This paper is concerned with a class of uncertain backward stochastic differential equations (UBSDEs) driven by both an m-dimensional Brownian motion and a d-dimensional canonical process with uniform Lipschitzian c...This paper is concerned with a class of uncertain backward stochastic differential equations (UBSDEs) driven by both an m-dimensional Brownian motion and a d-dimensional canonical process with uniform Lipschitzian coefficients. Such equations can be useful in mod- elling hybrid systems, where the phenomena are simultaneously subjected to two kinds of un- certainties: randomness and uncertainty. The solutions of UBSDEs are the uncertain stochastic processes. Thus, the existence and uniqueness of solutions to UBSDEs with Lipschitzian coeffi- cients are proved.展开更多
The article first studies the fully coupled Forward-Backward Stochastic Differential Equations (FBSDEs) with the continuous local martingale. The article is mainly divided into two parts. In the first part, it consi...The article first studies the fully coupled Forward-Backward Stochastic Differential Equations (FBSDEs) with the continuous local martingale. The article is mainly divided into two parts. In the first part, it considers Backward Stochastic Differential Equations (BSDEs) with the continuous local martingale. Then, on the basis of it, in the second part it considers the fully coupled FBSDEs with the continuous local martingale. It is proved that their solutions exist and are unique under the monotonicity conditions.展开更多
This paper considers a mean-field type stochastic control problem where the dynamics is governed by a forward and backward stochastic differential equation (SDE) driven by Lévy processes and the information avail...This paper considers a mean-field type stochastic control problem where the dynamics is governed by a forward and backward stochastic differential equation (SDE) driven by Lévy processes and the information available to the controller is possibly less than the overall information. All the system coefficients and the objective performance functional are allowed to be random, possibly non-Markovian. Malliavin calculus is employed to derive a maximum principle for the optimal control of such a system where the adjoint process is explicitly expressed.展开更多
In this paper,we study a new class of equations called mean-field backward stochastic differential equations(BSDEs,for short)driven by fractional Brownian motion with Hurst parameter H>1/2.First,the existence and u...In this paper,we study a new class of equations called mean-field backward stochastic differential equations(BSDEs,for short)driven by fractional Brownian motion with Hurst parameter H>1/2.First,the existence and uniqueness of this class of BSDEs are obtained.Second,a comparison theorem of the solutions is established.Third,as an application,we connect this class of BSDEs with a nonlocal partial differential equation(PDE,for short),and derive a relationship between the fractional mean-field BSDEs and PDEs.展开更多
It is a well-established fact in the scientific literature that Picard iterations of backward stochastic differential equations with globally Lipschitz continuous nonlinearities converge at least exponentially fast to...It is a well-established fact in the scientific literature that Picard iterations of backward stochastic differential equations with globally Lipschitz continuous nonlinearities converge at least exponentially fast to the solution.In this paper we prove that this convergence is in fact at least square-root factorially fast.We show for one example that no higher convergence speed is possible in general.Moreover,if the nonlinearity is zindependent,then the convergence is even factorially fast.Thus we reveal a phase transition in the speed of convergence of Picard iterations of backward stochastic differential equations.展开更多
In this paper, we investigate Markovian backward stochastic differential equations(BSDEs) with the generator and the terminal value that depend on the solutions of stochastic differential equations with rankbased drif...In this paper, we investigate Markovian backward stochastic differential equations(BSDEs) with the generator and the terminal value that depend on the solutions of stochastic differential equations with rankbased drift coefficients. We study regularity properties of the solutions of this kind of BSDEs and establish their connection with semi-linear backward parabolic partial differential equations in simplex with Neumann boundary condition. As an application, we study the European option pricing problem with capital size based stock prices.展开更多
In this paper, we conjecture and prove the link between stochastic differential equations with non-Markovian coefficients and nonlinear parabolic backward stochastic partial differential equations, which is an extensi...In this paper, we conjecture and prove the link between stochastic differential equations with non-Markovian coefficients and nonlinear parabolic backward stochastic partial differential equations, which is an extension of such kind of link in Markovian framework to non-Markovian framework.Different from Markovian framework, where the corresponding partial differential equation is deterministic, the backward stochastic partial differential equation here has a pair of adapted solutions, and thus the link has a much different form. Moreover, two examples are given to demonstrate the applications of the derived link.展开更多
In this paper, we prove that a kind of second order stochastic differential op- erator can be represented by the limit of solutions of BSDEs with uniformly continuous coefficients. This result is a generalization of t...In this paper, we prove that a kind of second order stochastic differential op- erator can be represented by the limit of solutions of BSDEs with uniformly continuous coefficients. This result is a generalization of the representation for the uniformly continuous generator. With the help of this representation, we obtain the corresponding converse comparison theorem for the BSDEs with uniformly continuous coefficients, and get some equivalent relationships between the properties of the generator g and the associated solutions of BSDEs. Moreover, we give a new proof about g-convexity.展开更多
This article is devoted to the study of fully nonlinear stochastic Hamilton-Jacobi (HJ) equations for the optimal stochastic control problem of ordinary differential equations with random coefficients. Under the stand...This article is devoted to the study of fully nonlinear stochastic Hamilton-Jacobi (HJ) equations for the optimal stochastic control problem of ordinary differential equations with random coefficients. Under the standard Lipschitz continuity assumptions on the coefficients, the value function is proved to be the unique viscosity solution of the associated stochastic HJ equation.展开更多
In this paper,we study a class of mean-reflected backward doubly stochastic differential equations(MR-BDSDEs),where the constraint depends on the law of the solution and not on its paths.The existence and uniqueness o...In this paper,we study a class of mean-reflected backward doubly stochastic differential equations(MR-BDSDEs),where the constraint depends on the law of the solution and not on its paths.The existence and uniqueness of these solutions were established.The penalization method plays an important role.We also provided a probabilistic interpretation of the classical solutions of the mean-reflected stochastic partial differential equations(MR-SPDEs)in terms of MR-BDSDEs.展开更多
This paper explores the diffeomorphism of a backward stochastic ordinary differential equation (BSDE) to a system of semi-linear backward stochastic partial differential equations (BSPDEs), under the inverse of a stoc...This paper explores the diffeomorphism of a backward stochastic ordinary differential equation (BSDE) to a system of semi-linear backward stochastic partial differential equations (BSPDEs), under the inverse of a stochastic flow generated by an ordinary stochastic differential equation (SDE). The author develops a new approach to BSPDEs and also provides some new results. The adapted solution of BSPDEs in terms of those of SDEs and BSDEs is constructed. This brings a new insight on BSPDEs, and leads to a probabilistic approach. As a consequence, the existence, uniqueness, and regularity results are obtained for the (classical, Sobolev, and distributional) solution of BSPDEs.The dimension of the space variable x is allowed to be arbitrary n, and BSPDEs are allowed to be nonlinear in both unknown variables, which implies that the BSPDEs may be nonlinear in the gradient. Due to the limitation of space, however, this paper concerns only classical solution of BSPDEs under some more restricted assumptions.展开更多
In this paper,we consider numerical approximation of a class of nonlinear backward stochastic partial differential equations(BSPDEs).By using finite element methods in the physical space domain and the Euler method in...In this paper,we consider numerical approximation of a class of nonlinear backward stochastic partial differential equations(BSPDEs).By using finite element methods in the physical space domain and the Euler method in the time domain,we propose a spatial finite element semi-discrete scheme and a spatio-temporal full discrete scheme for solving the BSPDEs.Errors of the schemes are rigorously analyzed and theoretical error estimates with convergence rates are obtained.展开更多
This paper is mainly concerned with the solutions to both forward and backward mean-field stochastic partial differential equation and the corresponding optimal control problem for mean-field stochastic partial differ...This paper is mainly concerned with the solutions to both forward and backward mean-field stochastic partial differential equation and the corresponding optimal control problem for mean-field stochastic partial differential equation. The authors first prove the continuous dependence theorems of forward and backward mean-field stochastic partial differential equations and show the existence and uniqueness of solutions to them. Then they establish necessary and sufficient optimality conditions of the control problem in the form of Pontryagin’s maximum principles. To illustrate the theoretical results, the authors apply stochastic maximum principles to study the infinite-dimensional linear-quadratic control problem of mean-field type. Further, an application to a Cauchy problem for a controlled stochastic linear PDE of mean-field type is studied.展开更多
In this paper, a class of nonlinear stochastic partial differential equations with discontinuous coefficients is investigated. This study is motivated by some research on stochastic viscosity solutions under non-Lipsc...In this paper, a class of nonlinear stochastic partial differential equations with discontinuous coefficients is investigated. This study is motivated by some research on stochastic viscosity solutions under non-Lipschitz conditions recently. By studying the solutions of backward doubly stochastic differential equations with discontinuous coefficients and constructing a new approximation function <em>f</em><sub><em>n</em></sub> to the coefficient <em>f</em>, we get the existence of stochastic viscosity sub-solutions (or super-solutions).The results of this paper can be seen as the extension and application of related articles.展开更多
In this paper, we'll prove new representation theorems for a kind of second order stochastic integral- differential operator by stochastic differential equations (SDEs) and backward stochastic differential equatio...In this paper, we'll prove new representation theorems for a kind of second order stochastic integral- differential operator by stochastic differential equations (SDEs) and backward stochastic differential equations (BSDEs) with jumps, and give some applications.展开更多
The author proves, when the noise is driven by a Brownian motion and an independent Poisson random measure, the one-dimensional reflected backward stochastic differential equation with a stopping time terminal has a u...The author proves, when the noise is driven by a Brownian motion and an independent Poisson random measure, the one-dimensional reflected backward stochastic differential equation with a stopping time terminal has a unique solution. And in a Markovian framework, the solution can provide a probabilistic interpretation for the obstacle problem for the integral-partial differential equation.展开更多
This paper considers the problem of partially observed optimal control for forward-backward stochastic systems driven by Brownian motions and an independent Poisson random measure with a feature that the cost function...This paper considers the problem of partially observed optimal control for forward-backward stochastic systems driven by Brownian motions and an independent Poisson random measure with a feature that the cost functional is of mean-field type. When the coefficients of the system and the objective performance functionals are allowed to be random, possibly non-Markovian, Malliavin calculus is employed to derive a maximum principle for the optimal control of such a system where the adjoint process is explicitly expressed. The authors also investigate the mean-field type optimal control problem for the system driven by mean-field type forward-backward stochastic differential equations(FBSDEs in short) with jumps, where the coefficients contain not only the state process but also its expectation under partially observed information. The maximum principle is established using convex variational technique. An example is given to illustrate the obtained results.展开更多
This paper is concerned with partially-observed optimal control problems for stochastic delay systems. Combining Girsanov's theorem with a standard variational technique, the authors obtain a maximum principle on ...This paper is concerned with partially-observed optimal control problems for stochastic delay systems. Combining Girsanov's theorem with a standard variational technique, the authors obtain a maximum principle on the assumption that the system equation contains time delay and the control domain is convex. The related adjoint processes are characterized as solutions to anticipated backward stochastic differential equations in finite-dimensional spaces. Then, the proposed theoretical result is applied to study partially-observed linear-quadratic optimal control problem for stochastic delay system and an explicit observable control variable is given.展开更多
基金Supported by National Natural Science Foundation of China(71171003,71210107026)Anhui Natural Science Foundation(10040606003)Anhui Natural Science Foundation of Universities(KJ2012B019,KJ2013B023)
文摘This paper is concerned with a class of uncertain backward stochastic differential equations (UBSDEs) driven by both an m-dimensional Brownian motion and a d-dimensional canonical process with uniform Lipschitzian coefficients. Such equations can be useful in mod- elling hybrid systems, where the phenomena are simultaneously subjected to two kinds of un- certainties: randomness and uncertainty. The solutions of UBSDEs are the uncertain stochastic processes. Thus, the existence and uniqueness of solutions to UBSDEs with Lipschitzian coeffi- cients are proved.
文摘The article first studies the fully coupled Forward-Backward Stochastic Differential Equations (FBSDEs) with the continuous local martingale. The article is mainly divided into two parts. In the first part, it considers Backward Stochastic Differential Equations (BSDEs) with the continuous local martingale. Then, on the basis of it, in the second part it considers the fully coupled FBSDEs with the continuous local martingale. It is proved that their solutions exist and are unique under the monotonicity conditions.
文摘This paper considers a mean-field type stochastic control problem where the dynamics is governed by a forward and backward stochastic differential equation (SDE) driven by Lévy processes and the information available to the controller is possibly less than the overall information. All the system coefficients and the objective performance functional are allowed to be random, possibly non-Markovian. Malliavin calculus is employed to derive a maximum principle for the optimal control of such a system where the adjoint process is explicitly expressed.
基金supported by the National Key R&D Program of China (Grant No. 2018YFA0703900)the National Natural Science Foundation of China (Grant Nos. 11871309 and 11371226)+3 种基金supported by China Postdoctoral Science Foundation (Grant No. 2019M660968)Southern University of Science and Technology Start up fund Y01286233supported by Southern University of Science and Technology Start up fund Y01286120the National Natural Science Foundation of China (Grants Nos. 61873325,11831010)
文摘In this paper,we study a new class of equations called mean-field backward stochastic differential equations(BSDEs,for short)driven by fractional Brownian motion with Hurst parameter H>1/2.First,the existence and uniqueness of this class of BSDEs are obtained.Second,a comparison theorem of the solutions is established.Third,as an application,we connect this class of BSDEs with a nonlocal partial differential equation(PDE,for short),and derive a relationship between the fractional mean-field BSDEs and PDEs.
文摘It is a well-established fact in the scientific literature that Picard iterations of backward stochastic differential equations with globally Lipschitz continuous nonlinearities converge at least exponentially fast to the solution.In this paper we prove that this convergence is in fact at least square-root factorially fast.We show for one example that no higher convergence speed is possible in general.Moreover,if the nonlinearity is zindependent,then the convergence is even factorially fast.Thus we reveal a phase transition in the speed of convergence of Picard iterations of backward stochastic differential equations.
基金supported by National Science Foundation of USA(Grant No.DMS-1206276)National Natural Science Foundation of China(Grant No.11601280)
文摘In this paper, we investigate Markovian backward stochastic differential equations(BSDEs) with the generator and the terminal value that depend on the solutions of stochastic differential equations with rankbased drift coefficients. We study regularity properties of the solutions of this kind of BSDEs and establish their connection with semi-linear backward parabolic partial differential equations in simplex with Neumann boundary condition. As an application, we study the European option pricing problem with capital size based stock prices.
基金This work is supported by National Key R&D Program of China(Grant No.2018YFA0703900)National Natural Science Foundation of China(Grant Nos.11471079,11631004,11871163 and 11901302)。
文摘In this paper, we conjecture and prove the link between stochastic differential equations with non-Markovian coefficients and nonlinear parabolic backward stochastic partial differential equations, which is an extension of such kind of link in Markovian framework to non-Markovian framework.Different from Markovian framework, where the corresponding partial differential equation is deterministic, the backward stochastic partial differential equation here has a pair of adapted solutions, and thus the link has a much different form. Moreover, two examples are given to demonstrate the applications of the derived link.
基金the partial support from the NSF of China(11171186)the NSF of Shandong Province(ZR2010AM021)the "111" project
文摘In this paper, we prove that a kind of second order stochastic differential op- erator can be represented by the limit of solutions of BSDEs with uniformly continuous coefficients. This result is a generalization of the representation for the uniformly continuous generator. With the help of this representation, we obtain the corresponding converse comparison theorem for the BSDEs with uniformly continuous coefficients, and get some equivalent relationships between the properties of the generator g and the associated solutions of BSDEs. Moreover, we give a new proof about g-convexity.
基金partially supported by the National Science and Engineering Research Council of Canada(NSERC)the start-up funds from the University of Calgary
文摘This article is devoted to the study of fully nonlinear stochastic Hamilton-Jacobi (HJ) equations for the optimal stochastic control problem of ordinary differential equations with random coefficients. Under the standard Lipschitz continuity assumptions on the coefficients, the value function is proved to be the unique viscosity solution of the associated stochastic HJ equation.
文摘In this paper,we study a class of mean-reflected backward doubly stochastic differential equations(MR-BDSDEs),where the constraint depends on the law of the solution and not on its paths.The existence and uniqueness of these solutions were established.The penalization method plays an important role.We also provided a probabilistic interpretation of the classical solutions of the mean-reflected stochastic partial differential equations(MR-SPDEs)in terms of MR-BDSDEs.
基金Project supported by the National Natural Science Foundation of China (No.10325101, No.101310310)the Science Foundation of the Ministry of Education of China (No. 20030246004).
文摘This paper explores the diffeomorphism of a backward stochastic ordinary differential equation (BSDE) to a system of semi-linear backward stochastic partial differential equations (BSPDEs), under the inverse of a stochastic flow generated by an ordinary stochastic differential equation (SDE). The author develops a new approach to BSPDEs and also provides some new results. The adapted solution of BSPDEs in terms of those of SDEs and BSDEs is constructed. This brings a new insight on BSPDEs, and leads to a probabilistic approach. As a consequence, the existence, uniqueness, and regularity results are obtained for the (classical, Sobolev, and distributional) solution of BSPDEs.The dimension of the space variable x is allowed to be arbitrary n, and BSPDEs are allowed to be nonlinear in both unknown variables, which implies that the BSPDEs may be nonlinear in the gradient. Due to the limitation of space, however, this paper concerns only classical solution of BSPDEs under some more restricted assumptions.
基金supported by the Science Challenge Project(No.TZ2018001)by National Key R&D Plan(No.2018YFA0703903)by the National Natural Science Foundations of China(under Grants Nos.11901565,11571206,11831010 and 11871068).
文摘In this paper,we consider numerical approximation of a class of nonlinear backward stochastic partial differential equations(BSPDEs).By using finite element methods in the physical space domain and the Euler method in the time domain,we propose a spatial finite element semi-discrete scheme and a spatio-temporal full discrete scheme for solving the BSPDEs.Errors of the schemes are rigorously analyzed and theoretical error estimates with convergence rates are obtained.
基金supported by the National Natural Science Foundation of China(Nos.11871121,11471079,11301177)the Natural Science Foundation of Zhejiang Province for Distinguished Young Scholar(No.LR15A010001)
文摘This paper is mainly concerned with the solutions to both forward and backward mean-field stochastic partial differential equation and the corresponding optimal control problem for mean-field stochastic partial differential equation. The authors first prove the continuous dependence theorems of forward and backward mean-field stochastic partial differential equations and show the existence and uniqueness of solutions to them. Then they establish necessary and sufficient optimality conditions of the control problem in the form of Pontryagin’s maximum principles. To illustrate the theoretical results, the authors apply stochastic maximum principles to study the infinite-dimensional linear-quadratic control problem of mean-field type. Further, an application to a Cauchy problem for a controlled stochastic linear PDE of mean-field type is studied.
文摘In this paper, a class of nonlinear stochastic partial differential equations with discontinuous coefficients is investigated. This study is motivated by some research on stochastic viscosity solutions under non-Lipschitz conditions recently. By studying the solutions of backward doubly stochastic differential equations with discontinuous coefficients and constructing a new approximation function <em>f</em><sub><em>n</em></sub> to the coefficient <em>f</em>, we get the existence of stochastic viscosity sub-solutions (or super-solutions).The results of this paper can be seen as the extension and application of related articles.
基金Supported by the National Natural Science Foundation of China(No.11171186)the"111"project(No.B12023)
文摘In this paper, we'll prove new representation theorems for a kind of second order stochastic integral- differential operator by stochastic differential equations (SDEs) and backward stochastic differential equations (BSDEs) with jumps, and give some applications.
文摘The author proves, when the noise is driven by a Brownian motion and an independent Poisson random measure, the one-dimensional reflected backward stochastic differential equation with a stopping time terminal has a unique solution. And in a Markovian framework, the solution can provide a probabilistic interpretation for the obstacle problem for the integral-partial differential equation.
基金This research is supported by the National Nature Science Foundation of China under Grant Nos 11001156, 11071144, the Nature Science Foundation of Shandong Province (ZR2009AQ017), and Independent Innovation Foundation of Shandong University (IIFSDU), China.
基金supported by the National Natural Science Foundation of China under Grant Nos.11471051 and 11371362the Teaching Mode Reform Project of BUPT under Grant No.BUPT2015JY52+5 种基金supported by the National Natural Science Foundation of China under Grant No.11371029the Natural Science Foundation of Anhui Province under Grant No.1508085JGD10supported by the National Natural Science Foundation of China under Grant No.71373043the National Social Science Foundation of China under Grant No.14AZD121the Scientific Research Project Achievement of UIBE NetworkingCollaboration Center for China’s Multinational Business under Grant No.201502YY003A
文摘This paper considers the problem of partially observed optimal control for forward-backward stochastic systems driven by Brownian motions and an independent Poisson random measure with a feature that the cost functional is of mean-field type. When the coefficients of the system and the objective performance functionals are allowed to be random, possibly non-Markovian, Malliavin calculus is employed to derive a maximum principle for the optimal control of such a system where the adjoint process is explicitly expressed. The authors also investigate the mean-field type optimal control problem for the system driven by mean-field type forward-backward stochastic differential equations(FBSDEs in short) with jumps, where the coefficients contain not only the state process but also its expectation under partially observed information. The maximum principle is established using convex variational technique. An example is given to illustrate the obtained results.
文摘This paper is concerned with partially-observed optimal control problems for stochastic delay systems. Combining Girsanov's theorem with a standard variational technique, the authors obtain a maximum principle on the assumption that the system equation contains time delay and the control domain is convex. The related adjoint processes are characterized as solutions to anticipated backward stochastic differential equations in finite-dimensional spaces. Then, the proposed theoretical result is applied to study partially-observed linear-quadratic optimal control problem for stochastic delay system and an explicit observable control variable is given.