相关论文: A stochastic analysis of subcritical Euclidean fer…

We introduce a stochastic analysis of Grassmann random variables suitable for the stochastic quantization of Euclidean fermionic quantum field theories. Analysis on Grassmann algebras is developed here from the point of view of quantum…

We develop a stochastic analysis of the sine-Gordon Euclidean quantum field $(\cos (\beta \varphi))_2$ on the full space up to the second threshold, i.e. for $\beta^2 < 6 \pi$. The basis of our method is a forward-backward stochastic…

We propose a new method for the numerical solution of the forward-backward stochastic differential equations (FBSDE) appearing in the Feynman-Kac representation of the value function in stochastic optimal control problems. Using Girsanov's…

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…

We study a McKean-Vlasov Forward-Backward Stochastic Differential Equation (FBSDE) in connection with the theory of Stochastic Differential Mean-Field games, particularly the weak (non-fully coupled) formulation described in Section 3.3.1…

We propose a numerical method for the computation of the forward-backward stochastic differential equations (FBSDE) appearing in the Feynman-Kac representation of the value function in stochastic optimal control problems. By the use of the…

Stochastic averaging for a class of backward stochastic differential equations driven by both standard and fractional Brownian motions (SFrBSDEs in short), is investigated. An averaged SFrBSDEs for the original SFrBSDEs is proposed, and…

We propose some numerical schemes for forward-backward stochastic differential equations (FBSDEs) based on a new fundamental concept of transposition solutions. These schemes exploit time-splitting methods for the variation of constants…

In this paper, we study the well-posedness of the Forward-Backward Stochastic Differential Equations (FBSDE) in a general non-Markovian framework. The main purpose is to find a unified scheme which combines all existing methodology in the…

We study the well-posedness of a system of forward-backward stochastic differential equations (FBSDEs) corresponding to a degenerate mean field type control problem, when the diffusion coefficient depends on the state together with its…

Recently, there has been a growing interest in generative models based on diffusions driven by the empirical robustness of these methods in generating high-dimensional photorealistic images and the possibility of using the vast existing…

We introduce a class of backward stochastic differential equations (BSDEs) on the Wasserstein space of probability measures. This formulation extends the classical correspondence between BSDEs, stochastic control, and partial differential…

Forward-backward stochastic differential equations (FBSDEs) have attracted significant attention since they were introduced almost 30 years ago, due to their wide range of applications, from solving non-linear PDEs to pricing American-type…

In this paper we present a novel sampling-based numerical scheme designed to solve a certain class of stochastic optimal control problems, utilizing forward and backward stochastic differential equations (FBSDEs). By means of a nonlinear…

In this paper, we study forward-backward doubly stochastic differential equations driven by Brownian motions and Poisson process (FBDSDEP in short). Both the probabilistic interpretation for the solutions to a class of quasilinear…

We aim to provide a Feynman-Kac type representation for Hamilton-Jacobi-Bellman equation, in terms of forward backward stochastic differential equation (FBSDE) with a simulatable forward process. For this purpose, we introduce a class of…

Motivated by the idea of imposing paralleling computing on solving stochastic differential equations (SDEs), we introduce a new Domain Decomposition Scheme to solve forward-backward stochastic differential equations (FBSDEs) parallely. We…

This paper is the fourth in a series devoted to the development of a rigorous renormalisation group method for lattice field theories involving boson fields, fermion fields, or both. The third paper in the series presents a perturbative…

This paper studies a new class of linear-quadratic mean field games and teams problem, where the large-population system satisfies a class of $N$ weakly coupled linear backward stochastic differential equations (BSDEs), and $z_i$ (a part of…

In [5] the authors obtained Mean-Field backward stochastic differential equations (BSDE) associated with a Mean-field stochastic differential equation (SDE) in a natural way as limit of some highly dimensional system of forward and backward…