1
|
Luo P. Reflected BSDEs with time-delayed generators and nonlinear resistance. Stat Probab Lett 2020. [DOI: 10.1016/j.spl.2020.108765] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Submit a Manuscript] [Subscribe] [Scholar Register] [Indexed: 10/24/2022]
|
2
|
Karouf M. Reflected and Doubly Reflected Backward Stochastic Differential Equations with Time-Delayed Generators. J THEOR PROBAB 2018. [DOI: 10.1007/s10959-018-0829-x] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/25/2022]
|
3
|
Tuo N, Coulibaly H, Aman A. Reflected backward stochastic differential equations with time-delayed generators. RANDOM OPERATORS AND STOCHASTIC EQUATIONS 2018. [DOI: 10.1515/rose-2018-0002] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Abstract] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/15/2022]
Abstract
AbstractThis paper is devoted to establish an existence and uniqueness result of one-dimensional reflected backward stochastic differential equations with time-delayed generators (RBSDEs with time-delayed generators, in short). Our proof is based on approximation via a penalization method.
Collapse
|
4
|
Lionnet A, dos Reis G, Szpruch L. Time discretization of FBSDE with polynomial growth drivers and reaction–diffusion PDEs. ANN APPL PROBAB 2015. [DOI: 10.1214/14-aap1056] [Citation(s) in RCA: 14] [Impact Index Per Article: 1.6] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/19/2022]
|
5
|
Casserini M, Liang G. Fully coupled forward–backward stochastic dynamics and functional differential systems. STOCH DYNAM 2015. [DOI: 10.1142/s0219493715500069] [Citation(s) in RCA: 1] [Impact Index Per Article: 0.1] [Reference Citation Analysis] [Abstract] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/18/2022]
Abstract
This paper introduces and solves a general class of fully coupled forward–backward stochastic dynamics by investigating the associated system of functional differential equations. As a consequence, we are able to solve many different types of forward–backward stochastic differential equations (FBSDEs) that do not fit in the classical setting. In our approach, the equations are running in the same time direction rather than in a forward and backward way, and the conflicting nature of the structure of FBSDEs is therefore avoided.
Collapse
Affiliation(s)
| | - Gechun Liang
- Department of Mathematics, King's College London, UK
- Oxford-Man Institute, University of Oxford, UK
| |
Collapse
|
6
|
|
7
|
Delong Ł. BSDEs with Time-Delayed Generators of a Moving Average Type with Applications to Non-Monotone Preferences. STOCH MODELS 2012. [DOI: 10.1080/15326349.2012.672281] [Citation(s) in RCA: 3] [Impact Index Per Article: 0.3] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Submit a Manuscript] [Subscribe] [Scholar Register] [Indexed: 10/28/2022]
|