相关论文: Limit behaviour of the minimal solution of a BSDE …
In this paper, we study existence and uniqueness to multidimensional Reflected Backward Stochastic Differential Equation in an open convex domain, allowing for oblique directions of reflection. In a Markovian framework, combining \emph{a…
Most previous contributions to BSDEs, and the related theories of nonlinear expectation and dynamic risk measures, have been in the framework of continuous time diffusions or jump diffusions. Using solutions of BSDEs on spaces related to…
We discuss, by topological methods, the solvability of systems of second-order elliptic differential equations subject to functional boundary conditions under the presence of gradient terms in the nonlinearities. We prove the existence of…
In \cite{HuTang2018ECP}, the existence of the solution is proved for a scalar linearly growing backward stochastic differential equation (BSDE) when the terminal value is $L\exp\left(\mu\sqrt{2\log(1+L)}\right)$-integrable for a positive…
In this paper, we study a kind of constrained backward stochastic differential equations (BSDEs) such that the nonlinear expectation of the composition of a loss function and the solution remains above zero. The existence and uniqueness…
We prove the existence of infinitely many nonnegative solutions to the following nonlocal elliptic partial differential equation involving singularities \begin{align} (-\Delta)_{p(\cdot)}^{s}…
It is now established that under quite general circumstances, including in models with jumps, the existence of a solution to a reflected BSDE is guaranteed under mild conditions, whereas the existence of a solution to a doubly reflected…
Going from a scaling approach for birth/death processes, we investigate the scaling limit of solutions to non-Markovian stochastic control problems by studying the convergence of solutions to BSDEs driven a sequence of converging…
We provide new results on the existence of extremal solutions for discontinuous differential equations with a deviated argument which can be either delayed or advanced. The boundary condition is allowed to be discontinuous and to depend…
In the present work we employ, for the first time, backward stochastic differential equations (BSDEs) to study the optimal control of semi-Markov processes on finite horizon, with general state and action spaces. More precisely, we prove…
With the terminal value $\xi^-$ admitting a certain exponential moment and $\xi^+$ admitting every exponential moments or being bounded, we establish several existence and uniqueness results for unbounded solutions of backward stochastic…
We consider killed Markov decision processes for countable models on a finite time-interval. Existence of a uniform $\varepsilon$-optimal policy is proven. We show the correctness of the fundamental equation. The optimal control problem is…
In this paper we study one dimensional backward stochastic differential equations (BSDEs) with random terminal time not necessarily bounded or finite when the generator F(t,Y,Z) has a quadratic growth in Z. We provide existence and…
Semilinear stochastic evolution equations with multiplicative L\'evy noise and monotone nonlinear drift are considered. Unlike other similar work we do not impose coercivity conditions on coefficients. Existence and uniqueness of the mild…
We study a multi-dimensional optimal execution problem in illiquid markets with both instantaneous and persistent price impact and stochastic resilience. In our model the value function can be described by a multi-dimensional backward…
By imposing an additional integrability condition on the first component of the solution, this paper establishes an existence and uniqueness result for $L^1$ solutions of multidimensional backward stochastic differential equations (BSDEs)…
Non-Archimedean analogs of Markov quasimeasures and stochastic processes are investigated. Thery are used for the development of stochastic antiderivations. The non-Archimedean analog of the It$\hat o$ formula is proved.
This article proposes a new approximation scheme for quadratic-growth BSDEs in a Markovian setting by connecting a series of semi-analytic asymptotic expansions applied to short-time intervals. Although there remains a condition which needs…
We consider a possibly anisotropic integro-differential semilinear equation, run by a nondecreasing and nontrivial nonlinearity. We prove that if the solution grows at infinity less than the order of the operator, then it must be constant.
We prove a Berry-Esseen theorem and Edgeworth expansions for partial sums of the form $S_N=\sum_{n=1}^{N}f_n(X_n,X_{n+1})$, where $\{X_n\}$ is a uniformly elliptic inhomogeneous Markov chain and $\{f_n\}$ is a sequence of uniformly bounded…