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math.NA2019
A Numerical Scheme For High-dimensional Backward Stochastic Differential Equation Based On Modified Multi-level Picard Iteration
Chol-Kyu Pak, Mun-Chol Kim, Hun O
In this paper, we propose a new kind of numerical scheme for high-dimensional backward stochastic differential equations based on modified multi-level Picard iteration. The propose…
math.PR2019
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…
math.PR2019
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…