Zobrazeno 1 - 10
of 26
pro vyhledávání: '"Rzymowski, Maurycy"'
Autor:
Klimsiak, Tomasz, Rzymowski, Maurycy
We study Dynkin games governed by a nonlinear $\mathbb E^f$-expectation on a finite interval $[0,T]$, with payoff c\`adl\`ag processes $L,U$ of class (D) which are not imposed to satisfy (weak) Mokobodzki's condition - the existence of a c\`adl\`ag s
Externí odkaz:
http://arxiv.org/abs/2407.15601
Autor:
Klimsiak, Tomasz, Rzymowski, Maurycy
We study Backward Stochastic Differential Equations on a probability space equipped with a Brownian filtration. We assume that the terminal value and the generator at zero are merely integrable. Moreover, the generator is assumed to be non-increasing
Externí odkaz:
http://arxiv.org/abs/2208.03590
Autor:
Klimsiak, Tomasz, Rzymowski, Maurycy
We study reflected backward stochastic differential equation (RBSDEs) on the probability space equipped with a Brownian motion. The main novelty of the paper lies in fact that we consider the following weak assumptions on the data: barriers are optio
Externí odkaz:
http://arxiv.org/abs/2205.06222
Autor:
Klimsiak, Tomasz, Rzymowski, Maurycy
Publikováno v:
Stochastic Processes and their Applications, Volume 161, July 2023, Pages 424-450
In the present paper, we consider multidimensional nonlinear backward stochastic differential equations (BSDEs) with a driver depending on the martingale part $M$ of a solution. We assume that the nonlinear term is merely monotone continuous with res
Externí odkaz:
http://arxiv.org/abs/2103.07536
Autor:
Klimsiak, Tomasz, Rzymowski, Maurycy
Publikováno v:
Electron. J. Probab. 26 (2021) no. 91, 1-24
We consider reflected backward stochastic differential equations with two optional barriers of class (D) satisfying Mokobodzki's separation condition and coefficient which is only continuous and non-increasing. We assume that data are merely integrab
Externí odkaz:
http://arxiv.org/abs/2001.06736
Autor:
Klimsiak, Tomasz, Rzymowski, Maurycy
Publikováno v:
In Stochastic Processes and their Applications July 2023 161:424-450
Publikováno v:
Stochastic Process. Appl. 129 (2019) 1153-1184
We consider reflected backward stochastic differential equations with two general optional barriers. The solutions to these equations have the so-called regulated trajectories, i.e trajectories with left and right finite limits. We prove the existenc
Externí odkaz:
http://arxiv.org/abs/1810.07969
Publikováno v:
Stochastic Process. Appl. 129 (2019) 1153-1184
We consider reflected backward stochastic different equations with optional barrier and so-called regulated trajectories, i.e trajectories with left and right finite limits. We prove existence and uniqueness results. We also show that the solution ma
Externí odkaz:
http://arxiv.org/abs/1608.08926
Publikováno v:
In Bulletin des sciences mathématiques February 2020 158
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