Zobrazeno 1 - 10
of 102
pro vyhledávání: '"Aman, Auguste"'
This paper is devoted to study the asymptotic properties for the solution of decoupled forward backward stochastic differential equations with delayed generator. As an application, we establish a large deviation principe for solution of the backward
Externí odkaz:
http://arxiv.org/abs/2202.07303
This paper is devoted to study different type of BSDE with delayed generator. We first establish an existence and uniqueness result under delayed Lipschitz condition for non homogenous backward stochastic differential equation with delayed generator.
Externí odkaz:
http://arxiv.org/abs/2111.13973
Autor:
Owo, Jean Marc, Aman, Auguste
This paper deals with generalized backward doubly stochastic differential equations driven by a L\'evy process (GBDSDEL, in short). Under left or right continuous and linear growth conditions, we prove the existence of minimal (resp. maximal) solutio
Externí odkaz:
http://arxiv.org/abs/2111.03692
Autor:
Coulibaly, Harouna, Aman, Auguste
In this paper, we study backward stochastic Volterra integral equations of type-I with time delayed generators. Under some condition (small time horizon or a Lipschitz constant), we derive an existence and uniqueness results. Next, with the help of t
Externí odkaz:
http://arxiv.org/abs/2110.01764
This article is devoted to study the class of backward stochastic differential equation with delayed generator. We suppose the terminal value and the generator to be $L^{p}$-integrable with $p>1$. We derive a new type of estimation related to this BS
Externí odkaz:
http://arxiv.org/abs/2110.00754
This note aims to give an explicit solution for backward stochastic Volterra integral equations with linear time delayed generators. The process $Y$ is expressed by an integral whose kernel is explicitly given. The processes $Z$ is expressed by Hida-
Externí odkaz:
http://arxiv.org/abs/2110.00753
We derive the existence and uniqueness of the generalized backward doubly stochastic differential equation with sub-differential of a lower semi-continuous convex function under a non Lipschitz condition. This study allows us give a probabilistic rep
Externí odkaz:
http://arxiv.org/abs/2110.00750
This paper, is an attempt to extend the notion of stochastic viscosity solution to reflected semi-linear stochastic partial differential equations (RSPDEs, in short) with non-Lipschitz condition on the coefficients. Our method is fully probabilistic
Externí odkaz:
http://arxiv.org/abs/2110.02074
Autor:
Navegue, Tuo, Aman, Auguste
The aim of this paper is to study an optimal stopping problem for dynamic risk measures induced by backward stochastic differential equations with jumps and delayed generator. Firstly, we connect the value function of this problem to reflected BSDEs
Externí odkaz:
http://arxiv.org/abs/2110.02075
Autor:
Aman, Auguste, Ren, Yong
In this note, we derive an existence and uniqueness results for delayed backward stochastic differential equation with only integrable data.
Comment: 10 pages. arXiv admin note: text overlap with arXiv:2110.00754
Comment: 10 pages. arXiv admin note: text overlap with arXiv:2110.00754
Externí odkaz:
http://arxiv.org/abs/2110.02073