Backward Stochastic Differential Equations with no driving martingale, Markov processes and associated Pseudo Partial Differential Equations

In this chapter, we study in the non-markovian case a discrete time approximation scheme for the solution of a doubly reflected Backward Stochastic Differential Equation (DRBSDE

Relating to first international movers, we observed that coher- ence between a favorable pre-internationalization perfor- mance, measured from the aspiration-level performance

Concerning quasi- or semi-linear PDEs and some optimal control problems (see the example of American put options in Section 3.3), interpretations in terms of BSDEs provide

‫ﺍﻨﺘﻅﻤﺕ ﺍﻝﺨﻁﺔ ﻓﻲ ﻓﺼل ﺘﻤﻬﻴﺩﻱ ﻭﺜﻼﺙ ﻓﺼﻭل ﻭﺨﺎﺘﻤﺔ‪ .‬ﺘﻀﻤﻥ ﺍﻝﺘﻤﻬﻴﺩ ﺇﻁﺎﺭﺍ ﻋﺎﻤﺎ ﻋﻥ‬ ‫ﻤﻔﻬﻭﻡ ﺍﻝﻤﺸﺎﺭﻜﺔ ﺍﻝﺴﻴﺎﺴﻴﺔ ﻤﻥ ﺨﻼل ﺘﻌﺭﻴﻔﻬﺎ‪ ،‬ﻤﺴﺘﻭﻴﺎﺘﻬﺎ‪

As pointed out in the introduction, the connection between the BSDE (3,4) and the PDE (10) is well known for Markovian terminal conditions. The value of the unique solution y τ at

Nadira Bouchemella, Paul Raynaud de Fitte. Weak solutions of backward stochastic differential equations with continuous generator.. The solution is constructed on an

[9] Gozzi F., Marinelli C., Stochastic optimal control of delay equations arising in advertising models, Da Prato (ed.) et al., Stochastic partial differential equations

Key-words: Reflected backward stochastic differential equations with jumps,viscosity solution, partial integro-differential variational inequality, optimal stopping,