相关论文: Minimal supersolutions of BSDEs under volatility u…

In this note, we study one-dimensional reflected backward doubly stochastic differential equations (RBDSDEs) with one continuous barrier and discontinuous generator (left-or right-continuous). By a comparison theorem establish here for…

In this paper, we study the well-posedness of backward doubly stochastic differential equations (BDSDEs), both with and without reflection, under weak conditions. First, when the generator $f$ is of general growth in $y$ and linear growth…

In this paper we consider backward stochastic differential equations with time-delayed generators of a moving average type. The classical framework with linear generators depending on $(Y(t),Z(t))$ is extended and we investigate linear…

We deal with backward stochastic differential equations with time delayed generators. In this new type of equations, a generator at time t can depend on the values of a solution in the past, weighted with a time delay function for instance…

We first establish the existence of an unbounded solution to a backward stochastic differential equation (BSDE) with generator $g$ allowing a general growth in the state variable $y$ and a sub-quadratic growth in the state variable $z$,…

In this paper we develop a very general class of bivariate discrete distributions. The basic idea is very simple. The marginals are obtained by taking the random geometric sum of a baseline distribution function. The proposed class of…

Metric regularity is among the central concepts of nonlinear and variational analysis, constrained optimization, and their numerous applications. However, metric regularity can be elusive for some important ill-posed classes of problems…

We study soliton solutions to a nonlinear Schrodinger equation with a saturated nonlinearity. Such nonlinearities are known to possess minimal mass soliton solutions. We consider a small perturbation of a minimal mass soliton, and identify…

We show stability and locality of the minimal supersolution of a forward backward stochastic differential equation with respect to the underlying forward process under weak assumptions on the generator. The forward process appears both in…

We consider quasi-variational inequalities (QVIs) with general non-local drivers and related systems of reflected backward stochastic differential equations (BSDEs) in a Brownian filtration. We show existence and uniqueness of viscosity…

In this paper, by introducing a new notion of envelope of the stochastic process, we construct a family of random differential equations whose solutions can be viewed as solutions of a family of ordinary differential equations and prove…

In this paper, we deal with the problem of uniqueness of minimal system of binomial generators of a semigroup ideal. Concretely, we give different necessary and/or sufficient conditions for uniqueness of such minimal system of generators.…

In this paper, we study the multi-dimensional mean-field backward stochastic differential equations (BSDEs, for short) with quadratic growth. Under small terminal value, the existence and uniqueness are proved for the multi-dimensional…

In the present paper the problem of approximating the solution of BSDE is considered in the case where the solution of forward equation is observed in the presence of small Gaussian noise. We suppose that the volatility of the forward…

In this paper, a systematic investigation is carried out for the general solvability of multi-dimensional backward stochastic Volterra integral equations (BSVIEs) with the generators being super-linear in the adjustment variable $Z$. Two…

Singular boundary value problems (SBVPs) arise in various fields of Mathematics, Engineering and Physics such as boundary layer theory, gas dynamics, nuclear physics, nonlinear optics, etc. The present monograph is devoted to systems of…

We construct an aggregated version of the value processes associated with stochastic control problems, where the criterion to optimise is given by solutions to semi-martingale backward stochastic differential equations (BSDEs). The results…

The existence and multiplicity of positive periodic solutions for second order non-autonomous singular dynamical systems are established with superlinearity or sublinearity assumptions at infinity for an appropriately chosen parameter. Our…

The study deals with a minimal energy problem over noncompact classes of infinite dimensional vector measures in a locally compact space. The components are positive measures (charges) satisfying certain normalizing assumptions and…

We introduce the concepts of max-closedness and numeraires of convex subsets in the nonnegative orthant of the topological vector space of all random variables built over a probability space, equipped with a topology consistent with…