Zhang, Shuaiqi; Chen, Zhen-Qing Stochastic maximum principle for subdiffusions and its applications. (English) Zbl 07824417 SIAM J. Control Optim. 62, No. 2, 953-981 (2024). MSC: 93E20 60H10 60J60 PDFBibTeX XMLCite \textit{S. Zhang} and \textit{Z.-Q. Chen}, SIAM J. Control Optim. 62, No. 2, 953--981 (2024; Zbl 07824417) Full Text: DOI arXiv
Nguwi, Jiang Yu; Penent, Guillaume; Privault, Nicolas A deep branching solver for fully nonlinear partial differential equations. (English) Zbl 07819059 J. Comput. Phys. 499, Article ID 112712, 14 p. (2024). MSC: 65Mxx 60Hxx 35Kxx PDFBibTeX XMLCite \textit{J. Y. Nguwi} et al., J. Comput. Phys. 499, Article ID 112712, 14 p. (2024; Zbl 07819059) Full Text: DOI arXiv
Coulibaly, Alioune On a reaction diffusion problem with a moving impulse on boundary. (English) Zbl 07812406 Random Oper. Stoch. Equ. 32, No. 1, 1-12 (2024). MSC: 58J65 35D40 PDFBibTeX XMLCite \textit{A. Coulibaly}, Random Oper. Stoch. Equ. 32, No. 1, 1--12 (2024; Zbl 07812406) Full Text: DOI
Li, Xiaochen; Du, Kai Sequential propagation of chaos for mean-field BSDE systems. (English) Zbl 07804887 Chin. Ann. Math., Ser. B 45, No. 1, 11-40 (2024). MSC: 65C35 82C22 60J60 60B10 PDFBibTeX XMLCite \textit{X. Li} and \textit{K. Du}, Chin. Ann. Math., Ser. B 45, No. 1, 11--40 (2024; Zbl 07804887) Full Text: DOI
Han, Jiequn; Hu, Ruimeng; Long, Jihao Learning high-dimensional McKean-Vlasov forward-backward stochastic differential equations with general distribution dependence. (English) Zbl 07794520 SIAM J. Numer. Anal. 62, No. 1, 1-24 (2024). MSC: 60H35 68T07 65M99 93E20 49N80 68Q25 PDFBibTeX XMLCite \textit{J. Han} et al., SIAM J. Numer. Anal. 62, No. 1, 1--24 (2024; Zbl 07794520) Full Text: DOI arXiv
Nie, Panpan; Wang, Guangchen; Wang, Yu Necessary and sufficient conditions for Pareto optimal solution of backward stochastic system with application. (English) Zbl 07795086 IEEE Trans. Autom. Control 68, No. 11, 6696-6710 (2023). MSC: 93-XX PDFBibTeX XMLCite \textit{P. Nie} et al., IEEE Trans. Autom. Control 68, No. 11, 6696--6710 (2023; Zbl 07795086) Full Text: DOI
Elhachemy, Mohammed; El Otmani, Mohamed Reflected generalized BSDE with jumps under stochastic conditions and an obstacle problem for integral-partial differential equations with nonlinear Neumann boundary conditions. (English) Zbl 07793735 J. Integral Equations Appl. 35, No. 3, 311-338 (2023). MSC: 35D40 35R09 60H05 60H10 60H30 60J60 PDFBibTeX XMLCite \textit{M. Elhachemy} and \textit{M. El Otmani}, J. Integral Equations Appl. 35, No. 3, 311--338 (2023; Zbl 07793735) Full Text: DOI
Gao, Chengfan; Gao, Siping; Hu, Ruimeng; Zhu, Zimu Convergence of the backward deep BSDE method with applications to optimal stopping problems. (English) Zbl 1527.60031 SIAM J. Financ. Math. 14, No. 4, 1290-1303 (2023). MSC: 60G40 60H35 65C30 PDFBibTeX XMLCite \textit{C. Gao} et al., SIAM J. Financ. Math. 14, No. 4, 1290--1303 (2023; Zbl 1527.60031) Full Text: DOI arXiv
Baadi, Brahim; Marzougue, Mohamed Existence and uniqueness for reflected BSDE with multivariate point process and right upper semicontinuous obstacle. (English) Zbl 1525.60069 Random Oper. Stoch. Equ. 31, No. 4, 351-370 (2023). MSC: 60H10 60G40 60G55 PDFBibTeX XMLCite \textit{B. Baadi} and \textit{M. Marzougue}, Random Oper. Stoch. Equ. 31, No. 4, 351--370 (2023; Zbl 1525.60069) Full Text: DOI arXiv
Feng, Zixin; Tian, Dejian Optimal consumption and portfolio selection with Epstein-Zin utility under general constraints. (English) Zbl 07768494 Probab. Uncertain. Quant. Risk 8, No. 2, 281-308 (2023). MSC: 91G10 60H30 PDFBibTeX XMLCite \textit{Z. Feng} and \textit{D. Tian}, Probab. Uncertain. Quant. Risk 8, No. 2, 281--308 (2023; Zbl 07768494) Full Text: DOI arXiv
Tsuchida, Yoshifumi Control variate method for deep BSDE solver using weak approximation. (English) Zbl 1521.91390 Asia-Pac. Financ. Mark. 30, No. 2, 273-296 (2023). MSC: 91G60 65C30 60H10 60H15 PDFBibTeX XMLCite \textit{Y. Tsuchida}, Asia-Pac. Financ. Mark. 30, No. 2, 273--296 (2023; Zbl 1521.91390) Full Text: DOI
Boufoussi, Brahim; Mouchtabih, Soufiane McKean-Vlasov BSDEs with locally monotone coefficient. (English) Zbl 07739318 Acta Math. Sin., Engl. Ser. 39, No. 7, 1414-1424 (2023). MSC: 60H10 PDFBibTeX XMLCite \textit{B. Boufoussi} and \textit{S. Mouchtabih}, Acta Math. Sin., Engl. Ser. 39, No. 7, 1414--1424 (2023; Zbl 07739318) Full Text: DOI
Aidara, Sadibou; Sane, Ibrahima Delay BSDEs driven by fractional Brownian motion. (English) Zbl 1525.60067 Random Oper. Stoch. Equ. 31, No. 3, 273-284 (2023). MSC: 60H10 60H07 60G22 60G44 PDFBibTeX XMLCite \textit{S. Aidara} and \textit{I. Sane}, Random Oper. Stoch. Equ. 31, No. 3, 273--284 (2023; Zbl 1525.60067) Full Text: DOI
Di Persio, Luca; Garbelli, Matteo; Zălinescu, Adrian Feynman-Kac formula for BSDEs with jumps and time delayed generators associated to path-dependent nonlinear Kolmogorov equations. (English) Zbl 1523.35312 NoDEA, Nonlinear Differ. Equ. Appl. 30, No. 6, Paper No. 72, 36 p. (2023). MSC: 35R60 60H15 60G51 60H30 PDFBibTeX XMLCite \textit{L. Di Persio} et al., NoDEA, Nonlinear Differ. Equ. Appl. 30, No. 6, Paper No. 72, 36 p. (2023; Zbl 1523.35312) Full Text: DOI arXiv
Qu, Baoyou; Wang, Falei Multi-dimensional BSDEs with mean reflection. (English) Zbl 07733581 Electron. J. Probab. 28, Paper No. 103, 26 p. (2023). MSC: 60H10 60H30 PDFBibTeX XMLCite \textit{B. Qu} and \textit{F. Wang}, Electron. J. Probab. 28, Paper No. 103, 26 p. (2023; Zbl 07733581) Full Text: DOI Link
Hamaguchi, Yushi; Taguchi, Dai Approximations for adapted M-solutions of Type-II backward stochastic Volterra integral equations. (English) Zbl 1517.60078 ESAIM, Probab. Stat. 27, 19-79 (2023). MSC: 60H20 65C30 60H07 PDFBibTeX XMLCite \textit{Y. Hamaguchi} and \textit{D. Taguchi}, ESAIM, Probab. Stat. 27, 19--79 (2023; Zbl 1517.60078) Full Text: DOI arXiv
Hu, Kaitong; Ren, Zhenjie; Touzi, Nizar On path-dependent multidimensional forward-backward SDEs. (English) Zbl 1515.60194 Numer. Algebra Control Optim. 13, No. 3-4, 413-430 (2023). MSC: 60H10 60H15 60H30 35R60 PDFBibTeX XMLCite \textit{K. Hu} et al., Numer. Algebra Control Optim. 13, No. 3--4, 413--430 (2023; Zbl 1515.60194) Full Text: DOI arXiv
Aksamit, Anna; Li, Libo; Rutkowski, Marek Generalized BSDE and reflected BSDE with random time horizon. (English) Zbl 07707082 Electron. J. Probab. 28, Paper No. 40, 41 p. (2023). MSC: 60H30 60H10 60G40 91G40 PDFBibTeX XMLCite \textit{A. Aksamit} et al., Electron. J. Probab. 28, Paper No. 40, 41 p. (2023; Zbl 07707082) Full Text: DOI Link
Fan, Shengjun; Hu, Ying; Tang, Shanjian Multi-dimensional backward stochastic differential equations of diagonally quadratic generators: the general result. (English) Zbl 07700853 J. Differ. Equations 368, 105-140 (2023). Reviewer: Feng Chen (Changchun) MSC: 60H10 PDFBibTeX XMLCite \textit{S. Fan} et al., J. Differ. Equations 368, 105--140 (2023; Zbl 07700853) Full Text: DOI arXiv
Elhachemy, Mohammed; El Otmani, Mohamed Reflected generalized discontinuous BSDEs with rcll barrier and an obstacle problem of IPDE with nonlinear Neumann boundary conditions. (English) Zbl 07700001 Mod. Stoch., Theory Appl. 10, No. 1, 77-110 (2023). MSC: 60H10 60H05 60H30 35D40 PDFBibTeX XMLCite \textit{M. Elhachemy} and \textit{M. El Otmani}, Mod. Stoch., Theory Appl. 10, No. 1, 77--110 (2023; Zbl 07700001) Full Text: DOI
Jackson, Joe; Liang, Gechun A new monotonicity condition for ergodic backward SDEs and ergodic control with superquadratic Hamiltonians. (English) Zbl 1515.60248 SIAM J. Control Optim. 61, No. 3, 1273-1296 (2023). MSC: 60H30 60H07 PDFBibTeX XMLCite \textit{J. Jackson} and \textit{G. Liang}, SIAM J. Control Optim. 61, No. 3, 1273--1296 (2023; Zbl 1515.60248) Full Text: DOI arXiv
Gnoatto, Alessandro; Picarelli, Athena; Reisinger, Christoph Deep xVA solver: a neural network-based counterparty credit risk management framework. (English) Zbl 1516.91065 SIAM J. Financ. Math. 14, No. 1, 314-352 (2023). MSC: 91G40 91G60 68T07 PDFBibTeX XMLCite \textit{A. Gnoatto} et al., SIAM J. Financ. Math. 14, No. 1, 314--352 (2023; Zbl 1516.91065) Full Text: DOI arXiv
Jackson, Joe The reverse Hölder inequality for matrix-valued stochastic exponentials and applications to quadratic BSDE systems. (English) Zbl 1511.60085 Stochastic Processes Appl. 160, 1-32 (2023). MSC: 60H10 60H30 PDFBibTeX XMLCite \textit{J. Jackson}, Stochastic Processes Appl. 160, 1--32 (2023; Zbl 1511.60085) Full Text: DOI arXiv
Jusselin, Paul; Mastrolia, Thibaut Scaling limit for stochastic control problems in population dynamics. (English) Zbl 1512.92070 Appl. Math. Optim. 88, No. 1, Paper No. 14, 52 p. (2023). MSC: 92D25 93E20 49J45 PDFBibTeX XMLCite \textit{P. Jusselin} and \textit{T. Mastrolia}, Appl. Math. Optim. 88, No. 1, Paper No. 14, 52 p. (2023; Zbl 1512.92070) Full Text: DOI arXiv
Tian, Dejian Pricing principle via Tsallis relative entropy in incomplete markets. (English) Zbl 1511.91155 SIAM J. Financ. Math. 14, No. 1, 250-278 (2023). MSC: 91G20 91G80 60H30 PDFBibTeX XMLCite \textit{D. Tian}, SIAM J. Financ. Math. 14, No. 1, 250--278 (2023; Zbl 1511.91155) Full Text: DOI arXiv
Iobashvili, David; Tevzadze, Revaz The Adomian series representation of some class of BSDEs. (English) Zbl 07782805 Rep. Enlarged Sess. Semin. I. Vekua Inst. Appl. Math. 36, 31-34 (2022). MSC: 60H10 65J15 91G60 PDFBibTeX XMLCite \textit{D. Iobashvili} and \textit{R. Tevzadze}, Rep. Enlarged Sess. Semin. I. Vekua Inst. Appl. Math. 36, 31--34 (2022; Zbl 07782805) Full Text: Link
Moon, Jun; Başar, Tamer Dynamic programming and a verification theorem for the recursive stochastic control problem of jump-diffusion models with random coefficients. (English) Zbl 07742145 IEEE Trans. Autom. Control 67, No. 12, 6474-6488 (2022). MSC: 93-XX PDFBibTeX XMLCite \textit{J. Moon} and \textit{T. Başar}, IEEE Trans. Autom. Control 67, No. 12, 6474--6488 (2022; Zbl 07742145) Full Text: DOI
Zhou, Qinglong; Zong, Gaofeng A stochastic linear-quadratic differential game with time-inconsistency. (English) Zbl 1514.91013 Electron. Res. Arch. 30, No. 7, 2550-2567 (2022). MSC: 91A15 60H10 49N10 93E20 PDFBibTeX XMLCite \textit{Q. Zhou} and \textit{G. Zong}, Electron. Res. Arch. 30, No. 7, 2550--2567 (2022; Zbl 1514.91013) Full Text: DOI
Germain, Maximilien; Mikael, Joseph; Warin, Xavier Numerical resolution of McKean-Vlasov FBSDEs using neural networks. (English) Zbl 1505.65010 Methodol. Comput. Appl. Probab. 24, No. 4, 2557-2586 (2022). MSC: 65C30 68T07 49N80 35Q89 PDFBibTeX XMLCite \textit{M. Germain} et al., Methodol. Comput. Appl. Probab. 24, No. 4, 2557--2586 (2022; Zbl 1505.65010) Full Text: DOI arXiv
Xu, Mingyu; Xu, Zuo Quan; Zhou, Xun Yu \(g\)-expectation of distributions. (English) Zbl 1504.60106 Probab. Uncertain. Quant. Risk 7, No. 4, 385-404 (2022). MSC: 60H30 60E05 91G10 PDFBibTeX XMLCite \textit{M. Xu} et al., Probab. Uncertain. Quant. Risk 7, No. 4, 385--404 (2022; Zbl 1504.60106) Full Text: DOI arXiv
Chen, Zengjing; Liu, Shuhui; Qian, Zhongmin; Xu, Xingcheng Explicit solutions for a class of nonlinear BSDEs and their nodal sets. (English) Zbl 1502.60089 Probab. Uncertain. Quant. Risk 7, No. 4, 283-300 (2022). MSC: 60H10 91G80 93E20 PDFBibTeX XMLCite \textit{Z. Chen} et al., Probab. Uncertain. Quant. Risk 7, No. 4, 283--300 (2022; Zbl 1502.60089) Full Text: DOI
Bo, Lijun; Liao, Huafu; Yu, Xiang Risk-sensitive credit portfolio optimization under partial information and contagion risk. (English) Zbl 1499.60179 Ann. Appl. Probab. 32, No. 4, 2355-2399 (2022). MSC: 60H10 91G40 93E11 PDFBibTeX XMLCite \textit{L. Bo} et al., Ann. Appl. Probab. 32, No. 4, 2355--2399 (2022; Zbl 1499.60179) Full Text: DOI arXiv
Nie, Tianyang; Rutkowski, Marek Reflected and doubly reflected BSDEs driven by RCLL martingales. (English) Zbl 1498.60231 Stoch. Dyn. 22, No. 5, Article ID 2250012, 34 p. (2022). MSC: 60H10 60G44 60H30 91G30 91G40 PDFBibTeX XMLCite \textit{T. Nie} and \textit{M. Rutkowski}, Stoch. Dyn. 22, No. 5, Article ID 2250012, 34 p. (2022; Zbl 1498.60231) Full Text: DOI arXiv
Hutzenthaler, Martin; Jentzen, Arnulf; Kruse, Thomas Overcoming the curse of dimensionality in the numerical approximation of parabolic partial differential equations with gradient-dependent nonlinearities. (English) Zbl 1501.65084 Found. Comput. Math. 22, No. 4, 905-966 (2022). MSC: 65M75 65C05 35K05 35Q79 35R60 PDFBibTeX XMLCite \textit{M. Hutzenthaler} et al., Found. Comput. Math. 22, No. 4, 905--966 (2022; Zbl 1501.65084) Full Text: DOI arXiv
Abdallah, Roubi; Boubakeur, Labed; Bahlali, Khaled Quadratic BSDEs with two reflecting barriers and a square integrable terminal value. (English) Zbl 1490.60137 Palest. J. Math. 11, Spec. Iss. II, 82-91 (2022). MSC: 60H10 PDFBibTeX XMLCite \textit{R. Abdallah} et al., Palest. J. Math. 11, 82--91 (2022; Zbl 1490.60137) Full Text: Link
Jackson, Joe; Žitković, Gordan Existence and uniqueness for non-Markovian triangular quadratic BSDEs. (English) Zbl 1495.60051 SIAM J. Control Optim. 60, No. 3, 1642-1666 (2022). MSC: 60H10 93E20 60H30 PDFBibTeX XMLCite \textit{J. Jackson} and \textit{G. Žitković}, SIAM J. Control Optim. 60, No. 3, 1642--1666 (2022; Zbl 1495.60051) Full Text: DOI arXiv
Laurière, Mathieu; Tangpi, Ludovic Backward propagation of chaos. (English) Zbl 1505.35375 Electron. J. Probab. 27, Paper No. 69, 30 p. (2022). MSC: 35R60 35K58 28C20 35B40 60F25 60H20 60J60 PDFBibTeX XMLCite \textit{M. Laurière} and \textit{L. Tangpi}, Electron. J. Probab. 27, Paper No. 69, 30 p. (2022; Zbl 1505.35375) Full Text: DOI arXiv
Sun, Dingqian; Liang, Gechun; Tang, Shanjian Quantitative stability and numerical analysis of Markovian quadratic BSDEs with reflection. (English) Zbl 1487.65012 Probab. Uncertain. Quant. Risk 7, No. 1, 13-30 (2022). MSC: 65C30 60H10 60H30 PDFBibTeX XMLCite \textit{D. Sun} et al., Probab. Uncertain. Quant. Risk 7, No. 1, 13--30 (2022; Zbl 1487.65012) Full Text: DOI arXiv
Mabitsela, Lesedi; Guambe, Calisto; Kufakunesu, Rodwell A note on representation of BSDE-based dynamic risk measures and dynamic capital allocations. (English) Zbl 07533635 Commun. Stat., Theory Methods 51, No. 6, 1791-1810 (2022). MSC: 62-XX PDFBibTeX XMLCite \textit{L. Mabitsela} et al., Commun. Stat., Theory Methods 51, No. 6, 1791--1810 (2022; Zbl 07533635) Full Text: DOI arXiv
Peng, Xingchun Expected utility maximization for an insurer with investment and risk control under inside information. (English) Zbl 07533592 Commun. Stat., Theory Methods 51, No. 4, 1029-1053 (2022). MSC: 97M30 91G80 93E20 60H30 62-XX PDFBibTeX XMLCite \textit{X. Peng}, Commun. Stat., Theory Methods 51, No. 4, 1029--1053 (2022; Zbl 07533592) Full Text: DOI
Takahashi, Akihiko; Tsuchida, Yoshifumi; Yamada, Toshihiro A new efficient approximation scheme for solving high-dimensional semilinear PDEs: control variate method for deep BSDE solver. (English) Zbl 07518053 J. Comput. Phys. 454, Article ID 110956, 39 p. (2022). MSC: 60Hxx 91Gxx 65Cxx PDFBibTeX XMLCite \textit{A. Takahashi} et al., J. Comput. Phys. 454, Article ID 110956, 39 p. (2022; Zbl 07518053) Full Text: DOI arXiv
Agram, Nacira; Hu, Yaozhong; Øksendal, Bernt Mean-field backward stochastic differential equations and applications. (English) Zbl 1490.60138 Syst. Control Lett. 162, Article ID 105196, 7 p. (2022). MSC: 60H10 93E20 49N80 PDFBibTeX XMLCite \textit{N. Agram} et al., Syst. Control Lett. 162, Article ID 105196, 7 p. (2022; Zbl 1490.60138) Full Text: DOI arXiv
Zhang, Feng Sufficient maximum principle for stochastic optimal control problems with general delays. (English) Zbl 1485.93644 J. Optim. Theory Appl. 192, No. 2, 678-701 (2022). Reviewer: Anatoliy Swishchuk (Calgary) MSC: 93E20 34K35 60H30 PDFBibTeX XMLCite \textit{F. Zhang}, J. Optim. Theory Appl. 192, No. 2, 678--701 (2022; Zbl 1485.93644) Full Text: DOI
Xing, Zhuangzhuang Mean-field backward stochastic differential equations with reflection and related nonlocal PDEs in a convex domain. (English) Zbl 1485.93264 Syst. Control Lett. 159, Article ID 105081, 7 p. (2022). MSC: 93C20 93E03 60H15 PDFBibTeX XMLCite \textit{Z. Xing}, Syst. Control Lett. 159, Article ID 105081, 7 p. (2022; Zbl 1485.93264) Full Text: DOI
He, Wei BSDEs driven by \(G\)-Brownian motion with non-Lipschitz coefficients. (English) Zbl 1481.60107 J. Math. Anal. Appl. 505, No. 2, Article ID 125569, 22 p. (2022). MSC: 60H10 60G65 PDFBibTeX XMLCite \textit{W. He}, J. Math. Anal. Appl. 505, No. 2, Article ID 125569, 22 p. (2022; Zbl 1481.60107) Full Text: DOI
Shi, Xuejun; Ji, Ronglin; Feng, Qun Representation of filtration-consistent nonlinear expectation by \(g\)-expectation in general framework. (English) Zbl 07532224 Commun. Stat., Theory Methods 50, No. 24, 5721-5737 (2021). MSC: 60H99 60H30 62-XX PDFBibTeX XMLCite \textit{X. Shi} et al., Commun. Stat., Theory Methods 50, No. 24, 5721--5737 (2021; Zbl 07532224) Full Text: DOI
Du, Kai; Wu, Zhen; Zhan, Detao Dynkin game for callable-puttable convertible bonds: the valuation and sensitivity analysis. (English) Zbl 1475.91355 Commun. Math. Sci. 19, No. 3, 647-662 (2021). MSC: 91G20 35Q91 49N90 60H30 91A60 PDFBibTeX XMLCite \textit{K. Du} et al., Commun. Math. Sci. 19, No. 3, 647--662 (2021; Zbl 1475.91355) Full Text: DOI
Ma, Hanmin; Tian, Dejian Generalized entropic risk measures and related BSDEs. (English) Zbl 1482.60091 Stat. Probab. Lett. 174, Article ID 109110, 7 p. (2021). MSC: 60H30 60H10 62B10 62P05 91G05 PDFBibTeX XMLCite \textit{H. Ma} and \textit{D. Tian}, Stat. Probab. Lett. 174, Article ID 109110, 7 p. (2021; Zbl 1482.60091) Full Text: DOI
Grigorova, Miryana; Quenez, Marie-Claire; Sulem, Agnès American options in a non-linear incomplete market model with default. (English) Zbl 1476.91185 Stochastic Processes Appl. 142, 479-512 (2021). MSC: 91G20 60G40 60H30 PDFBibTeX XMLCite \textit{M. Grigorova} et al., Stochastic Processes Appl. 142, 479--512 (2021; Zbl 1476.91185) Full Text: DOI
Ackermann, Julia; Kruse, Thomas; Urusov, Mikhail Càdlàg semimartingale strategies for optimal trade execution in stochastic order book models. (English) Zbl 1476.91166 Finance Stoch. 25, No. 4, 757-810 (2021). MSC: 91G15 93E20 60H10 60G99 PDFBibTeX XMLCite \textit{J. Ackermann} et al., Finance Stoch. 25, No. 4, 757--810 (2021; Zbl 1476.91166) Full Text: DOI arXiv
Li, Juan; Li, Wenqiang; Liang, Gechun A game theoretical approach to homothetic robust forward investment performance processes in stochastic factor models. (English) Zbl 1471.91504 SIAM J. Financ. Math. 12, No. 3, 867-897 (2021). MSC: 91G10 91G80 91A15 91A80 PDFBibTeX XMLCite \textit{J. Li} et al., SIAM J. Financ. Math. 12, No. 3, 867--897 (2021; Zbl 1471.91504) Full Text: DOI arXiv
Peng, Xingchun; Chen, Fenge Mean-variance asset-liability management with partial information and uncertain time horizon. (English) Zbl 1471.91550 Optimization 70, No. 7, 1609-1636 (2021). MSC: 91G15 93E20 60H30 PDFBibTeX XMLCite \textit{X. Peng} and \textit{F. Chen}, Optimization 70, No. 7, 1609--1636 (2021; Zbl 1471.91550) Full Text: DOI
Sun, Dingqian The convergence rate from discrete to continuous optimal investment stopping problem. (English) Zbl 1475.60079 Chin. Ann. Math., Ser. B 42, No. 2, 259-280 (2021). MSC: 60G40 91G10 60H35 PDFBibTeX XMLCite \textit{D. Sun}, Chin. Ann. Math., Ser. B 42, No. 2, 259--280 (2021; Zbl 1475.60079) Full Text: DOI arXiv
Kim, Edward; Nie, Tianyang; Rutkowski, Marek American options in nonlinear markets. (English) Zbl 1484.91479 Electron. J. Probab. 26, Paper No. 90, 41 p. (2021). MSC: 91G20 60G40 60H30 PDFBibTeX XMLCite \textit{E. Kim} et al., Electron. J. Probab. 26, Paper No. 90, 41 p. (2021; Zbl 1484.91479) Full Text: DOI
Carmona, René; Wang, Peiqi A probabilistic approach to extended finite state mean field games. (English) Zbl 1468.49043 Math. Oper. Res. 46, No. 2, 471-502 (2021). MSC: 49N80 49K45 91A16 91A60 PDFBibTeX XMLCite \textit{R. Carmona} and \textit{P. Wang}, Math. Oper. Res. 46, No. 2, 471--502 (2021; Zbl 1468.49043) Full Text: DOI arXiv
Wang, Falei; Zheng, Guoqiang Backward stochastic differential equations driven by \(G\)-Brownian motion with uniformly continuous generators. (English) Zbl 1483.60085 J. Theor. Probab. 34, No. 2, 660-681 (2021). MSC: 60H10 60G65 60H30 PDFBibTeX XMLCite \textit{F. Wang} and \textit{G. Zheng}, J. Theor. Probab. 34, No. 2, 660--681 (2021; Zbl 1483.60085) Full Text: DOI arXiv
Luo, Peng Comparison theorem for diagonally quadratic BSDEs. (English) Zbl 1470.60159 Discrete Contin. Dyn. Syst. 41, No. 6, 2543-2557 (2021). MSC: 60H10 60H30 PDFBibTeX XMLCite \textit{P. Luo}, Discrete Contin. Dyn. Syst. 41, No. 6, 2543--2557 (2021; Zbl 1470.60159) Full Text: DOI
Zhang, Liming; Wang, Rongming; Wei, Jiaqin Optimal mean-variance reinsurance and investment strategy with constraints in a non-Markovian regime-switching model. (English) Zbl 07660243 Stat. Theory Relat. Fields 4, No. 2, 214-227 (2020). MSC: 62-XX PDFBibTeX XMLCite \textit{L. Zhang} et al., Stat. Theory Relat. Fields 4, No. 2, 214--227 (2020; Zbl 07660243) Full Text: DOI
Chassagneux, Jean-François; Richou, Adrien Obliquely reflected backward stochastic differential equations. (English. French summary) Zbl 1478.60172 Ann. Inst. Henri Poincaré, Probab. Stat. 56, No. 4, 2868-2896 (2020). MSC: 60H10 60H05 PDFBibTeX XMLCite \textit{J.-F. Chassagneux} and \textit{A. Richou}, Ann. Inst. Henri Poincaré, Probab. Stat. 56, No. 4, 2868--2896 (2020; Zbl 1478.60172) Full Text: DOI Euclid
Hao, Tao Anticipated mean-field backward stochastic differential equations with jumps. (English) Zbl 1468.60071 Lith. Math. J. 60, No. 3, 359-375 (2020). MSC: 60H10 PDFBibTeX XMLCite \textit{T. Hao}, Lith. Math. J. 60, No. 3, 359--375 (2020; Zbl 1468.60071) Full Text: DOI arXiv
Backhoff-Veraguas, Julio; Lacker, Daniel; Tangpi, Ludovic Nonexponential Sanov and Schilder theorems on Wiener space: BSDEs, Schrödinger problems and control. (English) Zbl 1472.60091 Ann. Appl. Probab. 30, No. 3, 1321-1367 (2020). MSC: 60H10 93E20 60F10 60H30 PDFBibTeX XMLCite \textit{J. Backhoff-Veraguas} et al., Ann. Appl. Probab. 30, No. 3, 1321--1367 (2020; Zbl 1472.60091) Full Text: DOI arXiv Euclid
Grigorova, Miryana; Quenez, Marie-Claire; Sulem, Agnès European options in a nonlinear incomplete market model with default. (English) Zbl 1452.91308 SIAM J. Financ. Math. 11, No. 3, 849-880 (2020). MSC: 91G20 60H10 60G44 PDFBibTeX XMLCite \textit{M. Grigorova} et al., SIAM J. Financ. Math. 11, No. 3, 849--880 (2020; Zbl 1452.91308) Full Text: DOI
Hu, Ying; Liang, Gechun; Tang, Shanjian Systems of ergodic BSDEs arising in regime switching forward performance processes. (English) Zbl 1461.60057 SIAM J. Control Optim. 58, No. 4, 2503-2534 (2020). MSC: 60H30 91G10 93E20 PDFBibTeX XMLCite \textit{Y. Hu} et al., SIAM J. Control Optim. 58, No. 4, 2503--2534 (2020; Zbl 1461.60057) Full Text: DOI arXiv
Hu, Mingshang; Qu, Baoyou; Wang, Falei BSDEs driven by \(G\)-Brownian motion with time-varying Lipschitz condition. (English) Zbl 1471.60087 J. Math. Anal. Appl. 491, No. 2, Article ID 124342, 26 p. (2020). MSC: 60H10 60H30 60G65 PDFBibTeX XMLCite \textit{M. Hu} et al., J. Math. Anal. Appl. 491, No. 2, Article ID 124342, 26 p. (2020; Zbl 1471.60087) Full Text: DOI
Crépey, Stéphane; Sabbagh, Wissal; Song, Shiqi When capital is a funding source: the anticipated backward stochastic differential equations of X-value adjustments. (English) Zbl 1443.91286 SIAM J. Financ. Math. 11, No. 1, 99-130 (2020). MSC: 91G20 60H10 91G40 60G44 PDFBibTeX XMLCite \textit{S. Crépey} et al., SIAM J. Financ. Math. 11, No. 1, 99--130 (2020; Zbl 1443.91286) Full Text: DOI
Liu, Wei; Zhu, Rongchan Well-posedness of backward stochastic partial differential equations with Lyapunov condition. (English) Zbl 1437.35711 Forum Math. 32, No. 3, 723-738 (2020). MSC: 35R60 35A01 35A02 35Q30 PDFBibTeX XMLCite \textit{W. Liu} and \textit{R. Zhu}, Forum Math. 32, No. 3, 723--738 (2020; Zbl 1437.35711) Full Text: DOI arXiv
El Jamali, Mohamed; El Otmani, Mohamed BSDE with rcll reflecting barrier driven by a Lévy process. (English) Zbl 1457.60089 Random Oper. Stoch. Equ. 28, No. 1, 63-77 (2020). MSC: 60H10 60H15 65C30 PDFBibTeX XMLCite \textit{M. El Jamali} and \textit{M. El Otmani}, Random Oper. Stoch. Equ. 28, No. 1, 63--77 (2020; Zbl 1457.60089) Full Text: DOI
Weston, Kim; Žitković, Gordan An incomplete equilibrium with a stochastic annuity. (English) Zbl 1435.91180 Finance Stoch. 24, No. 2, 359-382 (2020). MSC: 91G15 60H30 PDFBibTeX XMLCite \textit{K. Weston} and \textit{G. Žitković}, Finance Stoch. 24, No. 2, 359--382 (2020; Zbl 1435.91180) Full Text: DOI arXiv
Kharroubi, Idris; Lim, Thomas; Mastrolia, Thibaut Regulation of renewable resource exploitation. (English) Zbl 1498.91297 SIAM J. Control Optim. 58, No. 1, 551-579 (2020). MSC: 91B76 91B43 93E20 60H30 PDFBibTeX XMLCite \textit{I. Kharroubi} et al., SIAM J. Control Optim. 58, No. 1, 551--579 (2020; Zbl 1498.91297) Full Text: DOI arXiv Link
Jeanblanc, Monique; Wu, Dongli BSDEs and enlargement of filtration. (English) Zbl 1498.60217 Cohen, Samuel N. (ed.) et al., Frontiers in stochastic analysis – BSDEs, SPDEs and their applications. International workshop on BSDEs, SPDEs and their applications, Edinburgh, UK, July 3–7, 2017. Selected, revised and extended contributions. Cham: Springer. Springer Proc. Math. Stat. 289, 201-220 (2019). MSC: 60H10 60H30 PDFBibTeX XMLCite \textit{M. Jeanblanc} and \textit{D. Wu}, Springer Proc. Math. Stat. 289, 201--220 (2019; Zbl 1498.60217) Full Text: DOI
Fujii, Masaaki; Takahashi, Akihiko Asymptotic expansion for forward-backward SDEs with jumps. (English) Zbl 1500.60031 Stochastics 91, No. 2, 175-214 (2019). MSC: 60H10 PDFBibTeX XMLCite \textit{M. Fujii} and \textit{A. Takahashi}, Stochastics 91, No. 2, 175--214 (2019; Zbl 1500.60031) Full Text: DOI arXiv
Chau, Ki Wai; Oosterlee, Cornelis W. Stochastic grid bundling method for backward stochastic differential equations. (English) Zbl 1499.91165 Int. J. Comput. Math. 96, No. 11, 2272-2301 (2019). MSC: 91G60 65C30 91G20 60H35 PDFBibTeX XMLCite \textit{K. W. Chau} and \textit{C. W. Oosterlee}, Int. J. Comput. Math. 96, No. 11, 2272--2301 (2019; Zbl 1499.91165) Full Text: DOI arXiv
Chassagneux, Jean-François; Richou, Adrien Rate of convergence for the discrete-time approximation of reflected BSDEs arising in switching problems. (English) Zbl 1471.93276 Stochastic Processes Appl. 129, No. 11, 4597-4637 (2019). Reviewer: Lu Qi (Chengdu) MSC: 93E20 65C99 60H30 PDFBibTeX XMLCite \textit{J.-F. Chassagneux} and \textit{A. Richou}, Stochastic Processes Appl. 129, No. 11, 4597--4637 (2019; Zbl 1471.93276) Full Text: DOI arXiv
Fujii, Masaaki; Takahashi, Akihiko; Takahashi, Masayuki Asymptotic expansion as prior knowledge in deep learning method for high dimensional BSDEs. (English) Zbl 1422.91694 Asia-Pac. Financ. Mark. 26, No. 3, 391-408 (2019). MSC: 91G20 60G40 60H10 68T05 41A60 PDFBibTeX XMLCite \textit{M. Fujii} et al., Asia-Pac. Financ. Mark. 26, No. 3, 391--408 (2019; Zbl 1422.91694) Full Text: DOI arXiv
Jamali, Mohamed El; Otmani, Mohamed El Predictable representation for time inhomogeneous Lévy processes and BSDEs. (English) Zbl 1438.60063 Afr. Mat. 30, No. 5-6, 697-714 (2019). MSC: 60G51 60H05 60H15 60H30 PDFBibTeX XMLCite \textit{M. E. Jamali} and \textit{M. E. Otmani}, Afr. Mat. 30, No. 5--6, 697--714 (2019; Zbl 1438.60063) Full Text: DOI
Liang, Gechun; Sun, Haodong Dynkin games with Poisson random intervention times. (English) Zbl 1426.91027 SIAM J. Control Optim. 57, No. 4, 2962-2991 (2019). MSC: 91A15 91A55 91A05 91G20 60H10 60G40 PDFBibTeX XMLCite \textit{G. Liang} and \textit{H. Sun}, SIAM J. Control Optim. 57, No. 4, 2962--2991 (2019; Zbl 1426.91027) Full Text: DOI arXiv Link
Jiang, Xiao-Qian; Zhang, Lun-Chuan A pricing option approach based on backward stochastic differential equation theory. (English) Zbl 1422.91705 Discrete Contin. Dyn. Syst., Ser. S 12, No. 4-5, 969-978 (2019). MSC: 91G20 60H10 PDFBibTeX XMLCite \textit{X.-Q. Jiang} and \textit{L.-C. Zhang}, Discrete Contin. Dyn. Syst., Ser. S 12, No. 4--5, 969--978 (2019; Zbl 1422.91705) Full Text: DOI
Topolewski, Mateusz Reflected BSDEs with general filtration and two completely separated barriers. (English) Zbl 1482.60083 Probab. Math. Stat. 39, No. 1, 199-218 (2019). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 60H10 60H30 60H99 PDFBibTeX XMLCite \textit{M. Topolewski}, Probab. Math. Stat. 39, No. 1, 199--218 (2019; Zbl 1482.60083) Full Text: DOI arXiv
Li, Bin; Luo, Peng; Xiong, Dewen Equilibrium strategies for alpha-maxmin expected utility maximization. (English) Zbl 1422.91806 SIAM J. Financ. Math. 10, No. 2, 394-429 (2019). MSC: 91G99 91B16 91G80 60H10 PDFBibTeX XMLCite \textit{B. Li} et al., SIAM J. Financ. Math. 10, No. 2, 394--429 (2019; Zbl 1422.91806) Full Text: DOI
Bouchard, Bruno; Chau, Ki Wai; Manai, Arij; Sid-Ali, Ahmed Monte-Carlo methods for the pricing of American options: a semilinear BSDE point of view. (English) Zbl 1417.91550 ESAIM, Proc. Surv. 65, 294-308 (2019). MSC: 91G60 65C05 91G20 60G40 49L25 PDFBibTeX XMLCite \textit{B. Bouchard} et al., ESAIM, Proc. Surv. 65, 294--308 (2019; Zbl 1417.91550) Full Text: DOI arXiv
Agarwal, A.; De Marco, S.; Gobet, E.; López-Salas, J. G.; Noubiagain, F.; Zhou, A. Numerical approximations of McKean anticipative backward stochastic differential equations arising in initial margin requirements. (English) Zbl 1455.65013 ESAIM, Proc. Surv. 65, 1-26 (2019). MSC: 65C30 60H10 60H35 91G60 PDFBibTeX XMLCite \textit{A. Agarwal} et al., ESAIM, Proc. Surv. 65, 1--26 (2019; Zbl 1455.65013) Full Text: DOI
Pelsser, Antoon; Gnameho, Kossi A Monte Carlo method for backward stochastic differential equations with Hermite martingales. (English) Zbl 07061108 Monte Carlo Methods Appl. 25, No. 1, 37-60 (2019). MSC: 65C05 65C40 60H10 PDFBibTeX XMLCite \textit{A. Pelsser} and \textit{K. Gnameho}, Monte Carlo Methods Appl. 25, No. 1, 37--60 (2019; Zbl 07061108) Full Text: DOI
Draouil, Olfa; Øksendal, Bernt A white noise approach to optimal insider control of systems with delay. (English) Zbl 1411.91496 J. Math. Anal. Appl. 476, No. 1, 101-119 (2019). MSC: 91G10 49N90 60H07 PDFBibTeX XMLCite \textit{O. Draouil} and \textit{B. Øksendal}, J. Math. Anal. Appl. 476, No. 1, 101--119 (2019; Zbl 1411.91496) Full Text: DOI arXiv
Li, Juan; Zhao, Nana Representation of asymptotic values for nonexpansive stochastic control systems. (English) Zbl 1405.60079 Stochastic Processes Appl. 129, No. 2, 634-673 (2019). MSC: 60H10 60K35 PDFBibTeX XMLCite \textit{J. Li} and \textit{N. Zhao}, Stochastic Processes Appl. 129, No. 2, 634--673 (2019; Zbl 1405.60079) Full Text: DOI arXiv
Bielecki, Tomasz R.; Cialenco, Igor; Rutkowski, Marek Arbitrage-free pricing of derivatives in nonlinear market models. (English) Zbl 1432.91119 Probab. Uncertain. Quant. Risk 3, Paper No. 2, 56 p. (2018). MSC: 91G20 91G40 60H10 PDFBibTeX XMLCite \textit{T. R. Bielecki} et al., Probab. Uncertain. Quant. Risk 3, Paper No. 2, 56 p. (2018; Zbl 1432.91119) Full Text: DOI arXiv
Du, Kai; Huang, Jianhui; Wu, Zhen Linear quadratic mean-field-game of backward stochastic differential systems. (English) Zbl 1416.93198 Math. Control Relat. Fields 8, No. 3-4, 653-678 (2018). MSC: 93E20 91A23 93E03 91A10 93E14 PDFBibTeX XMLCite \textit{K. Du} et al., Math. Control Relat. Fields 8, No. 3--4, 653--678 (2018; Zbl 1416.93198) Full Text: DOI
Agram, Nacira; Øksendal, Bernt A Hida-Malliavin white noise calculus approach to optimal control. (English) Zbl 1400.60077 Infin. Dimens. Anal. Quantum Probab. Relat. Top. 21, No. 3, Article ID 1850014, 21 p. (2018). MSC: 60H05 60H20 60J75 93E20 91G80 91G70 91B70 PDFBibTeX XMLCite \textit{N. Agram} and \textit{B. Øksendal}, Infin. Dimens. Anal. Quantum Probab. Relat. Top. 21, No. 3, Article ID 1850014, 21 p. (2018; Zbl 1400.60077) Full Text: DOI arXiv
Zhang, Xin; Sun, Zhongyang; Xiong, Jie A general stochastic maximum principle for a Markov regime switching jump-diffusion model of mean-field type. (English) Zbl 1391.93302 SIAM J. Control Optim. 56, No. 4, 2563-2592 (2018). MSC: 93E20 PDFBibTeX XMLCite \textit{X. Zhang} et al., SIAM J. Control Optim. 56, No. 4, 2563--2592 (2018; Zbl 1391.93302) Full Text: DOI
Qian, Zhongmin; Xu, Mingyu Reflected backward stochastic differential equations with resistance. (English) Zbl 1391.60144 Ann. Appl. Probab. 28, No. 2, 888-911 (2018). MSC: 60H10 60J45 PDFBibTeX XMLCite \textit{Z. Qian} and \textit{M. Xu}, Ann. Appl. Probab. 28, No. 2, 888--911 (2018; Zbl 1391.60144) Full Text: DOI Euclid
Zhao, Guoqing; Zhai, Kun; Zong, Gaofeng On optimal stopping and free boundary problems under ambiguity. (English) Zbl 1391.60088 Stat. Probab. Lett. 139, 129-134 (2018). MSC: 60G40 60H10 PDFBibTeX XMLCite \textit{G. Zhao} et al., Stat. Probab. Lett. 139, 129--134 (2018; Zbl 1391.60088) Full Text: DOI
Boudref, Mohamed Ahmed Some new stochastic forms of Gronwall-Bellman inequalities and their applications. (English) Zbl 1391.60132 Random Oper. Stoch. Equ. 26, No. 2, 65-74 (2018). MSC: 60H10 54C60 60H05 60H35 PDFBibTeX XMLCite \textit{M. A. Boudref}, Random Oper. Stoch. Equ. 26, No. 2, 65--74 (2018; Zbl 1391.60132) Full Text: DOI
Nie, Tianyang; Rutkowski, Marek Fair bilateral pricing under funding costs and exogenous collateralization. (English) Zbl 1390.91284 Math. Finance 28, No. 2, 621-655 (2018). MSC: 91G10 60H30 91G20 PDFBibTeX XMLCite \textit{T. Nie} and \textit{M. Rutkowski}, Math. Finance 28, No. 2, 621--655 (2018; Zbl 1390.91284) Full Text: DOI
Guambe, Calisto; Kufakunesu, Rodwell Optimal investment-consumption and life insurance selection problem under inflation. A BSDE approach. (English) Zbl 1397.91554 Optimization 67, No. 4, 457-473 (2018). MSC: 91G10 91B30 60H10 60J75 PDFBibTeX XMLCite \textit{C. Guambe} and \textit{R. Kufakunesu}, Optimization 67, No. 4, 457--473 (2018; Zbl 1397.91554) Full Text: DOI arXiv
Xing, Hao; Žitković, Gordan A class of globally solvable Markovian quadratic BSDE systems and applications. (English) Zbl 1390.60224 Ann. Probab. 46, No. 1, 491-550 (2018). Reviewer: Nikolaos Halidias (Athens) MSC: 60H10 60G44 60H30 58J65 91A15 91B51 PDFBibTeX XMLCite \textit{H. Xing} and \textit{G. Žitković}, Ann. Probab. 46, No. 1, 491--550 (2018; Zbl 1390.60224) Full Text: DOI arXiv
Borovykh, Anastasia; Pascucci, Andrea; Oosterlee, Cornelis W. Efficient computation of various valuation adjustments under local Lévy models. (English) Zbl 1408.91230 SIAM J. Financ. Math. 9, No. 1, 251-273 (2018). MSC: 91G60 65C30 65T50 60G51 PDFBibTeX XMLCite \textit{A. Borovykh} et al., SIAM J. Financ. Math. 9, No. 1, 251--273 (2018; Zbl 1408.91230) Full Text: DOI arXiv
Confortola, Fulvia; Fuhrman, Marco; Guatteri, Giuseppina; Tessitore, Gianmario Linear-quadratic optimal control under non-Markovian switching. (English) Zbl 1390.93865 Stochastic Anal. Appl. 36, No. 1, 166-180 (2018). MSC: 93E20 60H10 PDFBibTeX XMLCite \textit{F. Confortola} et al., Stochastic Anal. Appl. 36, No. 1, 166--180 (2018; Zbl 1390.93865) Full Text: DOI arXiv
Maticiuc, Lucian; Rotenstein, Eduard Anticipated backward stochastic variational inequalities with generalized reflection. (English) Zbl 1387.60091 Stoch. Dyn. 18, No. 2, Article ID 1850008, 21 p. (2018). MSC: 60H10 60J60 60H30 93E03 PDFBibTeX XMLCite \textit{L. Maticiuc} and \textit{E. Rotenstein}, Stoch. Dyn. 18, No. 2, Article ID 1850008, 21 p. (2018; Zbl 1387.60091) Full Text: DOI
Esmaeeli, Neda; Imkeller, Peter American options with asymmetric information and reflected BSDE. (English) Zbl 1417.91497 Bernoulli 24, No. 2, 1394-1426 (2018). MSC: 91G20 91G80 60G40 60H10 PDFBibTeX XMLCite \textit{N. Esmaeeli} and \textit{P. Imkeller}, Bernoulli 24, No. 2, 1394--1426 (2018; Zbl 1417.91497) Full Text: DOI arXiv Euclid
Becherer, Dirk; Kentia, Klebert Good deal hedging and valuation under combined uncertainty about drift and volatility. (English) Zbl 1443.91284 Probab. Uncertain. Quant. Risk 2, Paper No. 13, 40 p. (2017). MSC: 91G20 60H10 91G15 PDFBibTeX XMLCite \textit{D. Becherer} and \textit{K. Kentia}, Probab. Uncertain. Quant. Risk 2, Paper No. 13, 40 p. (2017; Zbl 1443.91284) Full Text: DOI arXiv
Diehl, Joscha; Zhang, Jianfeng Backward stochastic differential equations with Young drift. (English) Zbl 1444.60050 Probab. Uncertain. Quant. Risk 2, Paper No. 5, 17 p. (2017). MSC: 60H10 60L20 60H15 60G17 93E20 PDFBibTeX XMLCite \textit{J. Diehl} and \textit{J. Zhang}, Probab. Uncertain. Quant. Risk 2, Paper No. 5, 17 p. (2017; Zbl 1444.60050) Full Text: DOI arXiv