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BSDES: 作品数：62被引量：35H指数：4; 导出分析报告; 相关领域：理学更多>>; 相关作者：宋丽钱静静申晓慧张峰何坤更多>>; 相关机构：山东大学中国矿业大学山东轻工业学院安徽工程大学更多>>; 相关期刊：《Acta Mathematicae Applicatae Sinica》《应用概率统计》《Probability, Uncertainty and Quantitative Risk》《Acta Mathematica Scientia》更多>>; 相关基金：国家自然科学基金国家重点基础研究发展计划中国博士后科学基金高等学校学科创新引智计划更多>>

L^(p)Solution of Reflected BSDEs with One Continuous Barrier and Quasi-linear Growth Generators: 《Acta Mathematicae Applicatae Sinica》2024年第4期943-953,共11页Sheng-jun FAN; supported by National Natural Science Foundation of China(No.12171471)。; This paper is devoted to solving a reflected backward stochastic differential equation(BSDE in short)with one continuous barrier and a quasi-linear growth generator g,which has a linear growth in(y,z),except the upper...; 关键词：Reflected BSDEs Quasi-linear growth L^(p)solution EXISTENCE Comparison theorem

Exponential growth BSDE driven by a marked point process: 《Probability, Uncertainty and Quantitative Risk》2024年第4期453-498,共46页Zihao Gu Yiqing Lin Kun Xu; supported by NSFC(Grant No.12371473);by the Tianyuan Fund for Mlathematics of NSFC(Grant No.12326603)。; In this study,we investigate the well-posedness of exponential growth backward stochastic differcntial cquations(BSDEs)drivcn by a markcd point process(MPP)under unbounded terminal conditions.Our analysis utilizes a f...; 关键词：Exponential growth BSDEs Marked point processes Mean-reflected BSDEs

L^(p)-solutions of Multi-dimensional Oblique Reflected BSDEs and Optimal Switching Problem on Finite or Infinite Time Horizon: 《Acta Mathematicae Applicatae Sinica》2024年第4期1127-1146,共20页Xue-jun SHI Qun FENG Long JIANG; supported by the Natural Science Foundation of Shandong Province(Grant Nos.ZR2022MA079 and ZR2021MG049);the National Social Science Funding of China(Grant No.21CJY027);the TianYuan Special Funds of the National Natural Science Foundation of China(Grant No.11626146)。; In this paper,we study mulit-dimensional oblique reflected backward stochastic differential equations(RBSDEs)in a more general framework over finite or infinite time horizon,corresponding to the pricing problem for a ...; 关键词：multi-dimensional oblique reflected BSDE optimal switching and stopping problem finite or infinite time horizon uniformly continuous generators

Doubly reflected BSDEs with quadratic growth and random terminal horizon: 《Probability, Uncertainty and Quantitative Risk》2024年第4期553-574,共22页Mohammed Elhachemy Mohamed El Jamali Mohamed El Otmani; In this paper,we study one-dimensional backward stochastic differential cquations fcaturing two refleccting barricrs.When thc tcrminal timc is not ncccssarily bounded or finite and the generator f(t,y.z)exhibits quadr...; 关键词：Double reflected BSDE Random terminal time Quadratic growth Elliptic partial differential equations Dirichlet boundary conditions

Penalization schemes for BSDEs and reflected BSDEs with generalized driver: 《Probability, Uncertainty and Quantitative Risk》2024年第3期301-338,共38页Libo Li Ruyi Liu Marek Rutkowski; supported by the Australian Research Council Discovery Project (Grant No.DP220103106).; The paper is directly motivated by the pricing of vulnerable European and American options in a general hazard process setup and a related study of the corresponding pre-default backward stochastic differential equati...; 关键词：Generalized BSDEs Reflected generalized BSDEs Penalization scheme Constrained optimal stopping Constrained Dynkin game

Capital allocation for cash-subadditive risk measures:From BSDEs toBSVIEs: 《Probability, Uncertainty and Quantitative Risk》2024年第3期339-370,共32页Emanuela Rosazza Gianin Marco Zullino; financial support of Gnampa Research Project 2024 (Grant No.PRR-20231026-073916-203);funded in part by an Ermenegildo Zegna Founder's Scholarship (Zullino)。; In the context of risk measures,the capital allocation problem is widely studied in the literature where different approaches have been developed,also in connection with cooperative game theory and systemic risk.Altho...; 关键词：Risk measures Capital allocation BSDE BSVIE Cash-subadditivity SUBDIFFERENTIAL

Markovian Quadratic BSDEs with an Unbounded Sub-quadratic Growth: 《Chinese Annals of Mathematics,Series B》2024年第3期441-462,共22页Jingnan JU Shanjian TANG; supported by the National Natural Science Foundation of China(Nos.11631004,12031009).; This paper is devoted to the solvability of Markovian quadratic backward stochastic differential equations(BSDEs for short)with bounded terminal conditions.The generator is allowed to have an unbounded sub-quadratic g...; 关键词：Markovian BSDE Quadratic growth Unbounded sub-quadratic term coeficients Coupled FBSDE

Guillaume Broux-Quemerais,Sarah Kaakai, Anis Matoussi,Wissal Sabbagh: 《Probability, Uncertainty and Quantitative Risk》2024年第2期149-180,共32页Guillaume Broux-Quemerais Sarah Kaakarl Anis Matoussi Wissal Sabbagh; The authors research is part of the ANR project DREAMeS(ANR-21-CE46-0002)and benefited from the support of respectively the "Chair Risques Emergents en Assurance"and"Chair Impact de la Transition Climatique en Assurance"under the aegis of Fondation du Risque,a joint initiative by Risk and Insurance Institute of Le Mans,and MMA-Covea and Groupama respectively.; In this paper,we present a probabilistic numerical method for a class of forward utilities in a stochastic factor model.For this purpose,we use the representation of forward utilities using the ergodic Backward Stocha...; 关键词：Deep leaming scheme Forward utilities Ergodic BSDEs Markovian solution Deep learning algorithm

Survey on Path-Dependent PDEs: 《Chinese Annals of Mathematics,Series B》2023年第6期837-856,共20页Shige PENG Yongsheng SONG Falei WANG; supported by the National Key R&D Program of China(Nos.2018YFA0703900,2020YFA0712700,2018YFA0703901);the National Natural Science Foundation of China(Nos.12031009,12171280);the Natural Science Foundation of Shandong Province(Nos.ZR2021YQ01,ZR2022JQ01).; In this paper,the authors provide a brief introduction of the path-dependent partial differential equations(PDEs for short)in the space of continuous paths,where the path derivatives are in the Dupire(rather than Fré...; 关键词：Path-Dependent Wiener expectation BSDES Classical solution Sobolev solution Viscosity solution

Representation theorem and viability property for multidimensional BSDEs and their applications: 《Probability, Uncertainty and Quantitative Risk》2023年第3期373-390,共18页Xuejun Shi Long Jiang; supported by the Natural Science Foundation of Shandong Province(Grant Nos.ZR2022MA079,ZR2021MG049);the National Social Science Funding of China(Grant No.21CJY027).; The representation theorem and the viability property for backward stochastic differential equations(BSDEs)require further exploration,given their widespread use in both theory and practical applications.In this study...; 关键词：Backward stochastic differential equation Viability property Representation theorem Comparison theorem

BSDES