Related papers: Multi-dimensional anticipated backward stochastic …

By imposing an additional integrability condition on the first component of the solution, this paper establishes an existence and uniqueness result for $L^1$ solutions of multidimensional backward stochastic differential equations (BSDEs)…

In [Stochastc Process. Appl., 122(9):3173-3208], the author proved the existence and the uniqueness of solutions to Markovian superquadratic BSDEs with an unbounded terminal condition when the generator and the terminal condition are…

We analyze infinite-dimensional non-linear degenerate stochastic differential equations with multiplicative noise. First, essential m-dissipativity of their associated Kolmogorov backward generators on $L^2(\mu^{\Phi})$ defined on smooth…

We study the existence of solutions to backward stochastic differential equations with drivers f(t,W,y,z) that are convex in z. We assume f to be Lipschitz in y and W but do not make growth assumptions with respect to z. We first show the…

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…

In this paper we study backward stochastic differential equations with general terminal value and general random generator. In particular, we do not require the terminal value be given by a forward diffusion equation. The randomness of the…

In this paper, we study quadratic growth solutions $u$ of fully nonlinear elliptic equations of the form $F(D^2u)=f$ in $\mathbb{R}^n$, where $f$ is periodic and $F$ may be not uniformly elliptic. The existence of solutions and Liouville…

We study the existence and uniqueness of minimal supersolutions of backward stochastic differential equations with generators that are jointly lower semicontinuous, bounded below by an affine function of the control variable and satisfy a…

In this paper we consider a class of BSDEs with drivers of quadratic growth, on a stochastic basis generated by continuous local martingales. We first derive the Markov property of a forward--backward system (FBSDE) if the generating…

In this paper we study a multidimensional quadratic BSDE with a particular class of product generators and give a result of existence of solution in a suitable complete metric space under some constraints on parameters. We also use that…

Nonlinear and nonlinear evolution equations of the form $u_t=\L u \pm|\nabla u|^q$, where $\L$ is a pseudodifferential operator representing the infinitesimal generator of a L\'evy stochastic process, have been derived as models for growing…

In this paper, we study the growth of transcendental entire solutions of linear difference equations \begin{equation} P_m(z)\Delta^mf(z)+\cdots+P_1(z)\Delta f(z)+P_0(z)f(z)=0,\tag{+} \end{equation} where $P_j(z)$ are polynomials for…

This paper proposes a new second-order symmetric algorithm for solving decoupled forward-backward stochastic differential equations. Inspired by the alternating direction implicit splitting method for partial differential equations, we…

Using probabilistic methods, we establish a-priori estimates for two classes of quasilinear parabolic systems of partial differential equations (PDEs). We treat in particular the case of a nonlinearity which has quadratic growth in the…

This paper establishes an existence and uniqueness result for the adapted solution of a general time interval multidimensional backward stochastic differential equation (BSDE), where the generator $g$ satisfies a weak…

We study the autonomous systems of quadratic differential equations of the form $\dot{x}_i(t)=\mathbf{x}(t)^T \mathbf{A}_i \mathbf{x}(t) + \mathbf{v}_i^T \mathbf{x}(t)$ with $\mathbf{x}(t) = (x_1(t),x_2(t),\dots,x_i(t),\dots)$ which, in…

For a backward stochastic differential equation (BSDE, for short), when the generator is not progressively measurable, it might not admit adapted solutions, shown by an example. However, for backward stochastic Volterra integral equations…

We establish the existence of a deterministic exponential growth rate for the norm (on an appropriate function space) of the solution of the linear scalar stochastic delay equation dX(t) = X(t-1) dW(t) which does not depend on the initial…

In a previous work, we proved an existence result for BSDEs with quadratic generators with respect to the variable z and with unbounded terminal conditions. However, no uniqueness result was stated in that work. The main goal of this paper…

We study multidimensional generalized backward stochastic differential equations (GBSDEs) within a general filtration that supports a Brownian motion under weak assumptions on the associated data. We establish the existence and uniqueness…