Stability of backward stochastic differential equations
نویسندگان
چکیده
منابع مشابه
Anticipated Backward Stochastic Differential Equations
In this paper, we discuss a new type of differential equations which we call anticipated backward stochastic differential equations (anticipated BSDEs). In these equations the generator includes not only the values of solutions of the present but also the future. We show that these anticipated BSDEs have unique solutions, a comparison theorem for their solutions, and a duality between them and ...
متن کاملStability of two classes of improved backward Euler methods for stochastic delay differential equations of neutral type
This paper examines stability analysis of two classes of improved backward Euler methods, namely split-step $(theta, lambda)$-backward Euler (SSBE) and semi-implicit $(theta,lambda)$-Euler (SIE) methods, for nonlinear neutral stochastic delay differential equations (NSDDEs). It is proved that the SSBE method with $theta, lambdain(0,1]$ can recover the exponential mean-square stability with some...
متن کاملHarmonic Analysis of Stochastic Equations and Backward Stochastic Differential Equations
The BMOmartingale theory is extensively used to study nonlinear multi-dimensional stochastic equations (SEs) inRp (p ∈ [1,∞)) and backward stochastic differential equations (BSDEs) in Rp × Hp (p ∈ (1,∞)) and in R∞ × H∞, with the coefficients being allowed to be unbounded. In particular, the probabilistic version of Fefferman’s inequality plays a crucial role in the development of our theory, wh...
متن کاملSwitching Games of Backward Stochastic Differential Equations
In this paper, we study the switching game of one-dimensional backward stochastic differential equations (BSDEs). This gives rise to a new type of multi-dimensional obliquely reflected BSDEs, which is a system of BSDEs reflected on the boundary of a special unbounded convex domain along an oblique direction. The existence of the adapted solution is obtained by the penalization method, the monot...
متن کاملBackward Stochastic Differential Equations on Manifolds
The problem of finding a martingale on a manifold with a fixed random terminal value can be solved by considering BSDEs with a generator with quadratic growth. We study here a generalization of these equations and we give uniqueness and existence results in two different frameworks, using differential geometry tools. Applications to PDEs are given, including a certain class of Dirichlet problem...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 1996
ISSN: 0304-4149
DOI: 10.1016/0304-4149(95)00091-7