相关论文: Forward-backward stochastic differential equations…

Given $p \in (1, 2)$, we study $L^p$-solutions of a multi-dimensional backward stochastic differential equation with jumps (BSDEJ) whose generator may not be Lipschitz continuous in $(y,z)-$variables. We show that such a BSDEJ with a…

A stochastic partial differential equation (SPDE) is derived for super-Brownian motion regarded as a distribution function valued process. The strong uniqueness for the solution to this SPDE is obtained by an extended Yamada-Watanabe…

Recent developments on financial markets have revealed the limits of Brownian motion pricing models when they are applied to actual markets. L\'evy processes, that admit jumps over time, have been found more useful for applications. Thus,…

Motivated by earlier work on the use of fully-coupled Forward-Backward Stochastic Differential Equations (henceforth FBSDEs) in the analysis of mathematical models for the CO2 emissions markets, the present study is concerned with the…

We study solutions to backward differential equations that are driven hybridly by a deterministic discontinuous rough path $W$ of finite $q$-variation for $q \in [1, 2)$ and by Brownian motion $B$. To distinguish between integration of…

The aim of the paper is to prove the existence and uniqueness of the $L^{p}$--variational solution, with $p>1,$ of the following multivalued backward stochastic differential equation with $p$--integrable data: \begin{equation*} \left\{…

In this note, we take up the study of weak convergence for stochastic differential equations driven by a (Liouville) fractional Brownian motion $B$ with Hurst parameter $H\in(1/3,1/2)$. In the current paper, we approximate the…

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 consider reflected backward stochastic differential equations with two general optional barriers. The solutions to these equations have the so-called regulated trajectories, i.e trajectories with left and right finite limits. We prove…

We prove the existence of probabilistically strong solutions for large classes of possibly degenerate stochastic differential equations with locally Sobolev-regular coefficients, using the restricted Yamada-Watanabe theorem. Our approach…

In this article, we construct weak solutions for a class of Stochastic PDEs in the space of tempered distributions via Girsanov's theorem. It is to be noted that our drift and diffusion coefficients $(L,A)$ of the considered Stochastic PDE…

We study linear backward stochastic partial differential equations of parabolic type with special boundary condition that connect the terminal value of the solution with a functional over the entire past solution. Uniqueness, solvability…

In this paper we show the weak differentiability of the unique strong solution with respect to the starting point $x$ as well as Bismut-Elworthy-Li's derivative formula for the following stochastic differential equation in $\mathbb R^d$: $$…

We study multidimensional discontinuous backward stochastic differential equations in a filtration that supports both a Brownian motion and an independent integer-valued random measure. Under suitable $\mathbb{L}^p$-integrability conditions…

We extend the work of Delong and Imkeller (2010a,b) concerning Backward stochastic differential equations with time delayed generators (delay BSDE). We give moment and a priori estimates in general $L^p$-spaces and provide sufficient…

We prove existence and uniqueness of the reflected backward stochastic differential equation's (RBSDE) solution with a lower obstacle which is assumed to be right upper-semicontinuous but not necessarily right-continuous in a filtration…

In this paper, we continue in solving reflected generalized backward stochastic differential equations (RGBSDE for short) and fixed terminal time with use some new technical aspects of the stochastic calculus related to the reflected…

We study the problem of existence of solutions for generalized backward stochastic differential equation with two reflecting barriers (GRBSDE for short) under weaker assumptions on the data. Roughly speaking we show the existence of a…

We prove the unique weak solvability of time-inhomogeneous stochastic differential equations with additive noises and drifts in critical Lebsgue space $L^q([0,T]; L^{p}(\mathbb{R}^d))$ with $d/p+2/q=1$. The weak uniqueness is obtained by…

In this paper, we study the non-linear backward problems (with deterministic or stochastic durations) of stochastic differential equations on the Sierpinski gasket. We prove the existence and uniqueness of solutions of backward stochastic…