Backward stochastic differential equation
Switching Game of Backward Stochastic Differential Equations and Associated System of Obliquely Reflected Backward Stochastic Differential Equations
... one-dimensional backward stochastic differential equation ...Bellman-Isaacs equation is a system of matrix-valued BSDEs living in a special unbounded convex domain with reflection on ...
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Singular Forward-Backward Stochastic Differential Equations and Emissions Derivatives
... forward stochastic differential equation (SDE) for the aggregate emissions in the economy, and a backward stochastic differential equation (BSDE) for the allowance ...
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Forward and Backward Stochastic Differential Equations with normal constraint in law
... or backward) Stochastic Differential Equations (SDE) in the case where the constraint is on the law of the solution rather than on its ...their backward form in [4] in the scalar case and when ...
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A cubature based algorithm to solve decoupled McKean-Vlasov Forward Backward Stochastic Differential Equations
... factor stochastic volatility models [ Ber09 ] or uncertain volatility models [ GHL11 ]; in economics, in the theory of “mean field games” recently developed by ...which equation ( ...
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Numerical approximation of Backward Stochastic Differential Equations with Jumps
... Recently, jump-constrained BSDE has attracted some interested in relation with quasivari- ational inequality with a representation which suggest numerical scheme based on penalized BSDE [15, 5]. In the present work we ...
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Backward stochastic differential equations and stochastic control and applications to mathematical finance
... by stochastic control problem where control can affect both drift and diffusion terms of the state process, generated important recent ...the equation P α ...
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Backward Stochastic Differential Equations with no driving martingale, Markov processes and associated Pseudo Partial Differential Equations
... (s,x)∈[0,T ]×E corresponds to the laws (for different starting times s and starting points x) of an underlying forward Markov process with time index [0, T ], taking values in a Polish state space E. Indeed this Markov ...
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Some contributions to stochastic control and backward stochastic differential equations in finance.
... Black-Scholes-Barrenblat equation which is fully ...order stochastic target problem whose solution solves a 2BSDE and prove existence and uniqueness for general 2BSDEs in [86] with an undominated family of ...
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Forward-Backward Stochastic Differential Equations and Controlled McKean Vlasov Dynamics
... adjoint equation is not provided by standard results on Backward Stochastic Differential Equa- tions (BSDEs) as the distributions of the solution processes (more precisely their joint ...
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Backward Itô-Ventzell and stochastic interpolation formulae
... to stochastic diffusion flows in matrix ...Riccati differential equation and the random perturbations are described by matrix-valued diffusion ...These stochastic interpolation formulae were ...
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Stochastic differential equations : strong well-posedness of singular and degenerate equations; numerical analysis of decoupled forward backward systems of McKean-Vlasov type
... factor stochastic volati- lity models [ Ber09 ] or uncertain volatility models [ GHL11 ] ; in economics, in the theory of “mean field games” recently developed by ...which equation ( ...
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Backward Stochastic Differential Equations on Manifolds
... it is supposed to point outward on the boundary of the set on which we work. We give in Subsection 1.4 the main result (Theorem 1.4.1) which sums up the results obtained. In Section 5, we extend the results to random ...
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Obliquely Reflected Backward Stochastic Differential Equations
... Our goal in this paper is thus to prove existence and uniqueness for the RBSDEs (1.1) for generic H and convex domain D without imposing any structural dependence condition on the driver f of the equation. In this ...
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A regression Monte-Carlo method for Backward Doubly Stochastic Differential Equations
... [11], backward stochastic dif- ferential equations (BSDEs) have been intensively studied during the two last ...finance, stochastic control, partial differential equations; see ...of ...
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Mean Field Forward-Backward Stochastic Differential Equations
... adjoint equation which now involves differentiation of the Hamiltonian with respect to the measure ...adjoint equation was introduced, and a new stochastic maximum principle was proven in ...adjoint ...
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On the discretization of backward doubly stochastic differential equations
... [PP92], backward stochastic differential equations (BSDEs) have been intensively studied during the two last ...finance, stochastic control, partial differential equations; see ...of ...
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MODEL UNCERTAINTY IN FINANCE AND SECOND ORDER BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS
... by stochastic optimal control in the seminal paper [ 81 ...programming equation, they found the price of an unbounded credit derivatives as a solution of a quadratic BSDE with ...
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Drawing Solution Curve of Differential Equation
... The differential equation, considered as a dynamical system, is de- scribed by its state equations and its initial value at time t 0 . A generic expression of its generating series G t truncated at any ...
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Image Denoising using Stochastic Differential Equations
... Unité de recherche INRIA Sophia Antipolis 2004, route des Lucioles - BP 93 - 06902 Sophia Antipolis Cedex France Unité de recherche INRIA Futurs : Parc Club Orsay Université - ZAC des Vi[r] ...
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Partial differential equation models in macroeconomics
... Another interesting extension could be the addition of noise in the form of a geometric Brownian motion to (27) along the lines of equation (20). 4.4 Information Percolation in Finance A related class of models ...
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