4 papers
Conditional Expectation Backward Stochastic Differential Equations and Related Backward Stochastic Differential Equations with Conditional Reflection
Hanwu Li
In this paper, we introduce a new type of backward stochastic differential equations (BSDEs), called conditional expectation BSDEs, whose drivers depend not only on the value of th…
Conditional Reflected Backward Stochastic Differential Equations with Two Barriers
Hanwu Li
In this paper, we study the doubly conditional reflected backward stochastic differential equations (BSDEs), where constraints are made on the conditional expectation of the first…
Backward Stochastic Differential Equations with Nonlinear Expectation Reflection
Hanwu Li
In this paper, we study a kind of constrained backward stochastic differential equations (BSDEs) such that the nonlinear expectation of the composition of a loss function and the s…
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…