云南高校图书馆联盟文献共享服务平台- BSDE

BSDE: 作品数：84被引量：88H指数：4; 导出分析报告; 相关领域：理学经济管理更多>>; 相关作者：张慧司徒荣范胜君聂秀山黄纬更多>>; 相关机构：山东大学中国矿业大学山东财政学院中山大学更多>>; 相关期刊：《南京师大学报（自然科学版）》《高等数学研究》《咸阳师范学院学报》《Science China Mathematics》更多>>; 相关基金：国家自然科学基金中国博士后科学基金中央高校基本科研业务费专项资金博士科研启动基金更多>>

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

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

Multi-dimensional Backward Stochastic Differential Equations of Diagonally Quadratic Generators with a Special Structure: 《Chinese Annals of Mathematics,Series B》2024年第6期855-868,共14页Guang YANG; supported by the National Natural Science Foundation of China(Nos.11631004,12031009).; The present paper is devoted to the well-posedness of a type of multi-dimensional backward stochastic differential equations(BSDE for short)with a diagonally quadratic generator.The author gives a new priori estimate,...; 关键词：Multi-dimensional BSDE Diagonally quadratic generator BMO martingale

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

Sequential Propagation of Chaos for Mean-Field BSDE Systems: 《Chinese Annals of Mathematics,Series B》2024年第1期11-40,共30页Xiaochen LI Kai DU; supported by the National Natural Science Foundation of China(No.12222103);the National Key R&D Program of China(No.2018YFA0703900).; A new class of backward particle systems with sequential interaction is proposed to approximate the mean-field backward stochastic differential equations.It is proven that the weighted empirical measure of this partic...; 关键词：Backward propagation of chaos Particle system Sequential interaction McKean-Vlasov BSDE Convergence rate

On the uniqueness result for the BSDE with deterministic coefficient: 《Probability, Uncertainty and Quantitative Risk》2023年第3期309-320,共12页Yufeng Shi Zhi Yang; supported by the National Key R&D Program of China(Grant No.2018YFA0703900);the National Natural Science Foundation of China(Grant Nos.11871309,11371226);the Shandong Provincial Natural Science Foundation(Grant No.ZR2019ZD41);supported by the State Scholarship Fund from the China Scholarship Council(Grant No.201906220089)。; In this paper,we study one-dimensional backward stochastic differential f equation(BSDE),whose deterministic coefficient is Lipschitz in y but only continuous in.If the terminal conditionξhas bounded Malliavin deriva...; 关键词：Backward stochastic differential equation Uniqueness result Malliavin calculus

Mc Kean–Vlasov BSDEs with Locally Monotone Coefficient: 《Acta Mathematica Sinica,English Series》2023年第7期1414-1424,共11页Brahim BOUFOUSSI Soufiane MOUCHTABIH; We consider a McKean Vlasov backward stochastic differential equation(MVBSDE) of the form Y_(t)=-F(t,Y_(t),Z_(t),[Y_(t)]) dt+Z_(t) dB_(t),Y_(T)=ξ,where [Y_(t)] stands for the law of Y,.We show that if F is locally mo...; 关键词：McKean–Vlasov BSDE locally monotone coefficient stability

随机条件下一类一般时间终端的一维BSDE解的一个比较定理: 《高等数学研究》2023年第3期91-94,共4页侯杰; 国家自然科学基金项目(41272042);江苏城乡建设职业学院教改课题(XJJG18009).; 通过引入两个技术性引理,在比生成元g关于y满足对t不一致的单边Osgood条件且关于z满足对t不一致的一致连续条件更弱的随机条件下建立了一类一般时间终端的一维倒向随机微分方程解的一个比较定理,作为推论,部分推广了前人的研究结果.; 关键词：倒向随机微分方程一般时间终端随机条件比较定理

Optimal consumption and portfolio selection with Epstein–Zin utility under general constraints: 《Probability, Uncertainty and Quantitative Risk》2023年第2期281-308,共28页Zixin Feng Dejian Tian; supported by the National Natural Science Foundation of China(Grant No.12171471).; The paper investigates the consumption–investment problem for an investor with Epstein–Zin utility in an incomplete market.Closed but not necessarily convex constraints are imposed on strategies.The optimal consumpt...; 关键词：Closed constraints Consumption–investment problem Epstein–Zin utility Quadratic BSDE

BSDE