相关论文: On Anticipated backward stochastic differential eq…

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…

Comparison and converse comparison theorems are important parts of the research on backward stochastic differential equations. In this paper, we obtain comparison results for one dimensional backward stochastic differential equations with…

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…

We study (backward) stochastic differential equations with noise coming from a finite state Markov chain. We show that, for the solutions of these equations to be `Markovian', in the sense that they are deterministic functions of the state…

In this paper, we extend the results of Elliott and Yang \cite{elliott3} and discuss the control of a stochastic process for which the driving noise is provided by a martingale associated with a semi-Markov Chain. An existence and a…

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…

In this paper, we provide an estimate for the solutions of reflected backward stochastic differential equations (RBSDEs) driven by a Markov chain, derive a continuous dependence property for their solutions with respect to the parameters of…

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…

In this paper we discuss new types of differential equations which we call anticipated backward stochastic differential equations (anticipated BSDEs). In these equations the generator includes not only the values of solutions of the present…

We define fully coupled forward-backward stochastic differential equations on spaces related to continuous time, finite state Markov Chains. Existence and uniqueness results of the fully coupled forward-backward stochastic differential…

We consider ergodic backward stochastic differential equations, in a setting where noise is generated by a countable state uniformly ergodic Markov chain. We show that for Lipschitz drivers such that a comparison theorem holds, these…

We consider backward stochastic differential equations (BSDEs) related to finite state, continuous time Markov chains. We show that appropriate solutions exist for arbitrary terminal conditions, and are unique up to sets of measure zero. We…

This paper introduces a backward stochastic differential equation driven by both Brownian motion and a Markov chain (BSDEBM). Regime-switching is also incorporated through its driver. The existence and uniqueness of the solution of the…

We study the well solvability of nonlinear backward stochastic evolutionary equations driven by a space-time white noise. We first establish a novel a priori estimate for solution of linear backward stochastic evolutionary equations, and…

We address a class of backward stochastic differential equations on a bounded interval, where the driving noise is a marked, or multivariate, point process. Assuming that the jump times are totally inaccessible and a technical condition…

In this work, we shall consider the existence and uniqueness of stationary solutions to stochastic partial functional differential equations with additive noise in which a neutral type of delay is explicitly presented. We are especially…

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…

A finite-state Markov chain is introduced in the noise terms of the three-dimensional stochastic Navier-Stokes equations in order to allow for transitions between two types of multiplicative noises. We call such systems as stochastic…

In this note, we derive an existence and uniqueness results for delayed backward stochastic differential equation with only integrable data.

In this paper, we deal with a class of multivalued backward doubly stochastic differential equations with time delayed coefficients. Based on a slight extension of the existence and uniqueness of solutions for backward doubly stochastic…