Related papers: Forward-backward doubly stochastic differential eq…
This paper is concerned with a general maximum principle for the fully coupled forward-backward stochastic optimal control problem with jumps, where the control domain is not necessarily convex, within the progressively measurable…
This paper is concerned with a new type of differential game problems of forwardbackward stochastic systems. There are three distinguishing features: Firstly, our game systems are forward-backward doubly stochastic differential equations,…
This paper addresses the challenging numerical simulation of nonlinear hybrid stochastic functional differential equations with infinite delays. We first propose an explicit scheme using space and time truncation, requiring only finite…
In this paper, we study a functional fully coupled forward-backward stochastic differential equations (FBSDEs). Under a new type of integral Lipschitz and monotonicity conditions, the existence and uniqueness of solutions for functional…
This paper is concerned with the existence of optimal controls for backward stochastic partial differential equations with random coefficients, in which the control systems are represented in an abstract evolution form, i.e. backward…
Consider jump-type stochastic differential equations with the drift, diffusion and jump terms. Logarithmic derivatives of densities for the solution process are studied, and the Bismut-Elworthy-Li type formulae can be obtained under the…
Investigate the stochastic dynamic non-linear system with the Wiener and the Poisson perturbations. For such systems we construct the program control with probability one, which allows this system to move on the given trajectory. In this…
In a recent paper we have introduced several possible inequivalent descriptions of the dynamics and of the transition probabilities of a quantum system when its Hamiltonian is not self-adjoint. Our analysis was carried out in finite…
We address a class of backward stochastic differential equations on a bounded interval, where the driving noise is a marked, or multivariate, point process. Assuming that the jump times are totally inaccessible and a technical condition…
In this paper, we introduce a new method for study on backward stochastic differential equations with stopping time as time horizon. And using this, we show that some results on backward stochastic differential equations with constant time…
In this note we review recent results on existence and uniqueness of solutions of infinite-dimensional stochastic differential equations describing interacting Brownian motions on $\R^d$.
We investigate mathematically a nonlinear approximation type approach recently introduced in [A. Ammar et al., J. Non-Newtonian Fluid Mech., 2006] to solve high dimensional partial differential equations. We show the link between the…
The existence and uniqueness of measure-valued solutions to stochastic nonlinear, non-local Fokker-Planck equations is proven. This type of stochastic PDE is shown to arise in the mean field limit of weakly interacting diffusions with…
A non-linear differential equation arising from a stochastic process known as branching Brownian motion is considered. We find an explicit solution and show the uniqueness of the solution under some boundedness conditions using…
We develop adaptive time-stepping strategies for It\^o-type stochastic differential equations (SDEs) with jump perturbations. Our approach builds on adaptive strategies for SDEs. Adaptive methods can ensure strong convergence of nonlinear…
This article addresses a new class of fractional nonlocal neutral stochastic differential system of order 1<q<2 including non-instantaneous impulses(NIIs) and state-dependent delay(SDD) with the Poisson jumps and the Wiener process in…
Backward stochastic partial differential equations of parabolic type with variable coefficients are considered in the whole Euclidean space. Improved existence and uniqueness results are given in the Sobolev space $H^n$ ($=W^n_2$) under…
A class of backward doubly stochastic differential equations (BDSDEs in short) with continuous coefficients is studied. We give the comparison theorems, the existence of the maximal solution and the structure of solutions for BDSDEs with…
In this paper, we study a Backward Stochastic Differential Equation with Jumps (BSDEJs in short) where the jumps have infinite activity. Following a forward approach based on Exponential Quadratic semimartingale, we prove the existence of…
In this article, we study a weighted particle representation for a class of stochastic partial differential equations with Dirichlet boundary conditions. The locations and weights of the particles satisfy an infinite system of stochastic…