Backward stochastic differential equations with regime-switching and sublinear expectations
EJCD Vega, RJ Elliott - Stochastic Processes and their Applications, 2022 - Elsevier
This paper introduces a backward stochastic differential equation driven by both Brownian
motion and a Markov chain (BSDEBM). Regime-switching is also incorporated through its …
motion and a Markov chain (BSDEBM). Regime-switching is also incorporated through its …
Backward stochastic differential equations with Markov switching driven by Brownian motion and Poisson random measure
J Shi, Z Wu - Stochastics An International Journal of Probability and …, 2015 - Taylor & Francis
This paper is concerned with backward stochastic differential equations with Markov
switching driven by Brownian motion and Poisson random measure. The motivation is a …
switching driven by Brownian motion and Poisson random measure. The motivation is a …
Time-dynamic evaluations under non-monotone information generated by marked point processes
MC Christiansen - Finance and Stochastics, 2021 - Springer
The information dynamics in finance and insurance applications is usually modelled by a
filtration. This paper looks at situations where information restrictions apply so that the …
filtration. This paper looks at situations where information restrictions apply so that the …
A martingale concept for non-monotone information in a jump process framework
MC Christiansen - arXiv preprint arXiv:1811.00952, 2018 - arxiv.org
The information dynamics in finance and insurance applications is usually modeled by a
filtration. This paper looks at situations where information restrictions apply such that the …
filtration. This paper looks at situations where information restrictions apply such that the …
Existence of optimal controls for systems of controlled forward-backward doubly SDEs
A Ninouh, B Gherbal, N Berrouis - Random Operators and Stochastic …, 2020 - degruyter.com
We wish to study a class of optimal controls for problems governed by forward-backward
doubly stochastic differential equations (FBDSDEs). Firstly, we prove existence of optimal …
doubly stochastic differential equations (FBDSDEs). Firstly, we prove existence of optimal …
Some results on the stochastic control of backward doubly stochastic differential equations
A NINOUH - 2020 - thesis.univ-biskra.dz
The objective of this thesis is to proof the existence of optimal relaxed controls as well as
optimal stricts controls for systems governed by non linear forward–backward stochastic …
optimal stricts controls for systems governed by non linear forward–backward stochastic …
Multi-valued backward stochastic differential equations with regime switching
R Deng, Y Ren - Advances in Difference Equations, 2019 - Springer
The paper considers a class of multi-valued backward stochastic differential equations with
subdifferential of a lower semi-continuous convex function with regime switching, whose …
subdifferential of a lower semi-continuous convex function with regime switching, whose …