相关论文: Backward stochastic differential equations with st…
We consider ergodic backward stochastic differential equations in a discrete time setting, where noise is generated by a finite state Markov chain. We show existence and uniqueness of solutions, along with a comparison theorem. To obtain…
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 study linear backward stochastic partial differential equations of parabolic type with special boundary condition that connect the terminal value of the solution with a functional over the entire past solution. Uniqueness, solvability…
In this paper, we obtain stability results for backward stochastic differential equations with jumps (BSDEs) in a very general framework. More specifically, we consider a convergent sequence of standard data, each associated to their own…
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…
This paper is devoted to solving a multidimensional backward stochastic differential equation with a general time interval, where the generator is uniformly continuous in $(y,z)$ non-uniformly with respect to $t$. By establishing some…
In this paper, we study backward stochastic Volterra integral equations of type-I with time delayed generators. Under some condition (small time horizon or a Lipschitz constant), we derive an existence and uniqueness results. Next, with the…
In this paper we discuss backward stochastic differential equations with Markov chain noise, having continuous drivers. We obtain the existence of a solution which is possibly not unique. Moreover, we show there is a minimal solution for…
In this paper, we investigate dynamic optimization problems featuring both stochastic control and optimal stopping in a finite time horizon. The paper aims to develop new methodologies, which are significantly different from those of mixed…
We study linear backward stochastic partial differential equations of parabolic type with special boundary conditions in time. The standard Cauchy condition at the terminal time is replaced by a condition that holds almost surely and mixes…
We present a backward diffusion flow (i.e. a backward-in-time stochastic differential equation) whose marginal distribution at any (earlier) time is equal to the smoothing distribution when the terminal state (at a latter time) is…
A recently proposed stochastic hidden variable model for quantum mechanics has been claimed to involve "retrocausality" due to the appearance of equations of motion with future-time boundary conditions. We formulate an equivalent system of…
In this manuscript, we investigate a fractional stochastic neutral differential equation with time delay, which includes both deterministic and stochastic components. Our primary objective is to rigorously prove the existence of a unique…
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…
In this paper we address the problem of designing receding horizon control algorithms for linear discrete-time systems with parametric uncertainty. We do not consider presence of stochastic forcing or process noise in the system. It is…
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…
In this work we study a multi-step scheme on time-space grids proposed by W. Zhao et al. [28] for solving backward stochastic differential equations, where Lagrange interpolating polynomials are used to approximate the time-integrands with…
Our aim is to study the following new type of multivalued backward stochastic differential equation: \[ \left\{\begin{array} [c]{r}-dY\left(t\right) +\partial\varphi\left(Y\left(t\right)\right) dt\ni…
The solutions of stochastic differential equations without an external drift are stochastically invariant under time reversal. This singles out the "anti-Ito" integral.
Motivated by studies of indirect measurements in quantum mechanics, we investigate stochastic differential equations with a fixed point subject to an additional infinitesimal repulsive perturbation. We conjecture, and prove for an important…