相关论文: Multi-dimensional BSDE with Oblique Reflection and…

This paper establishes the well-posedness of reflected backward stochastic differential equations in the non-convex domains that satisfy a weaker version of the star-shaped property. The main results are established (i) in a Markovian…

We examine the sensitivity properties of backward stochastic differential equations and reflected backward stochastic differential equations, which naturally arise in the context of optimal control and optimal stopping problems. Motivated…

Backward Stochastic Differential Equations (BSDEs) have been widely employed in various areas of social and natural sciences, such as the pricing and hedging of financial derivatives, stochastic optimal control problems, optimal stopping…

The present paper is devoted to the study of backward stochastic differential equations with mean reflection formulated by Briand et al. [7]. We investigate the solvability of a generalized mean reflected BSDE, whose driver also depends on…

In this paper, we investigate the well-posedness of bounded and unbounded solutions for reflected backward stochastic differential equations (RBSDEs) and backward stochastic differential equations (BSDEs). The generators of these equations…

This paper addresses the numerical solution of backward stochastic differential equations (BSDEs) arising in stochastic optimal control. Specifically, we investigate two BSDEs: one derived from the Hamilton-Jacobi-Bellman equation and the…

This paper is intended to give a representation for stochastic viscosity solution of semi-linear reflected stochastic partial differential equations with nonlinear Neumann boundary condition. We use its connection with reflected generalized…

We consider the problem of viscosity solution of integro-partial differential equation(IPDE in short) with one obstacle via the solution of reflected backward stochastic differential equations(RBSDE in short) with jumps. We show existence…

We study a general class of nonlinear second-order variational inequalities with interconnected bilateral obstacles, related to a multiple modes switching game. Under rather weak assumptions, using systems of penalized unilateral backward…

This paper is concerned with a general non-homogeneous stochastic linear quadratic (LQ) control problem with regime switching and random coefficients. We obtain the explicit optimal state feedback control and optimal value for this problem…

This work contributes a systematic survey and complementary insights of reflecting Brownian motion and its properties. Extension of the Skorohod problem's solution to more general cases is investigated, based on which a discussion is…

We introduce a new formulation of reflected BSDEs and doubly reflected BSDEs associated with irregular obstacles. In the first part of the paper, we consider an extension of the classical optimal stopping problem over a larger set of…

In this paper, we introduce a new kind of "variant" reflected backward doubly stochastic differential equations (VRBDSDEs in short), where the drift is the nonlinear function of the barrier process. In the one stochastic case, this type of…

In this study, we concern the multidimensional viscosity solutions theory of a kind of semi-linear partial differential equations (PDEs). A new definition of viscosity solution for this multidimensional semi-linear PDEs which is related to…

This paper is intended to give a probabilistic representation for stochastic viscosity solution of semi-linear reflected stochastic partial differential equations with nonlinear Neumann boundary condition. We use it connection with…

We propose a probabilistic numerical algorithm to solve Backward Stochastic Differential Equations (BSDEs) with nonnegative jumps, a class of BSDEs introduced in [9] for representing fully nonlinear HJB equations. In particular, this allows…

This paper provides a unifying theoretical framework for stochastic optimization algorithms by means of a latent stochastic variational problem. Using techniques from stochastic control, the solution to the variational problem is shown to…

In [5] the authors obtained Mean-Field backward stochastic differential equations (BSDE) associated with a Mean-field stochastic differential equation (SDE) in a natural way as limit of some highly dimensional system of forward and backward…

This paper studies finite-time optimal consumption-investment problems with power, logarithmic and exponential utilities, in a regime switching market with random coefficients, subject to coupled constraints on the consumption and…

Backward stochastic differential equations (BSDEs) appear in numeruous applications. Classical approximation methods suffer from the curse of dimensionality and deep learning-based approximation methods are not known to converge to the BSDE…