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7 papers · 2 filters
Martingale Decomposition and BSDE on Time Scales
Guofeng Tang
In this paper, we present martingale decomposition on time scales. We establish the related backward stochastic dynamic equations on time scales (this paper BSE for short,…
Derivative over Wasserstein spaces along curves of densities
Rainer Buckdahn, Juan Li, Hao Liang
In this paper, given any random variable defined over a probability space , we focus on the study of the derivative of functions of the form $L\mapsto F_Q(L)…
Time fractional stochastic differential equations driven by pure jump Lévy noise
Peixue Wu, Zhiwei Yang, Hong Wang +1
In this paper we introduce a variable order time fractional differential equation driven by pure jump Lévy noise, which models the motion of a particle exhibiting memory effect. We…
Reflected Backward Stochastic Differential Equation with Rank-based Data
Zhen-Qing Chen, Xinwei Feng
In this paper, we study reflected backward stochastic differential equation (reflected BSDE in abbreviation) with rank-based data in a Markovian framework; that is, the solution to…
On collision of multiple eigenvalues for matrix-valued Gaussian processes
Jian Song, Yimin Xiao, Wangjun Yuan
For real symmetric and complex Hermitian Gaussian processes whose values are matrices, we characterize the conditions under which the probability that at least eige…
Explicit solutions for a class of nonlinear backward stochastic differential equations and their nodal sets
Zengjing Chen, Shuhui Liu, Zhongmin Qian +1
In this paper, we investigate a class of nonlinear backward stochastic differential equations (BSDEs) arising from financial economics, and give specific information about the noda…