1 citations · 1 across the 3 of their papers we have counts for
3 papers
math.PR2015★ 1 cited
Reflected backward stochastic differential equations with jumps in time-dependent random convex domains
Imade Fakhouri, Youssef Ouknine, Yong Ren
In this paper, we study a class of multi-dimensional reflected backward stochastic differential equations when the noise is driven by a Brownian motion and an independent Poisson p…
math.PR2015
Mean-field backward stochastic differential equations on Markov chains
Wen Lu, Yong Ren
In this paper, we deal with a class of mean-field backward stochastic differential equations (BSDEs) related to finite state, continuous time Markov chains. We obtain the existence…
math.PR2014
Non-smooth analysis method in optimal investment- a BSDE approach
Helin Wu, Yong Ren
In this paper, our aim is to investigate necessary conditions for optimal investment. We model the wealth process by Backward differential stochastic equations (shortly for BSDE) w…