相关论文: The Equivalence between Uniqueness and Continuous …
In this paper, we study multi-dimensional reflected backward stochastic differential equations with diagonally quadratic generators. Using the comparison theorem for diagonally quadratic BSDEs which is established recently in [14], we…
By analogy with the theory of Backward Stochastic Differential Equations, we define Backward Stochastic Difference Equations on spaces related to discrete time, finite state processes. This paper considers these processes as constructions…
We consider a backward stochastic differential equation with a generator that can be subjected to delay, in the sense that its current value depends on the weighted past values of the solutions, for instance a distorted recent average.…
We study in this paper the wellposedness of path-dependent multidimensional forward-backward stochastic differential equations (FBSDE). By path-dependent we mean that the coefficients of the forward-backward SDE at time t can depend on the…
A Backward Stochastic Differential Equation (BSDE) with a Peano-type generator, is known to have infinitely many solutions when the terminal value is vanishing, and is shown to have possibly multiple solutions even when the terminal value…
We obtain an existence and uniqueness theorem for fully coupled forward-backward SDEs (FBSDEs) with jumps via the classical solution to the associated quasilinear parabolic partial integro-differential equation (PIDE), and provide the…
In this work we mainly prove the existence and pathwise uniqueness of solutions to general backward doubly stochastic differential equations with jumps appearing in both forward and backward integral parts. Several comparison theorems under…
This paper is concerned with the existence and uniqueness of weak solutions to the Cauchy-Dirichlet problem of backward stochastic partial differential equations (BSPDEs) with nonhomogeneous terms of quadratic growth in both the gradient of…
In this paper, we provide a one-to-one correspondence between the solution Y of a BSDE with singular terminal condition and the solution H of a BSDE with singular generator. This result provides the precise asymptotic behavior of Y close to…
In this paper we prove the existence of a solution for reflected BSDE's\ whose coefficient is of quadratic growth in $z$ and of linear growth in $y$, with an unbounded terminal value.
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 introduce a domination argument which asserts that: if we can dominate theparameters of a quadratic backward stochastic differential equation (QBSDE) with continuousgenerator from above and from below by those of two BSDEs having ordered…
The distributional properties of a multi-dimensional continuous-state branching process are determined by its cumulant semigroup, which is defined by the backward differential equation. We provide a proof of the assertion of Rhyzhov and…
In order to extend the study of uniqueness property of multi-dimensional systems of stochastic differential equations, in this paper, we look at the following three-dimensional system of equations, of which the two-dimensional case was…
The purpose of this paper is to investigate general mean-field backward stochastic differential equations (MFBSDEs) in multi-dimension with diagonally quadratic generators $f(\omega,t,y,z,\mu)$, that is, the coefficients depend not only on…
In this paper we study stochastic optimal control problems of fully coupled forward-backward stochastic differential equations (FBSDEs). The recursive cost functionals are defined by controlled fully coupled FBSDEs. We study two cases of…
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…
The present paper is devoted to investigating the existence and uniqueness of solutions to a class of non-Lipschitz scalar valued backward stochastic differential equations driven by $G$-Brownian motion ($G$-BSDEs). In fact, when the…
We present a theory of backward stochastic differential equations in continuous time with an arbitrary filtered probability space. No assumptions are made regarding the left continuity of the filtration, of the predictable quadratic…
In this paper, we study the global solvability of multidimensional forward-backward stochastic differential equations (FBSDEs) with diagonally Lipschitz, quadratic or super-quadratic generators. Under a certain "monotonicity" condition, we…