相关论文: A Note on BSDEs with singular coefficients
We consider Backward Stochastic Differential Equations in a setting where noise is generated by a countable state, continuous time Markov chain, and the terminal value is prescribed at a stopping time. We show that, given sufficient…
We consider multidimensional quadratic BSDEs with bounded and unbounded terminal conditions. We provide sufficient conditions which guarantee existence and uniqueness of solutions. In particular, these conditions are satisfied if the…
We consider a stable driven degenerate stochastic differential equation, whose coefficients satisfy a kind of weak H{\"o}rmander condition. Under mild smoothness assumptions we prove the uniqueness of the martingale problem for the…
We prove weak uniqueness for admissible solutions of It\^o's equations with uniformly nondegenerate $a$ which is almost in VMO and $b$ in a Morrey class of functions with low integrability property. If $b\in L_{d}$ any solution is…
We consider multidimensional quadratic BSDEs with bounded and unbounded terminal conditions. We provide sufficient conditions which guarantee existence and uniqueness of solutions. In particular, these conditions are satisfied if the…
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…
In this paper, we study the solvability of anticipated backward stochastic differential equations (BSDEs, for short) with quadratic growth for one-dimensional case and multi-dimensional case. In these BSDEs, the generator, which is of…
In this paper we study a class of combined regular and singular stochastic control problems that can be expressed as constrained BSDEs. In the Markovian case, this reduces to a characterization through a PDE with gradient constraint. But…
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…
We study a 1D transport equation with nonlocal velocity and show the formation of singularities in finite time for a generic family of initial data. By adding a diffusion term the finite time singularity is prevented and the solutions exist…
We discuss BSDE with drivers containing nonlinearities of the type $p(y)|z|$ and $p(y)|z|^2$ with $p$ a polynomial of any degree. Sufficient conditions are given for existence and uniqueness of solutions as well as comparison results. We…
In this note, we derive an existence and uniqueness results for delayed backward stochastic differential equation with only integrable data.
A class of backward doubly stochastic differential equations (BDSDEs in short) with continuous coefficients is studied. We give the comparison theorems, the existence of the maximal solution and the structure of solutions for BDSDEs with…
We study the properties of nonlinear Backward Stochastic Differential Equations (BSDEs) driven by a Brownian motion and a martingale measure associated with a default jump with intensity process $(\lambda_t)$. We give a priori estimates for…
We establish existence and uniqueness for a wide class of Markovian systems of backward stochastic differential equations (BSDE) with quadratic nonlinearities. This class is characterized by an abstract structural assumption on the…
With the terminal value $|\xi|$ admitting some given exponential moment, we put forward and prove several existence and uniqueness results for the unbounded solutions of quadratic backward stochastic differential equations whose generators…
In this paper we prove some uniqueness results for quadratic backward stochastic differential equations without any convexity assumptions on the generator. The bounded case is revisited while some new results are obtained in the unbounded…
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…
An algebraizable singularity is a germ of a singular holomorphic foliation which can be defined in some appropriate local chart by a differential equation with algebraic coefficients. We show that there exists at least countably many…
We study the "generic" degenerations of curves with two singular points when the points merge. First, the notion of generic degeneration is defined precisely. Then a method to classify the possible results of generic degenerations is…