Non-Zero Sum Differential Games of Backward Stochastic Differential Delay Equations Under Partial Information
Sign Up to like & getrecommendations! Published in 2017 at "Asian Journal of Control"
DOI: 10.1002/asjc.1382
Abstract: In this paper, we study a new type of differential game problems of backward stochastic differential delay equations under partial information. A class of time-advanced stochastic differential equations ASDEs is introduced as the adjoint process… read more here.
Keywords: partial information; stochastic differential; backward stochastic; equations partial ... See more keywords
A risk‐sensitive stochastic maximum principle for fully coupled forward‐backward stochastic differential equations with applications
Sign Up to like & getrecommendations! Published in 2019 at "Asian Journal of Control"
DOI: 10.1002/asjc.2020
Abstract: In this paper, we are interested in the problem of optimal control where the system is given by a fully coupled forward‐backward stochastic differential equation with a risk‐sensitive performance functional. As a preliminary step, we… read more here.
Keywords: backward stochastic; forward backward; risk sensitive; fully coupled ... See more keywords
Multi‐valued backward stochastic differential equations driven by G‐Brownian motion and its applications
Sign Up to like & getrecommendations! Published in 2017 at "Mathematical Methods in The Applied Sciences"
DOI: 10.1002/mma.4335
Abstract: In this paper, we prove the existence and uniqueness of a solution for a class of backward stochastic differential equations driven by G-Brownian motion with subdifferential operator by means of the Moreau–Yosida approximation method. Moreover,… read more here.
Keywords: stochastic differential; backward stochastic; brownian motion; equations driven ... See more keywords
Anticipated mean-field backward stochastic differential equations with jumps∗
Sign Up to like & getrecommendations! Published in 2020 at "Lithuanian Mathematical Journal"
DOI: 10.1007/s10986-020-09484-8
Abstract: In this paper we prove the existence and uniqueness theorem, comparison theorem of a class of anticipated mean-field backward stochastic differential equations with jumps. read more here.
Keywords: mean field; stochastic differential; field backward; backward stochastic ... See more keywords
Reflected solutions of backward stochastic differential equations driven by G-Brownian motion
Sign Up to like & getrecommendations! Published in 2018 at "Science China Mathematics"
DOI: 10.1007/s11425-017-9176-0
Abstract: In this paper, we study the reflected solutions of one-dimensional backward stochastic differential equations driven by G-Brownian motion. The reflection keeps the solution above a given stochastic process. In order to derive the uniqueness of… read more here.
Keywords: stochastic differential; backward stochastic; equations driven; differential equations ... See more keywords
Approximation of backward stochastic partial differential equations by a splitting-up method
Sign Up to like & getrecommendations! Published in 2021 at "Journal of Mathematical Analysis and Applications"
DOI: 10.1016/j.jmaa.2020.124518
Abstract: Abstract This paper develops a splitting-up method to solution of backward stochastic parabolic partial differential equations. Both splitting equations are simpler for the numerical computations. Two different approximation schemes are given, and their convergence results… read more here.
Keywords: splitting method; approximation backward; partial differential; equations splitting ... See more keywords
Forward and backward stochastic differential equations with normal constraints in law
Sign Up to like & getrecommendations! Published in 2020 at "Stochastic Processes and their Applications"
DOI: 10.1016/j.spa.2020.07.007
Abstract: Abstract In this paper we investigate the well-posedness of backward or forward stochastic differential equations whose law is constrained to live in an a priori given (smooth enough) set and which is reflected along the… read more here.
Keywords: law; stochastic differential; backward stochastic; differential equations ... See more keywords
Generalized mean-field backward stochastic differential equations and related partial differential equations
Sign Up to like & getrecommendations! Published in 2020 at "Applicable Analysis"
DOI: 10.1080/00036811.2020.1716970
Abstract: In this paper, we derive the existence and uniqueness of the solution for a new class of mean-field backward stochastic differential equations, which involves the integral with respect to a continu... read more here.
Keywords: mean field; stochastic differential; field backward; backward stochastic ... See more keywords
Stochastic grid bundling method for backward stochastic differential equations
Sign Up to like & getrecommendations! Published in 2019 at "International Journal of Computer Mathematics"
DOI: 10.1080/00207160.2019.1658868
Abstract: ABSTRACT In this work, we apply the Stochastic Grid Bundling Method (SGBM) to numerically solve backward stochastic differential equations (BSDEs). The SGBM algorithm is based on conditional expectations approximation by means of bundling of Monte… read more here.
Keywords: grid bundling; stochastic differential; backward stochastic; differential equations ... See more keywords
Solution to Delayed Forward and Backward Stochastic Difference Equations and Its Applications
Sign Up to like & getrecommendations! Published in 2021 at "IEEE Transactions on Automatic Control"
DOI: 10.1109/tac.2020.2996236
Abstract: In this article, we will study a class of forward and backward stochastic difference equations (discrete-time FBSDEs) with time delay. By establishing a nonhomogeneous relationship between the forward and backward stochastic processes, we give the… read more here.
Keywords: forward backward; time; difference equations; backward stochastic ... See more keywords
A Study on a New Class of Backward Stochastic Differential Equation
Sign Up to like & getrecommendations! Published in 2020 at "Mathematical Problems in Engineering"
DOI: 10.1155/2020/1518723
Abstract: The existence and uniqueness for a new type of backward stochastic differential equation when the generator includes the values of solutions of the past, the present, and the future are obtained in this paper. An… read more here.
Keywords: new class; differential equation; stochastic differential; backward stochastic ... See more keywords