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>>

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

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

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

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

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

g-expectation of distributions: 《Probability, Uncertainty and Quantitative Risk》2022年第4期385-404,共20页Mingyu Xu Zuo Quan Xu Xun Yu Zhou; NSFC(Grant No.11971409);The Hong Kong RGC(GRF,Grant No.15202421);The PolyU-SDU Joint Research Center on Financial Mathematics;The CAS AMSS-POLYU Joint Laboratory of Applied Mathematics;The Hong Kong Polytechnic University;Xun Yu Zhou acknowledges financial support through a start-up grant and the Nie Center for Intelligent Asset Management at Columbia University.; We define g-expectation of a distribution as the infimum of the g-expectations of all the terminal random variables sharing that distribution.We present two special cases for nonlinear g where the g-expectation of dis...; 关键词：BSDE G-EXPECTATION Probability distribution Cost efficiency Law-invariance Portfolio selection

Explicit solutions for a class of nonlinear BSDEs and their nodal sets: 《Probability, Uncertainty and Quantitative Risk》2022年第4期283-300,共18页Zengjing Chen Shuhui Liu Zhongmin Qian Xingcheng Xu; This paper was originally exhibited in 2020(arXiv:2006.00222)。; In this paper,we investigate a class of nonlinear backward stochastic differential equations(BSDEs)arising from financial economics,and give the sign of corresponding solution.Furthermore,we are able to obtain explici...; 关键词：Explicit solution Feynman-Kac formula Girsanov’s formula Nodal set Nonlinear BSDE Parabolic equation Tanaka’s formula.

Quantitative stability and numerical analysis of Markovian quadratic BSDEs with reflection被引量：1: 《Probability, Uncertainty and Quantitative Risk》2022年第1期13-30,共18页Dingqian Sun Gechun Liang Shanjian Tang; supported by China Scholarship Council.Gechun Liang is partially supported by the National Natural Science Foundation of China(Grant No.12171169);Guangdong Basic and Applied Basic Research Foundation(Grant No.2019A1515011338);GL thanks J.F.Chassagneux and A.Richou for helpful and inspiring discussions on how to extend to the state dependent volatility case.Shanjian Tang is partially supported by National Science Foundation of China(Grant No.11631004);National Key R&D Program of China(Grant No.2018YFA0703903).; We study the quantitative stability of solutions to Markovian quadratic reflected backward stochastic differential equations(BSDEs)with bounded terminal data.By virtue of bounded mean oscillation martingale and change...; 关键词：Quadratic BSDE with reflection Stability of solutions Discretely reflected BSDE Rate of convergence

Convergence of the Deep BSDE method for FBSDEs with non-Lipschitz coefficients被引量：1: 《Probability, Uncertainty and Quantitative Risk》2021年第4期391-408,共18页Yifan Jiang Jinfeng Li; the EPSRC Centre for Doctoral Training in Mathematics of Random Systems:Analysis,Modelling,and Simulation(Grant No.EP/S023925/1).; This paper is dedicated to solving high-dimensional coupled FBSDEs with non- Lipschitz diffusion coefficients numerically. Under mild conditions, we provided a posterior estimate of the numerical solution that holds f...; 关键词：Forward-backward SDEs Deep neural networks Stochastic control

Limit behaviour of the minimal solution of a BSDE with singular terminal condition in the non Markovian setting: 《Probability, Uncertainty and Quantitative Risk》2020年第1期1-24,共24页Dmytro Marushkevych Alexandre Popier; We use the functional Ito calculus to prove that the solution of a BSDE with singular terminal condition verifies at the terminal time:lim inf_(t→T)Y(t)=ξ=Y(T).Hence,we extend known results for a non-Markovian termi...; 关键词：Backward stochastic differential equations Functional stochastic calculus SINGULARITY

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