4 papers
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 $…
Reflected backward stochastic differential equations with rough drivers
Hanwu Li, Huilin Zhang, Kuan Zhang
In this paper, we investigate reflected backward stochastic differential equations driven by rough paths (rough RBSDEs), which can be viewed as probabilistic representations of non…