Transience and non-explosion of certain stochastic Newtonian systems.
Kolokol'tsov, V.N., Schilling, R.L., Tyukov, A.E. (2002)
Electronic Journal of Probability [electronic only]
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Displaying similar documents to “Double-barriers-reflected BSDEs with jumps and viscosity solutions of parabolic integrodifferential PDEs.”
Transience and non-explosion of certain stochastic Newtonian systems.
Homogenization of semilinear PDEs with discontinuous averaged coefficients.
Bahlali, Khaled, Elouaflin, A., Pardoux, Etienne (2009)
Electronic Journal of Probability [electronic only]
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Forward-backward stochastic differential equations and PDE with gradient dependent second order coefficients
Romain Abraham, Olivier Riviere (2006)
ESAIM: Probability and Statistics
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We consider a system of fully coupled forward-backward stochastic differential equations. First we generalize the results of Pardoux-Tang [7] concerning the regularity of the solutions with respect to initial conditions. Then, we prove that in some particular cases this system leads to a probabilistic representation of solutions of a second-order PDE whose second order coefficients depend on the gradient of the solution. We then give some examples in dimension 1 and dimension 2 for...
Reflected forward-backward SDEs and obstacle problems with boundary conditions.
Ma, Jin, Cvitanić, Jakša (2001)
Journal of Applied Mathematics and Stochastic Analysis
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A note on strong solutions of stochastic differential equations with a discontinuous drift coefficient.
Halidias, Nikolaos, Kloeden, P.E. (2006)
Journal of Applied Mathematics and Stochastic Analysis
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On variant reflected backward SDEs, with applications.
Ma, Jin, Wang, Yusun (2009)
Journal of Applied Mathematics and Stochastic Analysis
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On the pathwise uniqueness of solutions of stochastic differential equations.
Sonoc, C. (1998)
Portugaliae Mathematica
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A hull and white formula for a general stochastic volatility jump-diffusion model with applications to the study of the short-time behavior of the implied volatility.
Alòs, Elisa, León, Jorge A., Pontier, Monique, Vives, Josep (2008)
Journal of Applied Mathematics and Stochastic Analysis
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Itô-Skorohod stochastic equations and applications to finance.
Tudor, Ciprian A. (2004)
Journal of Applied Mathematics and Stochastic Analysis
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Pathwise uniqueness and approximation of solutions of stochastic differential equations
Khaled Bahlali, Brahim Mezerdi, Youssef Ouknine (1998)
Séminaire de probabilités de Strasbourg
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Viscosity solutions and American option pricing in a stochastic volatility model of the Ornstein-Uhlenbeck type.
Roch, Alexandre F. (2010)
Journal of Probability and Statistics
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Dynamical properties and characterization of gradient drift diffusions.
Darses, Sébastian, Nourdin, Ivan (2007)
Electronic Communications in Probability [electronic only]
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