Backward stochastic differential equation BSDE
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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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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Numerical approximation of Backward Stochastic Differential Equations with Jumps
... 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, ...discrete ...
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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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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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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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Obliquely Reflected Backward Stochastic Differential Equations
... 3 Existence and uniqueness in a regular setting In this section, we obtain an existence and uniqueness result in a non Markovian setting, working under assumption (SB) and considering terminal condition in the class T β ...
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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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Backward Stochastic Differential Equations with no driving martingale, Markov processes and associated Pseudo Partial Differential Equations
... of BSDE including a term with jumps generated by a Poisson measure, where an underlying forward process X solves a jump diffusion equation with Lipschitz type ...Differential Equation (in short IPDE) ...
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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 ...of BSDE with nonposi- tive ...the ...
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Backward Stochastic Differential Equations on Manifolds
... using differential ge- ometry tools, in particular by Arnaudon ([1]), Darling ([6]), Emery([10]), Kendall ([15]), Picard ([27] and [28]) or Thalmaier ([32] and [31]); note also the results of Estrade and Pontier ...
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Strong existence and uniqueness for stochastic differential equation with Hölder drift and degenerate noise
... [13] H. Kunita. Stochastic differential equation and stochastic flows of diffeomorphisms. Springer-Verlag, 1982. [14] S. Menozzi. Parametrix techniques and martingale problems for some ...
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Partial Differential Equation and Noise
... (NLS) equation and the Korteweg - de Vries (KdV) ...Schrödinger equation is the modelling of the propagation of short light pulses in optical fibers, and the Korteweg - de Vries equation is used for ...
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Recursive computation of the invariant measure of a stochastic differential equation driven by a Lévy process
... 1. Introduction. 1.1. Objectives and motivations. This paper is devoted to the computa- tion of the invariant measure (denoted by ν) of ergodic stochastic processes which obey a stochastic ...
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Partial differential equation models in macroeconomics
... One approach to obtaining more tractable formulations of models with aggregate shocks has been to simplify the heterogeneity at the individual level. For example, Brunner- meier and Sannikov (2014), He and Krishnamurthy ...
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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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Day-ahead probabilistic forecast of solar irradiance: a Stochastic Differential Equation approach
... 4 Conclusion We have designed a stochastic differential equation that models the solar irradiance for a given day D. This gives rise to a probabilistic forecast. The parameters of the model change ...
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BSDE formulation of combined regular and singular stochastic control problems
... continuous-time stochastic control problems involving two different controls: a regular control affecting the state variable in an absolutely continuous way, and a singular control resulting in a cumulative impact ...
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Conditional Monte Carlo Learning for Diffusions I: main methodology and application to backward stochastic differential equations
... October 6, 2020 Abstract We present a new algorithm based on a One-layered Nested Monte Carlo (1NMC) to simulate functionals U of a Markov process X. The main originality of the proposed methodology comes from the fact ...
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Stochastic Homogenization of Reflected Stochastic Differential Equations
... Those stochastic processes are involved in the probabilistic representation of second order partial differential equations in half-space with Neumann boundary conditions (see [17] for an insight of the ...
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