4 papers
Stochastic Gronwall's inequality in random time horizon and its application to BSDE
Hun O, Mun-Chol Kim, Chol-Gyu Pak
In this paper, we introduce and prove a stochastic Gronwall's inequality in (unbounded) random time horizon. As an application, we prove a comparison theorem for backward stochasti…
Uniqueness, Comparison and Stability for Scalar BSDEs with {Lexp(μsqrt(2log(1+L)))}-integrable terminal values and monotonic generators
Hun O, Mun-Chol Kim, Chol-Gyu Pak
This paper considers a class of scalar backward stochastic differential equations (BSDEs) with -integrable terminal values. We associate these BSDEs with…
A Framework of BSDEs with Stochastic Lipschtz Coefficients through Time Change
Hun O, Mun-chol Kim, Chol-kyu Pak
In this paper, we suggest a useful technique based on time change to be effective for dealing with the backward stochastic differential equations. We show the relation between the…
Existence of smooth solutions of multi-term Caputo-type fractional differential equations
Chung-Sik Sin, Shusen Cheng, Gang-Il Ri +1
This paper deals with the initial value problem for the multi-term fractional differential equation. The fractional derivative is defined in the Caputo sense. Firstly the initial v…