8 citations · 28 across the 23 of their papers we have counts for
6 papers · 1 filter
solutions of non-reflected BSDEs and reflected BSDEs with one and two continuous barriers under general assumptions
ShengJun Fan
We establish several existence, uniqueness and comparison results for solutions of non-reflected BSDEs and reflected BSDEs with one and two continuous barriers under the assu…
Existence, uniqueness and stability of solutions for multidimensional BSDEs with generators of one-sided Osgood type
ShengJun Fan
We establish a general existence and uniqueness result of solution for a multidimensional backward stochastic differential equation (BSDE for short) with generator satisf…
solutions to one-dimensional BSDEs with sublinear growth generators in
ShengJun Fan
This paper aims at solving a one-dimensional backward stochastic differential equation (BSDE for short) with only integrable parameters. We first establish the existence of a minim…
A representation theorem for generators of BSDEs with general growth generators in and its applications
Lishun Xiao, Shengjun Fan
In this paper we first prove a general representation theorem for generators of backward stochastic differential equations (BSDEs for short) by utilizing a localization method invo…
solutions of doubly reflected BSDEs under general assumptions
Shengjun Fan, Qianyun Qian
Under a generalized Mokobodzki condition for reflected BSDEs with two continuous barriers which relates the growth of the generator and that of the barriers, we establish sever…
Probabilistic interpretation of HJB equations by the representation theorem for generators of BSDEs
Lishun Xiao, Shengjun Fan, Dejian Tian
The purpose of this note is to propose a new approach for the probabilistic interpretation of Hamilton-Jacobi-Bellman equations associated with stochastic recursive optimal control…