共查询到20条相似文献,搜索用时 62 毫秒
1.
Tomasz Klimsiak 《Stochastic Processes and their Applications》2012,122(1):134-169
We consider the Cauchy problem for a semilinear parabolic equation in divergence form with obstacle. We show that under natural conditions on the right-hand side of the equation and mild conditions on the obstacle, the problem has a unique solution and we provide its stochastic representation in terms of reflected backward stochastic differential equations. We also prove regularity properties and approximation results for solutions of the problem. 相似文献
2.
In this paper, we study the reflected solutions of one-dimensional backward stochastic differential equations driven by G-Brownian motion. The reflection keeps the solution above a given stochastic process. In order to derive the uniqueness of reflected G-BSDEs, we apply a "martingale condition" instead of the Skorohod condition. Similar to the classical case, we prove the existence by approximation via penalization. We then give some applications including a generalized Feynman-Kac formula of an obstacle problem for fully nonlinear partial differential equation and option pricing of American types under volatility uncertainty. 相似文献
3.
We use convex risk measures to assess unhedged risks for American-style contingent claims in a continuous-time non-Markovian economy using reflected backward stochastic differential equations (RBSDEs). A two-stage approach is adopted to evaluate the risk. We formulate the evaluation problem as an optimal stopping-control problem and discuss the problem using reflected BSDEs. The convex risk measures are represented as solutions of RBSDEs. In the Markov case, we relate the RBSDE solutions to the unique viscosity solutions of related obstacle problems for parabolic partial differential equations. 相似文献
4.
In this article, we study a type of coupled reflected forward–backward stochastic differential equations (reflected FBSDEs, for short) with continuous coefficients, including the existence and the uniqueness of the solution of our reflected FBSDEs as well as the comparison theorem. We prove that the solution of our reflected FBSDEs gives a probabilistic interpretation for the viscosity solution of an obstacle problem for a quasilinear parabolic partial differential equation. 相似文献
5.
??In this paper, we prove the existence and uniqueness of solutions
for reflected backward stochastic differential equations driven by a
Levy process, in which the reflecting barriers are just right
continuous with left limits whose jumps are arbitrary. To derive the
above results, the monotonic limit theorem of Backward SDE
associated with Levy process is established. 相似文献
6.
本文研究一类带Poisson跳的倒向随机微分方程。在方程的系数满足非增长条件和非Lipschitz条件下,讨论方程适应解的存在唯一性和稳定性。为了证明解的存在性,首先通过函数变换,构造出一逼近序列,然后运用推广的Bihari不等式和Lebesgue控制收敛定理证明该逼近序列是收敛的,得到逼近序列的极限就是方程的适应解。解的唯一性和稳定性主要运用了Bihari不等式和推广的Bihari不等式来进行证明。 相似文献
7.
The Link between Stochastic Differential Equations with Non-Markovian Coefficients and Backward Stochastic Partial Differential Equations
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In this paper, we conjecture and prove the link between stochastic differential equations with non-Markovian coefficients and nonlinear parabolic backward stochastic partial differential equations, which is an extension of such kind of link in Markovian framework to non-Markovian framework.Different from Markovian framework, where the corresponding partial differential equation is deterministic, the backward stochastic partial differential equation here has a pair of adapted solutions, and thus the link has a much different form. Moreover, two examples are given to demonstrate the applications of the derived link. 相似文献
8.
In this paper we study the one-dimensional reflected backward stochastic differential equations which are driven by Brownian motion as well as a mutually independent martingale appearing in a defaultable setting. Using a penalization method, we prove the existence and uniqueness of the solutions to these equations. As an application, we show that under proper assumptions the solution of the reflected equation is the value of the related mixed optimal stopping-control problem. 相似文献
9.
Zongyuan Huang Jean-Pierre Lepeltier Zhen Wu 《Statistics & probability letters》2010,80(21-22):1569-1576
In this work, we prove that there exists at least one solution for the reflected forward–backward stochastic differential equations satisfying the obstacle constraint with continuous monotone coefficients. The distinct character of our result is that the coefficient of the forward SDEs contains the solution variable of the reflected BSDEs. 相似文献
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12.
This work deals with backward stochastic differential equations (BSDEs for short) with random marked jumps, and their applications to default risk. We show that these BSDEs are linked with Brownian BSDEs through the decomposition of processes with respect to the progressive enlargement of filtrations. We prove that the equations have solutions if the associated Brownian BSDEs have solutions. We also provide a uniqueness theorem for BSDEs with jumps by giving a comparison theorem based on the comparison for Brownian BSDEs. We give in particular some results for quadratic BSDEs. As applications, we study the pricing and the hedging of a European option in a market with a single jump, and the utility maximization problem in an incomplete market with a finite number of jumps. 相似文献
13.
Andrzej Rozkosz 《Central European Journal of Mathematics》2013,11(11):1994-2004
We consider the Cauchy problem for an infinite-dimensional Ornstein-Uhlenbeck equation perturbed by gradient of a potential. We prove some results on existence and uniqueness of mild solutions of the problem. We also provide stochastic representation of mild solutions in terms of linear backward stochastic differential equations determined by the Ornstein-Uhlenbeck operator and the potential. 相似文献
14.
Auguste Aman 《Journal of Theoretical Probability》2012,25(4):1153-1172
In this paper, we study reflected generalized backward doubly stochastic differential equations driven by Teugels martingales associated with Lévy process (RGBDSDELs in short) with one continuous barrier. Under uniformly Lipschitz coefficients, we prove an existence and uniqueness result by means of the penalization method and the fixed-point theorem. As an application, this study allows us to give a probabilistic representation for the solutions to a class of reflected stochastic partial differential integral equations (SPDIEs in short) with a nonlinear Neumann boundary condition. 相似文献
15.
In this article, we study the multi-dimensional reflected backward stochastic differential equations. The existence and uniqueness result of the solution for this kind of equation is proved by the fixed point argument where every element of the solution is forced to stay above the given stochastic process, i.e., multi-dimensional obstacle, respectively. We also give a kind of multi-dimensional comparison theorem for the reflected BSDE and then use it as the tool to prove an existence result for the multi-dimensional reflected BSDE where the coefficient is continuous and has linear growth. 相似文献
16.
《Stochastic Processes and their Applications》2020,130(12):7021-7097
In this paper we investigate the well-posedness of backward or forward stochastic differential equations whose law is constrained to live in an a priori given (smooth enough) set and which is reflected along the corresponding “normal” vector. We also study the associated interacting particle system reflected in mean field and asymptotically described by such equations. The case of particles submitted to a common noise as well as the asymptotic system is studied in the forward case. Eventually, we connect the forward and backward stochastic differential equations with normal constraints in law with partial differential equations stated on the Wasserstein space and involving a Neumann condition in the forward case and an obstacle in the backward one. 相似文献
17.
In this article, we study the multi-dimensional reflected backward stochastic differential equations. The existence and uniqueness result of the solution for this kind of equation is proved by the fixed point argument where every element of the solution is forced to stay above the given stochastic process, i.e., multi-dimensional obstacle, respectively. We also give a kind of multi-dimensional comparison theorem for the reflected BSDE and then use it as the tool to prove an existence result for the multi-dimensional reflected BSDE where the coefficient is continuous and has linear growth. 相似文献
18.
Mathematical mean-field approaches have been used in many fields, not only in Physics and Chemistry, but also recently in Finance, Economics, and Game Theory. In this paper we will study a new special mean-field problem in a purely probabilistic method, to characterize its limit which is the solution of mean-field backward stochastic differential equations (BSDEs) with reflections. On the other hand, we will prove that this type of reflected mean-field BSDEs can also be obtained as the limit equation of the mean-field BSDEs by penalization method. Finally, we give the probabilistic interpretation of the nonlinear and nonlocal partial differential equations with the obstacles by the solutions of reflected mean-field BSDEs. 相似文献
19.
In this paper, we derive the existence and uniqueness of the solution for a class of generalized reflected backward stochastic differential equations (GRBSDEs in short) driven by a Lévy process, which involve the integral with respect to a continuous process by means of the Snell envelope, the penalization method and the fixed point theorem. In addition, we obtain the comparison theorem for the solutions of the GRBSDEs. As an application, we give a probabilistic formula for the viscosity solution of an obstacle problem for a class of partial differential-integral equations (PDIEs in short) with a nonlinear Neumann boundary condition. 相似文献