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5 papers · 2 filters
Infinite horizon jump-diffusion forward-backward stochastic differential equations and their application to backward linear-quadratic problems
Zhiyong Yu
In this paper, we investigate infinite horizon jump-diffusion forward-backward stochastic differential equations under some monotonicity conditions. We establish an existence and u…
Mean-field backward stochastic differential equations driven by fractional Brownian motion
Jiaqiang Wen, Yufeng Shi
In this paper, we focus on the mean-field backward stochastic differential equations (BSDEs) driven by a fractional Brownian motion with Hurst parameter H greater then 1/2. First,…
Stochastic optimal control problem with infinite horizon driven by G-Brownian motion
Mingshang Hu, Falei Wang
The present paper considers a stochastic optimal control problem, in which the cost function is defined through a backward stochastic differential equation with infinite horizon dr…
A generalized Neyman-Pearson lemma for sublinear expectations
Chuanfeng Sun, Shaolin Ji
In this paper, the Neyman-Pearson lemma for general sublinear expectations is studied. We weaken the assumptions for sublinear expectations in [1] and give a completely new method…
Anticipative backward stochastic differential equations driven by fractional Brownian motion
Jiaqiang Wen, Yufeng Shi
We study the anticipative backward stochastic differential equations (BSDEs, for short) driven by fractional Brownian motion with Hurst parameter H greater than 1/2. The stochastic…