相关论文: Ergodic BSDEs with jumps and time dependence

We analyze a natural extension of the backward Euler approximation for a class of BSDEs with Lipschitz generators and random (unbounded) time horizons. We derive strong error bounds in terms of the underlying stepsize; the distance between…

In this paper, we study the backward stochastic differential equations driven by G-Brownian motion under the condition that the generator is time-varying Lipschitz continuous with respect to y and time-varying uniformly continuous 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 consider SDEs driven by multiplicative pure jump L\'{e}vy noises, where L\'evy processes are not necessarily comparable to $\alpha$-stable-like processes. By assuming that the SDE has a unique solution, we obtain gradient estimates of…

We consider a class of exit--time control problems for nonlinear systems with a nonnegative vanishing Lagrangian. In general, the associated PDE may have multiple solutions, and known regularity and stability properties do not hold. In this…

Stemmed from the derivation of the optimal control to a stochastic linear-quadratic control problem with Markov jumps, we study one kind of backward stochastic differential equations (BSDEs) that the generator f is affected by a Markovian…

In this paper we give a representation formula for the limit of the fnite horizon problem as the horizon becomes infinite, with a nonnegative Lagrangian and unbounded data. It is related to the limit of the discounted infinite horizon…

This work aims to investigate the existence of ergodic invariant measures and its uniqueness, associated with obstacle problems governed by a T-monotone operator defined on Sobolev spaces and driven by a multiplicative noise in a bounded…

We consider a class of backward stochastic differential equations (BSDEs) driven by Brownian motion and Poisson random measure, and subject to constraints on the jump component. We prove the existence and uniqueness of the minimal solution…

We propose a probabilistic numerical algorithm to solve Backward Stochastic Differential Equations (BSDEs) with nonnegative jumps, a class of BSDEs introduced in [9] for representing fully nonlinear HJB equations. In particular, this allows…

We propose a new probabilistic numerical scheme for fully nonlinear equation of Hamilton-Jacobi-Bellman (HJB) type associated to stochastic control problem, which is based on the Feynman-Kac representation in [12] by means of control…

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…

In this paper we prove the existence and uniqueness of maximal strong (in PDE sense) solution to several stochastic hydrodynamical systems on unbounded and bounded domains of $\mathbb{R}^n$, $n=2,3$. This maximal solution turns out to be a…

We study the optimal stopping problem for dynamic risk measures represented by Backward Stochastic Differential Equations (BSDEs) with jumps and its relation with reflected BSDEs (RBSDEs). We first provide general existence, uniqueness and…

This study aims to analyze the ergodicity for stochastic 2D Boussinesq equations and explore the impact of a highly degenerate pure jump Levy noise acting only in the temperature equation, this noise could appear on a few Fourier modes. By…

The problem of optimal stopping with finite horizon in discrete time is considered in view of maximizing the expected gain. The algorithm proposed in this paper is completely nonparametric in the sense that it uses observed data from the…

We study linear-quadratic stochastic optimal control problems with bilinear state dependence for which the underlying stochastic differential equation (SDE) consists of slow and fast degrees of freedom. We show that, in the same way in…

In this paper, we suggest a useful technique based on time change to be effective for dealing with the backward stochastic differential equations. We show the relation between the BSDEs with stochastic Lipschtz coeffecients and the ones…

We consider a classical finite horizon optimal control problem for continuous-time pure jump Markov processes described by means of a rate transition measure depending on a control parameter and controlled by a feedback law. For this class…

In this paper we are concerned with backward stochastic differential equations with random default time and their applications to default risk. The equations are driven by Brownian motion as well as a mutually independent martingale…