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In this paper, we prove the existence and uniqueness result of the reflected BSDE with two continuous barriers under monotonicity and general increasing condition on $y$, with Lipschitz condition on $z$.
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
In this paper, we study the doubly reflected backward stochastic differential equations driven by G-Brownian motion. We show that the solution can be constructed by a family of penalized reflected G-BSDEs with a lower obstacle. The advantage of this
Forward-backward stochastic differential equations (FBSDEs) have attracted significant attention since they were introduced almost 30 years ago, due to their wide range of applications, from solving non-linear PDEs to pricing American-type options. H
We consider a class of Backward Stochastic Differential Equations with superlinear driver process $f$ adapted to a filtration supporting at least a $d$ dimensional Brownian motion and a Poisson random measure on ${mathbb R}^m- {0}.$ We consider the f
The theory of one-dimensional stochastic differential equations driven by Brownian motion is classical and has been largely understood for several decades. For stochastic differential equations with jumps the picture is still incomplete, and even som