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15 papers · 2 filters
On representation theorem of sublinear expectation related to G-Lévy process and paths of G-Lévy process
Liying Ren
In this paper, we are concerned with the representation of an important sublinear expectation under which framework a new stochastic process G-Lévy process has been introduced. We…
Regularity Properties of Viscosity Solutions of Integro-Partial Differential Equations of Hamilton-Jacobi-Bellman Type
Shuai Jing
We study the regularity properties of integro-partial differential equations of Hamilton-Jocobi-Bellman type with terminal condition, which can be interpreted through a stochastic…
On well-posedness of forward-backward SDEs-A unified approach
Jin Ma, Zhen Wu, Detao Zhang +1
In this paper, we study the well-posedness of the Forward-Backward Stochastic Differential Equations (FBSDE) in a general non-Markovian framework. The main purpose is to find a uni…
Mean-Field Backward Doubly Stochastic Differential Equations and Applications
Tianxiao Wang, Qingfeng Zhu, Yufeng Shi
Mean-field backward doubly stochastic differential equations (MF-BDSDEs, for short) are introduced and studied. The existence and uniqueness of solutions for MF-BDSDEs is establish…
BSDE, Path-dependent PDE and Nonlinear Feynman-Kac Formula
Shige Peng, Falei Wang
In this paper, we introduce a type of path-dependent quasilinear (parabolic) partial differential equations in which the (continuous) paths on an interval [0,t] becomes the basic v…
Numerical Solutions of Backward Stochastic Differential Equations: A Finite Transposition Method
Penghui Wang, Xu Zhang
In this note, we present a new numerical method for solving backward stochastic differential equations. Our method can be viewed as an analogue of the classical finite element meth…