相关论文: Admitted symmetries of Backward Stochastic Differe…

In this note, we prove the Freidlin-Wentzell's large deviation principle for BSDEs with one-sided reflection.

Connections between a system of Forward-Backward SDEs and Backward Stochastic PDEs related to the utility maximiza- tion problem is established. Besides, we derive another version of FBSDE of the same problem and prove an existence of a…

A generalized Kadomtsev-Petviashvili equation (GKPE) $(u_t+u u_x + \beta(t)u +\gamma(t)u_{xxx})_x+\sigma(t)u_{yy}\ = \ 0$ is shown to admit an infinite-dimensional Lie group of symmetries when $\bt(t), \ga(t)$ and $\si(t)$ are arbitrary.…

In [J. Wen, Y. Shi, Stat. Probab. Lett. 156 (2020) 108599] the authors first introduced a kind of anticipated backward stochastic Volterra integral equations (anticipated BSVIEs, for short). By virtue of the duality principle, it is found…

Using properties of backward stochastic differential equations we give new proofs of some well known results on BMO martingales and improve some estimates of BMO norms.

We propose a new multistep deep learning-based algorithm for the resolution of moderate to high dimensional nonlinear backward stochastic differential equations (BSDEs) and their corresponding parabolic partial differential equations (PDE).…

A new, improved split-step backward Euler (SSBE) method is introduced and analyzed for stochastic differential delay equations(SDDEs) with generic variable delay. The method is proved to be convergent in mean-square sense under conditions…

The present paper is devoted to the study of diagonally quadratic backward stochastic differential equation with oblique reflection. Using a penalization approach, we show the existence fo a solution by providing some delicated a priori…

Methods of Lie group analysis of differential equations are extended to weak solutions of (linear and nonlinear) PDEs, where the term ``weak solution'' comprises the following settings: (a) Distributional solutions. (b) Solutions in…

In this work, we study the numerical approximation of a class of singular fully coupled forward backward stochastic differential equations. These equations have a degenerate forward component and non-smooth terminal condition. They are…

We study the anticipative backward stochastic differential equations (BSDEs, for short) driven by fractional Brownian motion with Hurst parameter H greater than 1/2. The stochastic integral used throughout the paper is the divergence…

A reduction procedure for stochastic differential equations based on stochastic symmetries including Girsanov random transformations is proposed. In this setting, a new notion of reconstruction is given, involving the expectation values of…

In this paper, we introduce a large class of convergent numerical methods, based on (linear) basis function regression technique, to approximate the solution to a forward-backward stochastic differential equation with jumps (FBSDEJ…

This paper aims to extend the BML method proposed in Wang et al. [22] to make it applicable to more general coupled nonlinear FBSDEs. We interpret BML from the fixed-point iteration perspective and show that optimizing BML is equivalent to…

After the introduction of $\lambda$-symmetries by Muriel and Romero, several other types of so called "twisted symmetries" have been considered in the literature (their name refers to the fact they are defined through a deformation of the…

The present paper is devoted to the well-posedness of a type of multi-dimensional backward stochastic differential equations (BSDEs) with a diagonally quadratic generator. We give a new priori estimate, and prove that the BSDE admits a…

By using the Skorohod equation we derive an iteration procedure which allows us to solve a class of reflected backward stochastic differential equations with non-linear resistance induced by the reflected local time. In particular, we…

A class of the Benjamin-Bona-Mahony-Burgers (BBMB) equations with time-dependent coefficients is investigated with the Lie symmetry point of view. The set of admissible transformations of the class is described exhaustively. The complete…

The work concerns a type of backward multivalued McKean-Vlasov stochastic differential equations. First, we prove the existence and uniqueness of solutions for backward multivalued McKean-Vlasov stochastic differential equations. Then, it…

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…