BSDEs with mean reflection
In this paper, we study a new type of BSDE, where the distribution of the Y-component of the
solution is required to satisfy an additional constraint, written in terms of the expectation of a …
solution is required to satisfy an additional constraint, written in terms of the expectation of a …
Principal-agent problem with multiple principals
We consider a moral hazard problem with multiple principals in a continuous-time model.
The agent can only work exclusively for one principal at a given time, so faces an optimal …
The agent can only work exclusively for one principal at a given time, so faces an optimal …
Viscosity solutions of systems of PDEs with interconnected obstacles and switching problem
S Hamadene, MA Morlais - Applied Mathematics & Optimization, 2013 - Springer
This paper deals with existence and uniqueness of a solution in viscosity sense, for a system
of m variational partial differential inequalities with inter-connected obstacles. A particular …
of m variational partial differential inequalities with inter-connected obstacles. A particular …
Derivatives pricing via machine learning
In this paper, we combine the theory of stochastic process and techniques of machine
learning with the regression analysis, first proposed by Longstaff and Schwartz 2001 and …
learning with the regression analysis, first proposed by Longstaff and Schwartz 2001 and …
Multi-dimensional BSDEs with mean reflection
B Qu, F Wang - Electronic Journal of Probability, 2023 - projecteuclid.org
In this paper, we consider multi-dimensional mean reflected backward stochastic differential
equations (BSDEs) with possibly non-convex reflection domains along inward normal …
equations (BSDEs) with possibly non-convex reflection domains along inward normal …
Quadratic BSDEs with mean reflection
H Hibon, Y Hu, Y Lin, P Luo, F Wang - ar**/links/54c3d7c70cf219bbe4ec6eac/A-BSDE-Approach-to-Non-Zero-Sum-Stochastic-Differential-Games-of-Control-and-Stop**.pdf" data-clk="hl=ru&sa=T&oi=gga&ct=gga&cd=6&d=1147970058736854308&ei=eMOnZ7q0MtO96rQPzr6WwQQ" data-clk-atid="JGXLq69o7g8J" target="_blank">[PDF] researchgate.net
BSDE approach to non-zero-sum stochastic differential games of control and stop**
I Karatzas, Q Li - Stochastic Processes, Finance and Control: A …, 2012 - World Scientific
This chapter studies two non-zero-sum stochastic differential games of control and stop**.
One game has interaction in the players' stop** rules, whereas the other does not …
One game has interaction in the players' stop** rules, whereas the other does not …
BSDE representations for optimal switching problems with controlled volatility
R Elie, I Kharroubi - Stochastics and Dynamics, 2014 - World Scientific
This paper provides two different strong BSDE representations for optimal switching
problems in the case where the dynamics of the underlying diffusion process depends on …
problems in the case where the dynamics of the underlying diffusion process depends on …
[HTML][HTML] Backward doubly SDEs and semilinear stochastic PDEs in a convex domain
This paper presents existence and uniqueness results for reflected backward doubly
stochastic differential equations (in short RBDSDEs) in a convex domain D without any …
stochastic differential equations (in short RBDSDEs) in a convex domain D without any …
Rate of convergence for the discrete-time approximation of reflected BSDEs arising in switching problems
JF Chassagneux, A Richou - Stochastic Processes and their Applications, 2019 - Elsevier
In this paper, we prove new convergence results improving the ones by Chassagneux et
al.(2012) for the discrete-time approximation of multidimensional obliquely reflected BSDEs …
al.(2012) for the discrete-time approximation of multidimensional obliquely reflected BSDEs …