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math.PR2026
Mild Solutions for Path-Dependent Parabolic PDEs with Neumann Boundary Conditions via Generalized BSDEs
Luca Di Persio, Matteo Garbelli, Adrian Zalinescu
We study a system of Forward-Backward Stochastic Differential Equations (FBSDEs) with time-delayed generators. The forward process includes a reflection component expressed via a S…
math.PR2022
Feynman-Kac formula for BSDEs with jumps and time delayed generators associated to path-dependent nonlinear Kolmogorov equations
Luca Di Persio, Matteo Garbelli, Adrian Zălinescu
We consider a system of Forward Backward Stochastic Differential Equations (FBSDEs), with time delayed generator and driven by Lèvy-type noise. We establish a non linear Feynman Ka…
math.PR2020
Time-Delayed Generalized BSDEs
Luca Di Persio, Matteo Garbelli, Lucian Maticiuc +1
We prove the existence and uniqueness of the solution of a BSDE with time-delayed generators in the small delay setting (or equivalently small Lipschitz constant), which employs th…