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Multivalued backward stochastic differential equations with time delayed generators

100%
Diomande B., Maticiuc L.
Open Mathematics
|
2014
|
tom 12
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nr 11
1624-1637
EN
Our aim is to study the following new type of multivalued backward stochastic differential equation: $$\left\{ \begin{gathered} - dY\left( t \right) + \partial \phi \left( {Y\left( t \right)} \right)dt \ni F\left( {t,Y\left( t \right),Z\left( t \right),Y_t ,Z_t } \right)dt + Z\left( t \right)dW\left( t \right), 0 \leqslant t \leqslant T, \hfill \\ Y\left( T \right) = \xi , \hfill \\ \end{gathered} \right.$$ where ∂φ is the subdifferential of a convex function and (Y t, Z t):= (Y(t + θ), Z(t + θ))θ∈[−T,0] represent the past values of the solution over the interval [0, t]. Our results are based on the existence theorem from Delong & Imkeller, Ann. Appl. Probab., 2010, concerning backward stochastic differential equations with time delayed generators.
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Numerical schemes for multivalued backward stochastic differential systems

100%
Maticiuc L., Rotenstein E.
Open Mathematics
|
2012
|
tom 10
|
nr 2
693-702
EN
We define approximation schemes for generalized backward stochastic differential systems, considered in the Markovian framework. More precisely, we propose a mixed approximation scheme for the following backward stochastic variational inequality: $$dY_t + F(t,X_t ,Y_t ,Z_t )dt \in \partial \phi (Y_t )dt + Z_t dW_t ,$$ where ∂φ is the subdifferential operator of a convex lower semicontinuous function φ and (X t)t∈[0;T] is the unique solution of a forward stochastic differential equation. We use an Euler type scheme for the system of decoupled forward-backward variational inequality in conjunction with Yosida approximation techniques.
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