Stochastic Differential Games for Fully Coupled FBSDEs with Jumps
نویسندگان
چکیده
منابع مشابه
Stochastic Differential Equations with Jumps
Gradient estimates and a Harnack inequality are established for the semigroup associated to stochastic differential equations driven by Poisson processes. As applications, estimates of the transition probability density, the compactness and ultraboundedness of the semigroup are studied in terms of the corresponding invariant measure.
متن کاملStochastic differential equations with jumps,
This paper is a survey of uniqueness results for stochastic differential equations with jumps and regularity results for the corresponding harmonic functions. Subject classifications: Primary 60H10; Secondary 60H30, 60J75
متن کاملTitle of Talk: High accurate schemes for FBSDEs with jumps
In this talk, we will introduce high accurate numerical schemes for solving forward backward stochastic differential equations (FBSDEs) with jumps. In these schemes, the simplest Euler scheme with only one jump is used to solve the forward stochastic differential equation (SDE), and multistep schemes is used to solve the backward stochastic differential equation (BSDE) with high convergence rat...
متن کاملStochastic functional population dynamics with jumps
In this paper we use a class of stochastic functional Kolmogorov-type model with jumps to describe the evolutions of population dynamics. By constructing a special Lyapunov function, we show that the stochastic functional differential equation associated with our model admits a unique global solution in the positive orthant, and, by the exponential martingale inequality with jumps, we dis...
متن کاملPathwise strategies for stochastic differential games with an erratum to ''Stochastic Differential Games with Asymmetric Information''
We introduce a new notion of pathwise strategies for stochastic differential games. This allows us to give a correct meaning to some statement asserted in [2].
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: Applied Mathematics & Optimization
سال: 2014
ISSN: 0095-4616,1432-0606
DOI: 10.1007/s00245-014-9264-2