相关论文: L^p solutions of reflected BSDEs under monotonicit…

In this paper we study the existence and uniqueness of the $L_{\rho}^{2p}(\mathbb{R}^d;\mathbb{R}^1)\times L_{\rho}^2(\mathbb{R}^d;\mathbb{R}^d)$ valued solution of backward doubly stochastic differential equations with polynomial growth…

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…

In this paper, we introduce a specific kind of doubly reflected Backward Stochastic Differential Equations (in short DRBSDEs), defined on probability spaces equipped with general filtration that is essentially non quasi-left continuous,…

In this note, we prove that if $g$ is uniformly continuous in $z$, uniformly with respect to $(\oo,t)$ and independent of $y$, the solution to the backward stochastic differential equation (BSDE) with generator $g$ is unique.

We prove a general theorem that the $L_{\rho}^2({\mathbb{R}^{d}};{\mathbb{R}^{1}})\otimes L_{\rho}^2({\mathbb{R}^{d}};{\mathbb{R}^{d}})$ valued solution of an infinite horizon backward doubly stochastic differential equation, if exists,…

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…

In this paper, we study the solvability of a class of multi-dimensional forward backward stochastic differential equations (FBSDEs) with oblique reflection and unbounded stopping time. Under some mild assumptions on the coefficients in such…

We present simple assumptions on the constraints defining a hard core dynamics for the associated reflected stochastic differential equation to have a unique strong solution. Time-reversibility is proven for gradient systems with normal…

In this paper, we study the reflected stochastic differential equations driven by G-Brownian motion (reflected G-SDEs) with two nonlinear constraints. With the help of the Skorokhod problem with nonlinear constraints, we first study the…

In this paper, we provide an estimate for the solutions of reflected backward stochastic differential equations (RBSDEs) driven by a Markov chain, derive a continuous dependence property for their solutions with respect to the parameters of…

In this paper, we study the uniqueness of the solution of reflected BSDE with one or two barriers, under continuous and linear increasing condition of generator $g$. Before that we study the construction of solution of of reflected BSDE…

Maximal parabolic $L^p$-regularity of linear parabolic equations on an evolving surface is shown by pulling back the problem to the initial surface and studying the maximal $L^p$-regularity on a fixed surface. By freezing the coefficients…

In this paper, we study the well-posedness and regularity of non-autonomous stochastic differential algebraic equations (SDAEs) with nonlinear, locally Lipschitz and monotone (2) coefficients of the form (1). The main difficulty is the fact…

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 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…

Semilinear stochastic evolution equations with L\'evy noise and monotone nonlinear drift are considered. The existence and uniqueness of the mild solutions in $L^p$ for these equations is proved and a sufficient condition for exponential…

In this paper, the strong solutions $ (X, L)$ of multidimensional stochastic differential equations with reflecting boundary and possible anticipating initial random variables is established. The key is to obtain some substitution formula…

This paper considers the problem of uniqueness of the solutions to a class of Markovian backward stochastic differential equations (BSDEs) which are also connected to certain nonlinear partial differential equation (PDE) through a…

We consider a system of semi-linear partial differential equations with measurable coefficients and a nonlinear Neumann boundary condition. We then construct a sequence of penalized partial differential equations which converges to a…

We prove existence and uniqueness of the solution of a one-dimensional rough differential equation driven by a step-2 rough path and reflected at zero. In order to deal with the lack of control of the reflection measure the proof uses some…