排序方式: 共有38条查询结果,搜索用时 31 毫秒
1.
Mohamed El Otmani 《Journal of Theoretical Probability》2009,22(3):601-619
In this paper, we study the reflected solution of one-dimensional backward stochastic differential equation driven by Teugels
martingales and an independent Brownian motion. We prove the existence and uniqueness of the solution using a penalization
method combined with Snell envelope theory.
相似文献
2.
Long JIANG 《数学年刊B辑(英文版)》2006,27(5):553-564
Abstract
Under the Lipschitz assumption and square integrable assumption on g, the author proves that Jensen’s inequality holds for backward stochastic differential equations with generator g if and only if g is independent of y, g(t, 0) ≡ 0 and g is super homogeneous with respect to z. This result generalizes the known results on Jensen’s inequality for g- expectation in [4, 7–9].
*Project supported by the National Natural Science Foundation of China (No.10325101) and the Science Foundation of China University
of Mining and Technology. 相似文献
3.
Huijie Qiao 《Journal of Mathematical Analysis and Applications》2009,355(2):725-738
In this paper we study a class of infinite horizon backward stochastic differential equations (BSDEs) of the form
4.
Cohen and Elliott (2010) introduced the backward stochastic difference equations (BSDEs) on spaces related to discrete time, finite state processes. Motivated by obtaining the explicit solution of a linear BSDE under their framework, we develop a new type of Girsanov transformation in this paper. 相似文献
5.
In this paper, we obtain that a convex g evaluation can be dominated by the corresponding Choquet evaluation if and only if g has the form g(t, y, z) = μ t y + h(t, z), where h(t, z) is positively homogeneous and subadditive with respect to z. 相似文献
6.
El Hassan Essaky 《随机分析与应用》2013,31(2):277-301
Abstract We study the limit of the solutions of systems of semi-linear partial differential equations (PDEs) of second order of parabolic type, with rapidly oscillating periodic coefficients, a singular drift, and singular coefficients of the zero and second order terms. Our basic tool is the approach given by Pardoux [14]. In particular, we use the weak convergence of an associated backward stochastic differential equation (BSDE). 相似文献
7.
This article proposes a new approximation scheme for quadratic-growth BSDEs in a Markovian setting by connecting a series of semi-analytic asymptotic expansions applied to short-time intervals. Although there remains a condition which needs to be checked a posteriori, one can avoid altogether time-consuming Monte Carlo simulation and other numerical integrations for estimating conditional expectations at each space–time node. Numerical examples of quadratic-growth as well as Lipschitz BSDEs suggest that the scheme works well even for large quadratic coefficients, and a fortiori for large Lipschitz constants. 相似文献
8.
Mohamed El Otmani 《随机分析与应用》2013,31(1):60-83
Abstract In this work, we interest to the simulation of solution for the BSDEs with two reflecting barriers. Specially, we present some properties of the solution, give a representation theorem and suggest a backward discretization scheme. After, we study the L 2 induced error. 相似文献
9.
《随机分析与应用》2013,31(4):939-970
Abstract We study the existence and uniqueness of Reflected Backward Stochastic Differential Equation (RBSDE for short) with both monotone and locally monotone coefficient and squared integrable terminal data. This is done with a polynomial growth condition on the coefficient. An application to the homogenization of multivalued Partial Differential Equations (PDEs for short) is given. 相似文献
10.
The converse comparison theorem has received much attention in the theory of backward stochastic differential equations (BSDEs). However, no such theorem has been proved for anticipated BSDEs. In this paper, we derive a converse comparison theorem by first giving an existence and uniqueness theorem for adapted solutions of anticipated BSDEs with a stopping time and then related to (f,δ)-expectations induced by anticipated BSDEs. 相似文献