相关论文: Non-Markovian Fully Coupled Forward-Backward Stoch…
An approach for the description of stochastic systems is derived. Some of the variables in the system are studied forward in time, others backward in time. The approach is based on a perturbation expansion in the strength of the coupling…
This paper is devoted to the study of hyperbolic systems of linear partial differential equations perturbed by a Brownian motion. The existence and uniqueness of solutions are proved by an energy method. The specific features of this class…
In this article, we present a general methodology for control problems driven by the Brownian motion filtration including non-Markovian and non-semimartingale state processes controlled by mutually singular measures. The main result of this…
We solve the Skorokhod embedding problem for a class of Gaussian processes including Brownian motion with non-linear drift. Our approach relies on solving an associated strongly coupled system of Forward Backward Stochastic Differential…
We consider a general open system dynamics and we provide a recursive method to derive the associated non-Markovian master equation in a perturbative series. The approach relies on a momenta expansion of the open system evolution. Unlike…
We consider the modified Emden equation (MEE) and introduce its most general solution, using the most general solution for the simple harmonic oscillator's linear dynamical equation (i.e., the initial conditions shall be identified by the…
Pathwise uniqueness for multi-dimensional stochastic McKean--Vlasov equation is established under moderate regularity conditions on the drift and diffusion coefficients. Both drift and diffusion depend on the marginal measure of the…
The information encoded into an open quantum system that evolves under a Markovian dynamics is always monotonically non-increasing. Nonetheless, for a given quantifier of the information contained in the system, it is in general not clear…
In this paper, we study the numerical method for solving forward-backward stochastic differential equations driven by $G$-Brownian motion ($G$-FBSDEs) which correspond to fully nonlinear partial differential equations (PDEs). First, we give…
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…
We study optimal stochastic control problems of general coupled systems of forward-backward stochastic differential equations with jumps. By means of the It\^o-Ventzell formula the system is transformed to a controlled backward stochastic…
In this paper, we propose a new notion of Forward--Backward Martingale Problem (FBMP), and study its relationship with the weak solution to the forward--backward stochastic differential equations (FBSDEs). The FBMP extends the idea of the…
In this paper we consider an alternative formulation of a class of stochastic wave and master equations with scalar noise that are used in quantum optics for modelling open systems and continuously monitored systems. The reformulation is…
Non-Markovian master equations describe general open quantum systems when no approximation is made. We provide the exact closed master equation for the class of Gaussian, completely positive, trace preserving, non-Markovian dynamics. This…
We introduce a class of stochastic processes based on symmetric $\alpha$-stable processes. These are obtained by taking Markov processes and replacing the time parameter with the modulus of a symmetric $\alpha$-stable process. We call them…
This article deals with the numerical resolution of Markovian backward stochastic differential equations (BSDEs) with drivers of quadratic growth with respect to $z$ and bounded terminal conditions. We first show some bound estimates on the…
This manuscript is a self-contained overview of essential results of stochastic calculus and stochastic differential equations, and their connection with final-value problems for second order linear PDEs.
A simple dynamical model over a discrete classical state space is presented. In a certain limit, it reduces to one in a class of models subsuming Bell's field-theoretic version of Bohmian mechanics. But it exhibits the massive parallelism…
This paper studies the pricing problem in which the underlying asset follows a non-Markovian stochastic volatility model. Classical partial differential equation methods face significant challenges in this context, as the option prices…
This paper is devoted to a general solvability of multi-dimensional non-Markovian backward stochastic differential equations (BSDEs) with interactively quadratic generators. Some general structures of the generator $g$ are posed for both…