Related papers: Two-barriers-reflected BSDE with Rank-based Data
We prove an existence and uniqueness result for the obstacle problem of quasilinear parabolic stochastic PDEs. The method is based on the probabilistic interpretation of the solution by using the backward doubly stochastic differential…
In this paper, a class of reflected backward stochastic differential equations (RBSDE) driven by a marked point process (MPP) with a convex/concave generator is studied. Based on fixed point argument, $\theta$-method and truncation…
We study linear backward stochastic partial differential equations of parabolic type with special boundary condition that connect the terminal value of the solution with a functional over the entire past solution. Uniqueness, solvability…
We consider an infinite horizon, obliquely reflected backward stochastic differential equation (RBSDE). The main contribution of the present work is that we generalize previous results on infinite horizon reflected BSDEs to the setting…
In this paper we study a zero-sum switching game and its verification theorems expressed in terms of either a system of Reflected Backward Stochastic Differential Equations (RBSDEs in short) with bilateral interconnected obstacles or a…
We prove existence and uniqueness of the reflected backward stochastic differential equation's (RBSDE) solution with a lower obstacle which is assumed to be right upper-semicontinuous but not necessarily right-continuous in a filtration…
In that paper, we provide a new characterization of the solutions of specific reflected backward stochastic differential equations (or RBSDEs) whose driver $g$ is convex and has quadratic growth in its second variable: this is done by…
In this paper, we study the option pricing problems for rough volatility models. As the framework is non-Markovian, the value function for a European option is not deterministic; rather, it is random and satisfies a backward stochastic…
In this paper, we study a class of reflected backward stochastic differential equations (BSDEs) of mean-field type, where the mean-field interaction in terms of the distribution of the $Y$-component of the solution enters in both the driver…
We demonstrate that backward stochastic differential equations (BSDE) may be reformulated as ordinary functional differential equations on certain path spaces. In this framework, neither It\^{o}'s integrals nor martingale representation…
In this paper, we study the doubly reflected backward stochastic differential equations driven by $G$-Brownian motion ($G$-BSDEs for short) when the generator has quadratic growth in the $z$-component. Based on the theory of $G$-BMO…
We prove results on bounded solutions to backward stochastic equations driven by random measures. Those bounded BSDE solutions are then applied to solve different stochastic optimization problems with exponential utility in models where the…
This article deals with the numerical resolution of backward stochastic differential equations. Firstly, we consider a rather general case where the filtration is generated by a Brownian motion and a Poisson random measure. We provide a…
In this paper, we study a class of zero-sum two-player stochastic differential games with the controlled stochastic differential equations and the payoff/cost functionals of recursive type. As opposed to the pioneering work by Fleming and…
We consider a class of backward stochastic differential equations (BSDEs) driven by Brownian motion and Poisson random measure, and subject to constraints on the jump component. We prove the existence and uniqueness of the minimal solution…
We study the stochastic control-stopping problem when the data are of polynomial growth. The approach is based on backward stochastic dierential equations (BSDEs for short). The problem turns into the study of a specic reected BSDE with a…
We study the problem of existence and uniqueness of solutions of backward stochastic differential equations with two reflecting irregular barriers, $L^p$ data and generators satisfying weak integrability conditions. We deal with equations…
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…
In this work, we study solving (decoupled) forward-backward stochastic differential equations (FBSDEs) numerically using the regression trees. Based on the general theta-discretization for the time-integrands, we show how to efficiently use…
In this paper, we deal with a new type of differential equations called anticipated backward doubly stochastic differential equations (anticipated BDSDEs). The coefficients of these BDSDEs depend on the future value of the solution $(Y,…