相关论文: Comparison Theorems of Infinite Horizon Forward-Ba…
Under quasi-monotone assumptions for coefficients, we show one kind of comparison theorem for multi-dimensional\textbf{\}backward doubly stochastic differential equations on infinite horizon. An example is given as well.
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…
In this paper, we investigate infinite horizon jump-diffusion forward-backward stochastic differential equations under some monotonicity conditions. We establish an existence and uniqueness theorem, two stability results and a comparison…
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 paper, we study the existence of random periodic solutions for semilinear stochastic differential equations. We identify these as the solutions of coupled forward-backward infinite horizon stochastic integral equations in general…
In this paper, we introduce a new type of backward stochastic differential equations (BSDEs) with infinite anticipation, where the generator depends on the entire future values of the solution in infinite horizon. We show that the new BSDEs…
For backward stochastic Volterra integral equations (BSVIEs) in multi-dimensional Euclidean spaces, comparison theorems are established in a systematic way for the adapted solutions and adapted M-solutions. For completeness, comparison…
In this paper, we study the existence and uniqueness of solution to a system of nonlinear fully coupled forward-backward doubly stochastic differential equations with Poisson jumps. Our work is established in infinite dimensional separable…
In this paper we obtain a Wong-Zakai approximation to solutions of backward doubly stochastic differential equations.
The aim is to prove the well-posedness of infinite horizon backward stochastic differential equations driven by $G$-Brownian motion ($G$-BSDEs) with quadratic generators. To this end, we provide a full construction of explicit solutions to…
This paper establishes a converse comparison theorem for real-valued decoupled forward backward stochastic differential equations with jumps.
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.…
In this paper we discuss new types of differential equations which we call anticipated backward stochastic differential equations (anticipated BSDEs). In these equations the generator includes not only the values of solutions of the present…
We consider a problem of optimal control of an infinite horizon system governed by forward-backward stochastic differential equations with delay. Sufficient and necessary maximum principles for optimal control under partial information in…
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…
This paper focuses on the study of infinite horizon fully coupled nonlinear forward-backward stochastic difference equations (FBS$\bigtriangleup$Es). Firstly, we establish a pair of priori estimates for the solutions to forward stochastic…
In this work, we present a general technique for establishing the strong convergence of numerical methods for stochastic delay differential equations (SDDEs) in the infinite horizon. This technique can also be extended to analyze certain…
In this note, we present a new numerical method for solving backward stochastic differential equations. Our method can be viewed as an analogue of the classical finite element method solving deterministic partial differential equations.
This paper is to investigate if the solution of a hybrid stochastic functional differential equation (SFDE) with infinite delay can be approximated by the solution of the corresponding hybrid SFDE with finite delay. A positive result is…
A splitting scheme for backward doubly stochastic differential equations is proposed. The main idea is to decompose a backward doubly stochastic differential equation into a backward stochastic differential equation and a stochastic…