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Showing 2005 · math.PRShow all
3 papers · 2 filters
math.PR2005★ 15 cited
Representation of solutions to BSDEs associated with a degenerate FSDE
Jianfeng Zhang
In this paper we investigate a class of decoupled forward-backward SDEs, where the volatility of the FSDE is degenerate and the terminal value of the BSDE is a discontinuous functi…
math.PR2005★ 53 cited
Wiener chaos solutions of linear stochastic evolution equations
S. V. Lototsky, B. L. Rozovskii
A new method is described for constructing a generalized solution of a stochastic evolution equation. Existence, uniqueness, regularity and a probabilistic representation of this W…
math.PR2005★ 24 cited
Normal approximation for hierarchical structures
Larry Goldstein
Given F:[a,b]^k\to [a,b] and a nonconstant X_0 with P(X_0\in [a,b])=1, define the hierarchical sequence of random variables {X_n}_{n\ge 0} by X_{n+1}=F(X_{n,1},...,X_{n,k}), where…