相关论文: Backward stochastic differential equations with st…
In this paper, based on real-time nonlinear receding horizon control methodology, a novel approach is developed for parameter estimation of time invariant and time varying nonlinear dynamical systems in chaotic environments. Here, the…
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…
By using the Skorohod equation we derive an iteration procedure which allows us to solve a class of reflected backward stochastic differential equations with non-linear resistance induced by the reflected local time. In particular, we…
Reversal of the time direction in stochastic systems driven by white noise has been central throughout the development of stochastic realization theory, filtering and smoothing. Similar ideas were developed in connection with certain…
Motivated from time-inconsistent stochastic control problems, we introduce a new type of coupled forward-backward stochastic systems, namely, flows of forward-backward stochastic differential equations. They are systems consisting of a…
We study the following backward stochastic differential equation on finite time horizon driven by an integer-valued random measure $\mu$ on $\mathbb R_+\times E$, where $E$ is a Lusin space, with compensator $\nu(dt,dx)=dA_t\,\phi_t(dx)$:…
This paper continues the study of [11, 13] for stationary solutions of stochastic linear retarded functional differential equations with the emphasis on delays which appear in those terms including spatial partial derivatives. As a…
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…
We consider portfolio selection when decisions based on a dynamic risk measure are affected by the use of a moving horizon, and the possible inconsistencies that this creates. By giving a formal treatment of time consistency which is…
We study a class of infinite horizon impulse control problems with execution delay when the dynamics of the system is described by a general adapted stochastic process. The problem is solved by means of probabilistic tools relying on the…
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…
This paper deals with the long time behavior of the optimal solution of stochastic backward linear-quadratic optimal control problem over the finite time horizon. Both weak and strong turnpike properties are established under appropriate…
We study methods for solving stochastic control problems of systems of forward-backward mean-field equations with delay, in finite or infinite horizon. Necessary and sufficient maximum principles under partial information are given. The…
We provide a new probabilistic proof of the connection between Rost's solution of the Skorokhod embedding problem and a suitable family of optimal stopping problems for Brownian motion with finite time-horizon. In particular we use…
This paper aims at solving one-dimensional backward stochastic differential equations (BSDEs) under weaker assumptions. We establish general existence, uniqueness, and comparison results for bounded solutions, $L^p (p>1)$ solutions and…
The main objective of this paper is the construction of the solution of an impulsive stochastic differential equation, subject to control conditions in the pulse-times and give sufficient conditions for them to be random variables with…
In this paper we formulate a transmission problem for the transient acoustic wave equation as a system of retarded boundary integral equations. We then analyse a fully discrete method using a general Galerkin semidiscretization-in-space and…
We consider one-dimensional stochastic differential equations with jumps in the general case. We introduce new technics based on local time and we prove new results on pathwise uniqueness and comparison theorems. Our approach are very easy…
Understanding how time delays impact the stability of a delay differential equation is important for modeling many natural and technological systems that experience time delays. Here we introduce a new stability criterion for…
In this paper, we propose a new framework for solving a general dynamic optimal stopping problem without time consistency. A sophisticated solution is proposed and is well-defined for any time setting with general flows of objectives. A…