Found 130 Documents (Results 1–100)
Precise large deviations in a non stationary risk model with arbitrary dependence between subexponential claim sizes and waiting times. (English) Zbl 07880504
Doubly reflected generalized BSDEs with jumps and an obstacle problem of parabolic IPDEs with nonlinear Neumann boundary conditions. (English) Zbl 1540.60111
Time-delayed generalized BSDEs. (English) Zbl 07812485
Backward doubly stochastic differential equations driven by fractional Brownian motion with stochastic integral-Lipschitz coefficients. (English) Zbl 07812407
Generalized BSDEs driven by RCLL martingales with stochastic monotone coefficients. (English) Zbl 1535.60097
Maximum principle for mean-field controlled systems driven by a fractional Brownian motion. (English) Zbl 1531.93445
Generalized backward doubly stochastic differential equations driven by Lévy processes with discontinuous and linear growth coefficients. (English) Zbl 07768807
Generalized backward stochastic differential equations with jumps in a general filtration. (English) Zbl 1539.60069
Doubly reflected BSDEs with stochastic quadratic growth: around the predictable obstacles. (English) Zbl 1517.60061
Averaging principle for BSDEs driven by two mutually independent fractional Brownian motions. (English) Zbl 1517.60057
Moderate deviations for a Hawkes-type risk model with arbitrary dependence between claim sizes and waiting times. (English) Zbl 07720156
A numerical method for solving stochastic Volterra-Fredholm integral equation. (English) Zbl 1524.65038
System of nonlinear second-order parabolic partial differential equations with interconnected obstacles and oblique derivative boundary conditions on non-smooth time-dependent domains. (English) Zbl 1518.35224
Reflected generalized discontinuous BSDEs with rcll barrier and an obstacle problem of IPDE with nonlinear Neumann boundary conditions. (English) Zbl 1538.60096
Reinforcement learning for exploratory linear-quadratic two-person zero-sum stochastic differential games. (English) Zbl 1511.91012
Viscosity solutions of system of PDEs with interconnected obstacles and nonlinear Neumann boundary conditions. (English) Zbl 1515.60232
A representation theorem approach to probabilistic interpretation for viscosity solutions of Isaacs equations. (English) Zbl 1498.60243
Precise large deviations for a bidimensional risk model with the regression dependent structure. (Chinese. English summary) Zbl 1524.60059
Precise large deviations for aggregate claims of a compound renewal risk model with arbitrary dependence between claim sizes and waiting times. (English) Zbl 1510.91066
Approximation of a degenerate semilinear PDE with a nonlinear Neumann boundary condition. (English) Zbl 1507.60092
Mass-conserving stochastic partial differential equations and backward doubly stochastic differential equations. (English) Zbl 1491.60111
Reviewer: Feng-Yu Wang (Tianjin)
Averaging principle for stochastic variational inequalities with application to PDEs with nonlinear Neumann conditions. (English) Zbl 1498.60131
Reviewer: Liya Liu (Chengdu)
Precise large deviation for sums of sub-exponential claims with the \(m\)-dependent semi-Markov type structure. (English) Zbl 1484.62127
Moderate deviations for stochastic tidal dynamics equations with multiplicative Gaussian noise. (English) Zbl 1491.60098
Reviewer: Ivan Podvigin (Novosibirsk)
Neumann boundary problems for parabolic partial differential equations with divergence terms. (English) Zbl 1493.60103
Reviewer: Udhayakumar Ramalingam (Vellore)
Penalization for a PDE with a nonlinear Neumann boundary condition and measurable coefficients. (English) Zbl 1489.60108
Precise large deviations in a bidimensional risk model with arbitrary dependence between claim-size vectors and waiting times. (English) Zbl 1480.91075
Moderate deviation principle for the 2D stochastic convective Brinkman-Forchheimer equations. (English) Zbl 1494.60073
Reviewer: Udhayakumar Ramalingam (Vellore)
Generalized mean-field backward stochastic differential equations and related partial differential equations. (English) Zbl 1495.60050
Central limit theorem and moderate deviation principle for McKean-Vlasov SDEs. (English) Zbl 1478.60103
Reviewer: Feng Chen (Changchun)
Reflected generalized BSDEs with discontinuous barriers driven by a Lévy process. (English) Zbl 1479.60112
Large deviations for fractional volatility models with non-Gaussian volatility driver. (English) Zbl 1479.60059
Precise large deviations for sums of claim-size vectors in a two-dimensional size-dependent renewal risk model. (English) Zbl 1470.60086
Anticipated BSDEs driven by two mutually independent fractional Brownian motions with non-Lipschitz coefficients. (English) Zbl 1470.60141
Density estimates for the solutions of backward stochastic differential equations driven by Gaussian processes. (English) Zbl 1470.60151
Central limit theorem and moderate deviations for a class of semilinear stochastic partial differential equations. (English) Zbl 1513.60081
Central limit theorem for a fractional stochastic heat equation with spatially correlated noise. (English) Zbl 1482.60087
Transportation inequalities under uniform metric for a stochastic heat equation driven by time-white and space-colored noise. (English) Zbl 1468.60029
Stochastic recursive optimal control problem of reflected stochastic differential systems. (English) Zbl 1453.93242
Large deviations for sums of claims in a general renewal risk model with the regression dependent structure. (English) Zbl 1447.62052
Central limit theorem and moderate deviations for a perturbed stochastic Cahn-Hilliard equation. (English) Zbl 1451.60069
Probabilistic interpretation of HJB equations by the representation theorem for generators of BSDEs. (English) Zbl 1461.60043
A probabilistic approach to quasilinear parabolic PDEs with obstacle and Neumann problems. (English) Zbl 1447.60124
Several properties of a nonstandard renewal counting process and their applications. (English) Zbl 1445.60067
MSC:
60K05
Backward stochastic differential equations driven by fractional noise with non-Lipschitz coefficients. (English) Zbl 1436.60059
BSDEs driven by two mutually independent fractional Brownian motions with stochastic Lipschitz coefficients. (English) Zbl 1524.60117
Optional decomposition of optional supermartingales and applications to filtering and finance. (English) Zbl 1496.91081
Large deviations for the discounted aggregate claims in time-dependent risk model with constant interest force. (English) Zbl 1499.91021
Stochastic linear quadratic optimal control problem for systems driven by fractional Brownian motions. (English) Zbl 1425.93301
Moderate deviations for stochastic heat equation with rough dependence in Space. (English) Zbl 1420.60040
Probabilistic approach for nonlinear partial differential equations and stochastic partial differential equations with Neumann boundary conditions. (English) Zbl 1415.60078
Large time behavior of solutions to parabolic equations with Dirichlet operators and nonlinear dependence on measure data. (English) Zbl 1416.35040
Linear-quadratic stochastic two-person nonzero-sum differential games: open-loop and closed-loop Nash equilibria. (English) Zbl 1405.91025
Generalized anticipated backward stochastic differential equations driven by Brownian motion and continuous increasing process. (English) Zbl 07549491
Large deviation principle for the mean reflected stochastic differential equation with jumps. (English) Zbl 1498.60227
Existence, uniqueness and comparison results for BSDEs with Lévy jumps in an extended monotonic generator setting. (English) Zbl 1444.60051
Probab. Uncertain. Quant. Risk 3, Paper No. 9, 33 p. (2018); correction ibid. 4, Paper No. 6, 2 p. (2019).
Precise large deviations for sums of random vectors in a multidimensional size-dependent renewal risk model. (English) Zbl 1424.60029
Moderate deviation and central limit theorem for stochastic differential delay equations with polynomial growth. (English) Zbl 1401.60039
Moderate deviations for stochastic fractional heat equation driven by fractional noise. (English) Zbl 1398.60079
Stochastic differential games with competing Brownian particles and related Isaacs’ equations. (English) Zbl 1393.93141
Solutions to BSDEs driven by both fractional Brownian motions and the underlying standard Brownian motions. (English) Zbl 1399.60093
Precise large deviations of aggregate claims in a risk model with size dependence and non stationary arrivals. (English) Zbl 1390.60103
Continuity of the Feynman-Kac formula for a generalized parabolic equation. (English) Zbl 1394.60065
An analytical approach for variance swaps with an Ornstein-Uhlenbeck process. (English) Zbl 1415.91279
Moderate deviations for a fractional stochastic heat equation with spatially correlated noise. (English) Zbl 1367.60083
Optimal reinsurance and investment strategy with two piece utility function. (English) Zbl 1406.91197
Tail behavior for the sum of two correlated classes of discounted aggregate claims in a time-dependent risk model. (English) Zbl 1364.91068
Precise large deviations of aggregate claims in a compound size-dependent renewal risk model. (English) Zbl 1360.60060
A general non-existence result for linear BSDEs driven by Gaussian processes. (English) Zbl 1358.60054
A probabilistic approach to large time behaviour of viscosity solutions of parabolic equations with Neumann boundary conditions. (English) Zbl 1366.35090
Generalized backward stochastic variational inequalities driven by a fractional Brownian motion. (English) Zbl 1366.60071
Generalized BSDEs, weak convergence, and homogenization of semilinear PDEs with the Wentzell-type boundary condition. (English) Zbl 1342.60104
On the continuity of the probabilistic representation of a semilinear Neumann-Dirichlet problem. (English) Zbl 1384.60086
Maximum principle for forward-backward stochastic control system under \(G\)-expectation and relation to dynamic programming. (English) Zbl 1335.93146
Optimal stochastic control with recursive cost functionals of stochastic differential systems reflected in a domain. (English) Zbl 1341.49020
Forward-backward stochastic differential systems associated to Navier-Stokes equations in the whole space. (English) Zbl 1323.35010
Reviewer: Luisa Consiglieri (Lisboa)
Forward-backward stochastic differential equations generated by Bernstein diffusions. (English) Zbl 1336.60110
On existence and uniqueness of solutions to uncertain backward stochastic differential equations. (English) Zbl 1313.60099
MSC:
60H10
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