4 papers · 1 filter
Rough backward stochastic differential equations
Peter K. Friz, Jian Song, Huilin Zhang +1
We develop an intrinsic well-posedness theory for nonlinear backward stochastic differential equations (BSDEs) driven simultaneously by Brownian motion and a (level-) rough path…
Backward stochastic differential equations with nonlinear Young drivers II
Jian Song, Huilin Zhang, Kuan Zhang
This paper continues our previous work (Part I, arXiv:2504.18632v3) on the well-posedness of backward stochastic differential equations (BSDEs) involving a nonlinear Young integral…
Backward stochastic differential equations with nonlinear Young drivers I
Jian Song, Huilin Zhang, Kuan Zhang
This paper (alongside its companion, Part II \cite{BSDEYoung-II}) investigates backward stochastic differential equations (BSDEs) involving a nonlinear Young integral of the form $…
On a pinning model in correlated Gaussian random environments
Zi'an Li, Jian Song, Ran Wei +1
We consider a pinning model in correlated Gaussian random environments. For the model that is disorder relevant, we study its intermediate disorder regime and show that the rescale…