相关论文: Anticipating Reflected Stochastic Differential Equ…

We consider reflected backward stochastic differential equations, with two barriers, defined on probability spaces equipped with filtration satisfying only the usual assumptions of right continuity and completeness. As for barriers we…

In this article, we study elliptic stochastic partial differential equations with two reflect- ing walls h1 and h2, driven by multiplicative noise. The existence and uniqueness of the solutions are established.

This work concerns generalized backward stochastic differential equations, which are coupled with a family of reflecting diffusion processes. First of all, we establish the large deviation principle for forward stochastic differential…

In this note, we derive an existence and uniqueness results for delayed backward stochastic differential equation with only integrable data.

In this paper, we are concerned with the problem of existence of solutions for generalized reflected backward stochastic differential equations (GRBSDEs for short) and generalized backward stochastic differential equations (GBSDEs for…

The solution of a (stochastic) differential equation (SDE) can be locally approximated by a stochastic expansion, a linear combination of iterated integrals. Quantities of interest, like moments, can then be approximated with the expansion.…

A general method of obtaining linear differential equations having polynomial solutions is proposed. The method is based on an equivalence of the spectral problem for an element of the universal enveloping algebra of some Lie algebra in the…

In this paper, we study existence and uniqueness to multidimensional Reflected Backward Stochastic Differential Equation in an open convex domain, allowing for oblique directions of reflection. In a Markovian framework, combining \emph{a…

In this paper, we consider a class of multi-dimensional stochastic delay differential equations with jump reflection. Based on existence and uniqueness of the strong solution to the equation, we prove that the Markov semigroup generated by…

In this paper we study multi-dimensional reflected backward stochastic differential equations driven by Wiener-Poisson type processes. We prove existence and uniqueness of solutions, with reflection in the inward spatial normal direction,…

The present paper is devoted to the study of backward stochastic differential equations with mean reflection formulated by Briand et al. [7]. We investigate the solvability of a generalized mean reflected BSDE, whose driver also depends on…

This paper is concerned with the existence and uniqueness of random periodic solutions for stochastic differential equations (SDEs), where the drift terms involved need not to be uniformly dissipative. On the one hand, via the reflection…

This work is devoted to the study of the existence and periodicity of solutions of initial differential problems, paying special attention to the explicit computation of the period. These problems are also connected with some particular…

We establish the existence of both optimal relaxed controls and strict optimal controls for systems driven by Reflected Stochastic Differential Equations RSDEs. Our approach is based on weak convergence techniques for the associated RSDEs…

In this paper we study different algorithms for reflected backward stochastic differential equations (BSDE in short) with two continuous barriers basing on random work framework. We introduce different numerical algorithms by penalization…

In a noise driving by a multivariate point process $\mu$ with predictable compensator $\nu$, we prove existence and uniqueness of the reflected backward stochastic differential equation's solution with a lower obstacle…

This paper is devoted to the study of reflected Stochastic Differential Equations with jumps when the constraint is not on the paths of the solution but acts on the law of the solution. This type of reflected equations have been introduced…

In this paper, we first establish the reflected backward stochastic difference equations with finite state (FS-RBSDEs for short). Then we explore the Existence and Uniqueness Theorem as well as the Comparison Theorem by "one step" method.…

In this paper, we study the backward stochastic differential equations driven by G-Brownian motion with double mean reflections, which means that the constraints are made on the law of the solution. Making full use of the backward Skorokhod…

This paper is intended to give a probabilistic representation for stochastic viscosity solution of semi-linear reflected stochastic partial differential equations with nonlinear Neumann boundary condition. We use it connection with…