Ergodic Backward SDE and Associated PDE

1999 ◽  
pp. 73-85
Author(s):  
Rainer Buckdahn ◽  
Shige Peng
Keyword(s):  
Backward Sde

Backward SDEs with two barriers and continuous coefficient: an existence result

2004 ◽  
Vol 41 (1) ◽  
pp. 162-175 ◽  
Author(s):  
Jean-Pierre Lepeltier ◽  
Jaime San Martín
Keyword(s):  
Existence Result ◽  
Existence Of A Solution ◽  
Continuous Coefficient ◽  
Continuous Semimartingale ◽  
Backward Sde ◽  
Backward Sdes ◽  
Two Barriers

In this work we prove the existence of a solution for a doubly reflected backward SDE with a continuous linearly increasing coefficient in the case where the barriers L and U are such that L < U on [0,T) and there exists a continuous semimartingale between L and U.

Backward SDEs with two barriers and continuous coefficient: an existence result

2004 ◽  
Vol 41 (01) ◽  
pp. 162-175 ◽  
Author(s):  
Jean-Pierre Lepeltier ◽  
Jaime San Martín
Keyword(s):  
Existence Result ◽  
Existence Of A Solution ◽  
Continuous Coefficient ◽  
Continuous Semimartingale ◽  
Backward Sde ◽  
Backward Sdes ◽  
Two Barriers

In this work we prove the existence of a solution for a doubly reflected backward SDE with a continuous linearly increasing coefficient in the case where the barriers L and U are such that L &lt; U on [0,T) and there exists a continuous semimartingale between L and U.

scholarly journals Randomized and backward SDE representation for optimal control of non-Markovian SDEs

2015 ◽  
Vol 25 (4) ◽  
pp. 2134-2167 ◽  
Author(s):  
Marco Fuhrman ◽  
Huyên Pham
Keyword(s):  
Optimal Control ◽  
Backward Sde

A forward–backward SDE approach to affine models

2009 ◽  
Vol 2 (2) ◽  
pp. 107-128 ◽  
Author(s):  
Cody Blaine Hyndman
Keyword(s):  
Affine Models ◽  
Backward Sde

Adaptive Meshfree Backward SDE Filter

2017 ◽  
Vol 39 (6) ◽  
pp. A2664-A2683 ◽  
Author(s):  
Feng Bao ◽  
Vasileios Maroulas
Keyword(s):  
Backward Sde
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