Keywords: معادلات دیفرانسیل تصادفی برگشتی; European vulnerable option; Funding spreads; Collateral; Local volatility; Backward stochastic differential equations; 91G20; 91G40; 91G60; G13; D81;
مقالات ISI معادلات دیفرانسیل تصادفی برگشتی (ترجمه نشده)
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Keywords: معادلات دیفرانسیل تصادفی برگشتی; Hamilton-Jacobi-Bellman equation; Stochastic control; Monte Carlo approximation; Backward stochastic differential equations; Portfolio optimization; Transaction costs;
Keywords: معادلات دیفرانسیل تصادفی برگشتی; Stochastic control; Stochastic maximum principle; Stochastic differential games; Mean-field model; Backward stochastic differential equations;
Keywords: معادلات دیفرانسیل تصادفی برگشتی; Dupire derivatives; Functional Itô’s calculus; Backward stochastic differential equations; Path-dependent PDEs; Fréchet derivatives
Keywords: معادلات دیفرانسیل تصادفی برگشتی; Mean-variance portfolio selection; Unbounded random coefficients; Exponential integrability; Backward stochastic differential equations; Matrix exponential; Sturm-Liouville theory;
Keywords: معادلات دیفرانسیل تصادفی برگشتی; Stochastic differential games; Nash equilibrium payoffs; Coupled cost functionals; Backward Stochastic differential equations
Keywords: معادلات دیفرانسیل تصادفی برگشتی; C61; G11; G13; Quadratic optimization; Incomplete market; Lévy process; Backward stochastic differential equations; Lévy Clayton copula;
Keywords: معادلات دیفرانسیل تصادفی برگشتی; 60J75; 60H10; Backward stochastic differential equations; Jump Markov processes; Optimal control problems;
Keywords: معادلات دیفرانسیل تصادفی برگشتی; Quadratic hedging strategies; Backward stochastic differential equations; Jump–diffusions
Solutions to BSDEs driven by both fractional Brownian motions and the underlying standard Brownian Motions
Keywords: معادلات دیفرانسیل تصادفی برگشتی; Backward stochastic differential equations; malliavin calculus; fractional Brownian motions; Itô; formula; 60H07; 60H20;
Quadratic backward stochastic differential equations driven by G-Brownian motion: Discrete solutions and approximation
Keywords: معادلات دیفرانسیل تصادفی برگشتی; 60H10; 60H30; Backward stochastic differential equations; Quadratic growth; G-Brownian motion; Discretization; Fully nonlinear PDEs;
Backward problems for stochastic differential equations on the Sierpinski gasket
Keywords: معادلات دیفرانسیل تصادفی برگشتی; 28A80; 60H10; 60H30; Sierpinski gasket; Backward stochastic differential equations; Semi-linear parabolic equations;
On the integral representation of g-expectations with terminal constraints
Keywords: معادلات دیفرانسیل تصادفی برگشتی; Backward stochastic differential equations; g-expectations; Conditional g-expectations; Choquet expectations;
Dynamic programming principle for stochastic recursive optimal control problem driven by a G-Brownian motion
Keywords: معادلات دیفرانسیل تصادفی برگشتی; 93E20; 60H10; 35K15; G-expectation; Backward stochastic differential equations; Stochastic recursive optimal control; Robust control; Dynamic programming principle;
Adaptive importance sampling in least-squares Monte Carlo algorithms for backward stochastic differential equations
Keywords: معادلات دیفرانسیل تصادفی برگشتی; 49L20; 60H07; 62Jxx; 65C30; 93E24; Backward stochastic differential equations; Empirical regressions; Importance sampling;
Constrained BSDEs representation of the value function in optimal control of pure jump Markov processes
Keywords: معادلات دیفرانسیل تصادفی برگشتی; 93E20; 60H10; 60G55; 60J25; Backward stochastic differential equations; Optimal control problems; Pure jump Markov processes; Marked point processes; Randomization;
Numerical Fourier method and second-order Taylor scheme for backward SDEs in finance
Keywords: معادلات دیفرانسیل تصادفی برگشتی; Fourier cosine expansion method; European and Bermudan options; CEV process; CIR process; Local volatility; Characteristic function; Backward stochastic differential equations; Milstein scheme; Order 2.0 weak Taylor scheme
Ergodic BSDEs and related PDEs with Neumann boundary conditions under weak dissipative assumptions
Keywords: معادلات دیفرانسیل تصادفی برگشتی; Backward stochastic differential equations; Weakly dissipative drift; Neumann boundary conditions; Ergodic partial differential equations; Optimal ergodic control problem;
The optimal control related to Riemannian manifolds and the viscosity solutions to Hamilton–Jacobi–Bellman equations
Keywords: معادلات دیفرانسیل تصادفی برگشتی; Riemannian manifold; Hamilton–Jacobi–Bellman equation; Backward stochastic differential equations; Dynamic programming principle; Viscosity solution
Reflected BSDEs and robust optimal stopping for dynamic risk measures with jumps
Keywords: معادلات دیفرانسیل تصادفی برگشتی; 93E20; 60J60; 47N10; Backward stochastic differential equations; Reflected backward stochastic equations; g-conditional expectation; Jump processes; Optimal stopping; Dynamic risk measures; Game problems;
Mixed boundary value problems of semilinear elliptic PDEs and BSDEs with singular coefficients
Keywords: معادلات دیفرانسیل تصادفی برگشتی; Dirichlet forms; Quadratic forms; Fukushima’s decomposition; Mixed boundary value problem; Backward stochastic differential equations; Reflecting diffusion processes
Strong uniqueness for an SPDE via backward doubly stochastic differential equations
Keywords: معادلات دیفرانسیل تصادفی برگشتی; 60H15; 35R60; Stochastic partial differential equations; Uniqueness; Backward stochastic differential equations;
BSDEs with general filtration driven by Lévy processes, and an application in stochastic controllability
Keywords: معادلات دیفرانسیل تصادفی برگشتی; Backward stochastic differential equations; Lévy processes; Transposition solution; Controllability
Generalized BSDEs driven by fractional Brownian motion
Keywords: معادلات دیفرانسیل تصادفی برگشتی; 60Gxx; 60HxxFractional Brownian motion; Backward stochastic differential equations
BSDEs with regime switching: Weak convergence and applications
Keywords: معادلات دیفرانسیل تصادفی برگشتی; Backward stochastic differential equations; Markov chains; Singular perturbation; Weak convergence; Meyer–Zheng topology; Partial differential equation systems
Stochastic optimal multi-modes switching with a viscosity solution approach
Keywords: معادلات دیفرانسیل تصادفی برگشتی; 60G40; 62P20; 91B99; 91B28; 35B37; 49L25; Real options; Backward stochastic differential equations; Snell envelope; Stopping times; Switching; Viscosity solution of PDEs; Variational inequalities;
Stochastic maximum principle in the mean-field controls
Keywords: معادلات دیفرانسیل تصادفی برگشتی; Mean-field models; Backward stochastic differential equations; Stochastic maximum principle; Linear quadratic controls
Perturbed backward stochastic differential equations
Keywords: معادلات دیفرانسیل تصادفی برگشتی; Backward stochastic differential equations; Perturbations; LpLp-stability; LpLp-closeness
Existence, minimality and approximation of solutions to BSDEs with convex drivers
Keywords: معادلات دیفرانسیل تصادفی برگشتی; 60H10; 65C30; Backward stochastic differential equations; Backward stochastic difference equations; Convex drivers; Discrete-time approximations; Supersolutions;
A BSDE approach to Nash equilibrium payoffs for stochastic differential games with nonlinear cost functionals
Keywords: معادلات دیفرانسیل تصادفی برگشتی; Nash equilibrium; Stochastic differential games; Backward stochastic differential equations; Stochastic backward semigroups
A BSDE approach to stochastic differential games with incomplete information
Keywords: معادلات دیفرانسیل تصادفی برگشتی; 93E05; 91A05; 90C39; 60G44; 49N70; Stochastic differential games; Backward stochastic differential equations; Dynamic programming; Viscosity solutions;
Backward doubly stochastic differential equations with weak assumptions on the coefficients
Keywords: معادلات دیفرانسیل تصادفی برگشتی; Backward doubly stochastic differential equations; Backward stochastic differential equations; Comparison theorem; Existence theorem;
Stochastic representation for solutions of Isaacs’ type integral–partial differential equations
Keywords: معادلات دیفرانسیل تصادفی برگشتی; Stochastic differential games; Poisson random measure; Value function; Backward stochastic differential equations; Dynamic programming principle; Integral–partial differential operators; Viscosity solution
LpLp-error estimates for numerical schemes for solving certain kinds of backward stochastic differential equations
Keywords: معادلات دیفرانسیل تصادفی برگشتی; Backward stochastic differential equations; Numerical scheme; LpLp-error estimate
A stochastic approach to a multivalued Dirichlet–Neumann problem
Keywords: معادلات دیفرانسیل تصادفی برگشتی; 35D05; 35K85; 60H10; 60H30; 47J20; 49J40Variational inequalities; Backward stochastic differential equations; Neumann–Dirichlet boundary conditions; Viscosity solutions; Feynman–Kaç formula
Stochastic optimization theory of backward stochastic differential equations with jumps and viscosity solutions of Hamilton–Jacobi–Bellman equations
Keywords: معادلات دیفرانسیل تصادفی برگشتی; 60H10; 60H05; 65C30Poisson random measure; Value function; Backward stochastic differential equations; Dynamic programming principle; Viscosity solution; Stochastic backward semigroup
Mean-field backward stochastic differential equations and related partial differential equations
Keywords: معادلات دیفرانسیل تصادفی برگشتی; 60H10; 60H30; 35K65Mean-field models; McKean–Vlasov equation; Backward stochastic differential equations; Comparison theorem; Dynamic programming principle; Viscosity solution
BSDEs with stochastic Lipschitz condition and quadratic PDEs in Hilbert spaces
Keywords: معادلات دیفرانسیل تصادفی برگشتی; primary, 60H10; secondary, 35K55BMO martingales; Backward stochastic differential equations; Kolmogorov equations
Backward stochastic differential equations with jumps and related non-linear expectations
Keywords: معادلات دیفرانسیل تصادفی برگشتی; Backward stochastic differential equations; Jumps; Non-linear expectation; Doob–Meyer decomposition
Explicit solutions of a class of linear fractional BSDEs
Keywords: معادلات دیفرانسیل تصادفی برگشتی; Backward stochastic differential equations; Fractional Brownian motion; Partial differential equations;