the problem of utility maximization with portfolio constraints. We first establish existence and uniqueness…
The concept of square-mean almost automorphy for stochastic processes is introduced. The existence and uniqueness of square-mean almost automorphic solutions to some linear and non-linear stochastic differential equations are established…
A class of bivariate infinite series solutions of the elliptic and hyperbolic Kepler equations is described, adding to the handful of 1-D series that have been found throughout the centuries. This result is based on an iterative procedure…