Subscribe to the gold package and get unlimited access to Shamra Academy
Register a new userReflected Backward Stochastic Differential Equations Driven by L{e}vy Process
220
0
0.0
(
0
)
Ask ChatGPT about the research
No Arabic abstract
In this paper, we deal with a class of reflected backward stochastic differential equations associated to the subdifferential operator of a lower semi-continuous convex function driven by Teugels martingales associated with L{e}vy process. We obtain the existence and uniqueness of solutions to these equations by means of the penalization method. As its application, we give a probabilistic interpretation for the solutions of a class of partial differential-integral inclusions.
rate research
Read More
This paper is concerned with the switching game of a one-dimensional backward stochastic differential equation (BSDE). The associated Bellman-Isaacs equation is a system of matrix-valued BSDEs living in a special unbounded convex domain with reflection on the boundary along an oblique direction. In this paper, we show the existence of an adapted solution to this system of BSDEs with oblique reflection by the penalization method, the monotone convergence, and the a priori estimates.
In this paper, we study the reflected backward stochastic differential equations driven by G-Brownian motion with two reflecting obstacles, which means that the solution lies between two prescribed processes. A new kind of approximate Skorohod condition is proposed to derive the uniqueness and existence of the solutions. The uniqueness can be proved by a priori estimates and the existence is obtained via a penalization method.
In this paper we discuss new types of differential equations which we call anticipated backward stochastic differential equations (anticipated BSDEs). In these equations the generator includes not only the values of solutions of the present but also the future. We show that these anticipated BSDEs have unique solutions, a comparison theorem for their solutions, and a duality between them and stochastic differential delay equations.
We propose to study a new type of Backward stochastic differential equations driven by a family of It^os processes. We prove existence and uniqueness of the solution, and investigate stability and comparison theorem.
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 method and reflected method. At last simulation results are also presented.
Log in to be able to interact and post comments
comments
Fetching comments
Sign in to be able to follow your search criteria
