کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1155932 | 958785 | 2011 | 37 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
FBSDEs with time delayed generators: Lp-solutions, differentiability, representation formulas and path regularity
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
We extend the work of Delong and Imkeller (2010) [6] and [7] concerning backward stochastic differential equations with time delayed generators (delay BSDEs). We give moment and a priori estimates in general LpLp-spaces and provide sufficient conditions for the solution of a delay BSDE to exist in LpLp. We introduce decoupled systems of SDEs and delay BSDEs (delay FBSDEs) and give sufficient conditions for their variational differentiability. We connect these variational derivatives to the Malliavin derivatives of delay FBSDEs via the usual representation formulas. We conclude with several path regularity results, in particular we extend the classic L2L2-path regularity to delay FBSDEs.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 121, Issue 9, September 2011, Pages 2114–2150
Journal: Stochastic Processes and their Applications - Volume 121, Issue 9, September 2011, Pages 2114–2150
نویسندگان
Gonçalo dos Reis, Anthony Réveillac, Jianing Zhang,