Zobrazeno 1 - 10
of 104
pro vyhledávání: '"Briand, Philippe"'
In this paper, we study in the Markovian case the rate of convergence in the Wasserstein distance of an approximation of the solution to a BSDE given by a BSDE which is driven by a scaled random walk as introduced in Briand, Delyon and M{\'e}min (Ele
Externí odkaz:
http://arxiv.org/abs/1908.01188
In this paper we investigate the well-posedness of backward or forward stochastic differential equations whose law is constrained to live in an a priori given (smooth enough) set and which is reflected along the corresponding ''normal'' vector. We al
Externí odkaz:
http://arxiv.org/abs/1903.01114
Publikováno v:
Adv. in Appl. Probab. 52 (2020), no. 2, 523-562
This paper is devoted to the study of reflected Stochastic Differential Equations with jumps when the constraint is not on the paths of the solution but acts on the law of the solution. This type of reflected equations have been introduced recently b
Externí odkaz:
http://arxiv.org/abs/1803.10165
Autor:
Briand, Philippe, Richou, Adrien
Publikováno v:
Frontiers in stochastic analysis-BSDEs, SPDEs and their applications, 89-107, Springer Proc. Math. Stat., 289, Springer, Cham, 2019
In this paper we prove some uniqueness results for quadratic backward stochastic differential equations without any convexity assumptions on the generator. The bounded case is revisited while some new results are obtained in the unbounded case when t
Externí odkaz:
http://arxiv.org/abs/1801.00157
Autor:
Briand, Philippe, Hibon, Hélène
Publikováno v:
Stochastic Process. Appl. 131 (2021), 253-275
In this paper, we deal with Reflected Backward Stochastic Differential Equations for which the constraint is not on the paths of the solution but on its law as introduced by Briand, Elie and Hu in [3]. We extend the recent work [2] of Briand, Chaudru
Externí odkaz:
http://arxiv.org/abs/1712.07385
Publikováno v:
Ann. Appl. Probab. 30 (2020), no. 4, 1884-1909
This paper is devoted to the study of reflected Stochastic Differential Equations when the constraint is not on the paths of the solution but acts on the law of the solution. These reflected equations have been introduced recently by Briand, Elie and
Externí odkaz:
http://arxiv.org/abs/1612.06886
Publikováno v:
The Annals of Applied Probability, 2020 Aug 01. 30(4), 1884-1909.
Externí odkaz:
https://www.jstor.org/stable/26965994
Publikováno v:
The Annals of Applied Probability 2018, Vol. 24, No. 1, 1129-1171
In this paper, we study a new type of BSDE, where the distribution of the Y-component of the solution is required to satisfy an additional constraint, written in terms of the expectation of a loss function. This constraint is imposed at any determini
Externí odkaz:
http://arxiv.org/abs/1605.06301
Autor:
Briand, Philippe, Hibon, Hélène
Publikováno v:
In Stochastic Processes and their Applications January 2021 131:253-275
Publikováno v:
In Stochastic Processes and their Applications December 2020 130(12):7021-7097