相关论文: Differentiability of quadratic forward-backward SD…

Although having been developed for more than two decades, the theory of forward backward stochastic differential equations is still far from complete. In this paper, we take one step back and investigate the formulation of FBSDEs. Motivated…

In this paper, we consider backward stochastic differential equations driven by $G$-Brownian motion (GBSDEs) under quadratic assumptions on coefficients. We prove the existence and uniqueness of solution for such equations. On the one hand,…

We study the traditional backward Euler method for $m$-dimensional stochastic differential equations driven by fractional Brownian motion with Hurst parameter $H > 1/2$ whose drift coefficient satisfies the one-sided Lipschitz condition.…

In this paper, we initiate the study of backward doubly stochastic differential equations (BDSDEs, for short) with quadratic growth. The existence, comparison, and stability results for one-dimensional BDSDEs are proved when the generator…

We deal with a class of fully coupled forward-backward stochastic differential equations (FBSDE for short), driven by Teugels martingales associated with some L\'evy process. Under some assumptions on the derivatives of the coefficients, we…

We consider the minimal super-solution of a backward stochastic differential equation with constraint on the gains-process. The terminal condition is given by a function of the terminal value of a forward stochastic differential equation.…

This paper investigates the asymptotic behavior of a forward-backward-forward (FBF) type differential equation and its discrete counterpart for solving quasimonotone variational inequalities (VIs). Building on recent continuous-time…

In this paper, we consider the Cauchy problem of semi-linear degenerate backward stochastic partial differential equations (BSPDEs in short) under general settings without technical assumptions on the coefficients. For the solution of…

This paper is concerned with a general linear quadratic (LQ) control problem of mean-field backward stochastic differential equation (BSDE). Here, the weighting matrices in the cost functional are allowed to be indefinite. Necessary and…

This paper investigates a non-autonomous slow-fast system, which is generalized by stochastic differential equations (SDEs) with locally Lipschitz coefficients, subjected to standard Brownian motion (Bm) and fractional Brownian motion (fBm)…

In this paper, we investigate the convergence rate of the averaging principle for stochastic differential equations (SDEs) with $\beta$-H\"older drift driven by $\alpha$-stable processes. More specifically, we first derive the Schauder…

This paper is concerned with a class of mean-field type coupled forward-backward stochastic differential equations (MF-FBSDEs, for short), in which the coupling appears in integral terms, terminal terms, and initial terms. Inspired by…

In this paper, under a one-sided Lipschitz condition on the drift coefficient we adopt (via contraction principle) a exponential approximation argument to investigate large deviations for neutral stochastic functional differential…

This paper is concerned with a class of uncertain backward stochastic differential equations (UBSDEs) driven by both an $m$-dimensional Brownian motion and a $d$-dimensional canonical process with uniform Lipschitzian coefficients. Such…

We study a system of Forward-Backward Stochastic Differential Equations (FBSDEs) with time-delayed generators. The forward process includes a reflection component expressed via a Stieltjes integral, while the backward process takes the form…

This paper is concerned with strong convergence and almost sure convergence for neutral stochastic differential delay equations under non-globally Lipschitz continuous coefficients. Convergence rates of $\theta$-EM schemes are given for…

In this article, we follow the study of quadratic backward SDEs with jumps,that is to say for which the generator has quadratic growth in the variables (z; u), started in our accompanying paper [15]. Relying on the existence and uniqueness…

In this paper we study a class of backward stochastic differential equations (BSDEs) of the form dY(t)= -AY(t)dt -f_0(t,Y(t))dt -f_1(t,Y(t),Z(t))dt + Z(t)dW(t) on the interval [0,T], with given final condition at time T, in an infinite…

We study the numerical approximation of SDEs with singular drifts (including distributions) driven by a fractional Brownian motion. Under the Catellier-Gubinelli condition that imposes the regularity of the drift to be strictly greater than…

We show existence and uniqueness of solutions to BSDEs of the form $$ Y_t = \xi + \int_t^T f(s,Y_s,Z_s)ds - \int_t^T Z_s dW_s$$ in the case where the terminal condition $\xi$ has bounded Malliavin derivative. The driver $f(s,y,z)$ is…