相关论文: Mean-field reflected BSDEs driven by a marked poin…
We study a mean-field version of Bank-El Karoui's representation theorem of stochastic processes. Under different technical conditions, we establish some existence and uniqueness results. As motivation and first applications, our mean-field…
We formulate an optimal switching problem when the underlying filtration is generated by a marked point process and a Brownian motion. Each mode is characterized by a different compensator for the point process, and thus by a different…
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 establish existence and uniqueness for a wide class of Markovian systems of backward stochastic differential equations (BSDE) with quadratic nonlinearities. This class is characterized by an abstract structural assumption on the…
In this paper, we study a new type of BSDE, where the distribution of the Y-component of the solution is required to satisfy an additional constraint, written in terms of the expectation of a loss function. This constraint is imposed at any…
In this paper, we establish the existence and uniqueness of fully coupled forward-backward stochastic differential equations (FBSDEs in short) driven by anomalous sub-diffusions $B_{L_t}$ under suitable monotonicity conditions on the…
We consider reflected generalized backward doubly stochastic differential equations driven by a non-homogeneous L\'evy process. Under stochastic conditions on the coefficients, we prove the existence and uniqueness of a solution.…
We study mean field stochastic differential equations with a diffusion coefficient that depends on the distribution function of the unknown process in a discontinuous manner, which is a type of distribution dependent regime switching. To…
In this paper we consider backward stochastic differential equations with time-delayed generators of a moving average type. The classical framework with linear generators depending on $(Y(t),Z(t))$ is extended and we investigate linear…
We consider a class of extended mean field games with common noises, where there exists a strictly terminal constraint. We solve the problem by reducing it to an unconstrained control problem by adding a penalized term in the cost…
We consider stochastic differential equations (SDEs) driven by Feller processes which are themselves solutions of multivariate Levy driven SDEs. The solutions of these 'iterated SDEs' are shown to be non-Markovian. However, the process…
We solve the Skorokhod embedding problem for a class of Gaussian processes including Brownian motion with non-linear drift. Our approach relies on solving an associated strongly coupled system of Forward Backward Stochastic Differential…
In this paper, we study the reflected backward stochastic differential equations driven by G-Brownian motion with two reflecting obstacles, which means that the solution lies between two prescribed processes. A new kind of approximate…
Using a new notion of path-derivative, we study well-posedness of backward stochastic differential equation driven by a continuous martingale $M$ when $f(s,\gamma,y,z)$ is locally Lipschitz in $(y,z)$:…
Mathematical mean-field approaches play an important role in different fields of Physics and Chemistry, but have found in recent works also their application in Economics, Finance and Game Theory. The objective of our paper is to…
In this paper we study the class of backward doubly stochastic differential equations (BDSDEs, for short) whose terminal value depends on the history of forward diffusion. We first establish a probabilistic representation for the spatial…
We study a coupled system of controlled stochastic differential equations (SDEs) driven by a Brownian motion and a compensated Poisson random measure, consisting of a forward SDE in the unknown process $X(t)$ and a \emph{predictive…
This paper proves the existence and uniqueness of a solution to doubly reflected backward stochastic differential equations where the coefficient is stochastic Lipschitz, by means of the penalization method.
In this paper, we study the solvability of anticipated backward stochastic differential equations (BSDEs, for short) with quadratic growth for one-dimensional case and multi-dimensional case. In these BSDEs, the generator, which is of…
This paper studies mean field game (MFG) of controls by featuring the joint distribution of the state and the control with the reflected state process along an exogenous stochastic reflection boundary. We contribute to the literature with a…