arXiv research

New Harnack inequality for heat equation on compact manifolds.

Algorithm for hedging American options with transaction costs.

In this paper, we first establish the reflected backward stochastic difference equations with finite state (FS-RBSDEs for short). Then we explore the Existence and Uniqueness Theorem as well as the Comparison Theorem by "one step" method. The connections between FS-RBSDEs and optimal stopping time problems are investig…

Most previous contributions to BSDEs, and the related theories of nonlinear expectation and dynamic risk measures, have been in the framework of continuous time diffusions or jump diffusions. Using solutions of BSDEs on spaces related to finite state, continuous time Markov chains, we develop a theory of nonlinear expe…

In this paper we are concerned with backward stochastic differential equations with random default time and their applications to default risk. The equations are driven by Brownian motion as well as a mutually independent martingale appearing in a defaultable setting. We show that these equations have unique solutions …

We develop a multilevel approach to compute approximate solutions to backward differential equations (BSDEs). The fully implementable algorithm of our multilevel scheme constructs sequential martingale control variates along a sequence of refining time-grids to reduce statistical approximation errors in an adaptive and…

Solves optimal stopping problem with Poisson constraints using jumps.

New method infers hidden states in continuous-time phenomena better than traditional models.

Paper presents a new backward deep BSDE method for solving nonlinear FBSDE problems.

Two neural network methods solve the master equation for MFGs.

In this introductory paper, we discuss how quantitative finance problems under some common risk factor dynamics for some common instruments and approaches can be formulated as time-continuous or time-discrete forward-backward stochastic differential equations (FBSDE) final-value or control problems, how these final val…

Paper presents a new insurance model equation for diverse structures.

BSDEs help in financial pricing and utility maximization.

Study evaluates and compares numerical differentiation methods on three case studies.

Scalar dynamic risk measures for univariate positions in continuous time are commonly represented as backward stochastic differential equations. In the multivariate setting, dynamic risk measures have been defined and studied as families of set-valued functionals in the recent literature. There are two possible extensi…

In this paper, we analyze a real-valued reflected backward stochastic differential equation (RBSDE) with an unbounded obstacle and an unbounded terminal condition when its generator $f$ has quadratic growth in the $z$-variable. In particular, we obtain existence, comparison, and stability results, and consider the opti…

We propose a probabilistic numerical algorithm to solve Backward Stochastic Differential Equations (BSDEs) with nonnegative jumps, a class of BSDEs introduced in [9] for representing fully nonlinear HJB equations. In particular, this allows us to numerically solve stochastic control problems with controlled volatility,…

Extended flatness approach for discrete-time systems considers forward and backward shifts.

The paper tackles pricing vulnerable options via generalized BSDEs and penalization schemes.

We generalize the primal-dual methodology, which is popular in the pricing of early-exercise options, to a backward dynamic programming equation associated with time discretization schemes of (reflected) backward stochastic differential equations (BSDEs). Taking as an input some approximate solution of the backward dyn…

In this paper, we study the classical problem of the first passage hitting density of an Ornstein--Uhlenbeck process. We give two complementary (forward and backward) formulations of this problem and provide semi-analytical solutions for both. The corresponding problems are comparable in complexity. By using the method…

In this article, we follow the study of quadratic backward SDEs with jumps,that is to say for which the generator has quadratic growth in the variables (z; u), started in our accompanying paper [15]. Relying on the existence and uniqueness result of [15], we define the corresponding g-expectations and study some of the…

FBSJNN solves PIDEs and FBSDEJs with deep learning, offering theoretical and numerical efficiency.

Paper presents IMRCs for evolving tasks with forward and backward learning.

Study proves existence of equilibrium in incomplete economies with discontinuous volatility.

Deep-learning method solves BSVIEs and coupled systems.

Study uses BSDEs to price European options in markets with multiple defaults.

Formula found for heat equation control and backward problems.

We study the properties of nonlinear Backward Stochastic Differential Equations (BSDEs) driven by a Brownian motion and a martingale measure associated with a default jump with intensity process $(λ_t)$. We give a priori estimates for these equations and prove comparison and strict comparison theorems. These results ar…

Paper approximates backward heat equation using wave equations and Ricci flow.

We show a concise extension of the monotone stability approach to backward stochastic differential equations (BSDEs) that are jointly driven by a Brownian motion and a random measure for jumps, which could be of infinite activity with a non-deterministic and time inhomogeneous compensator. The BSDE generator function c…

Backward propagation rules for warped products under Ricci flow.

Paper solves time-inconsistent control problems with BSDEs.

This paper develops a new methodology for studying continuous-time Nash equilibrium in a financial market with asymmetrically informed agents. This approach allows us to lift the restriction of risk neutrality imposed on market makers by the current literature. It turns out that, when the market makers are risk averse,…

In a Markovian stochastic volatility model, we consider financial agents whose investment criteria are modelled by forward exponential performance processes. The problem of contingent claim indifference valuation is first addressed and a number of properties are proved and discussed. Special attention is given to the c…

Backwards uniqueness proved for flows with asymptotically conical singularities.

Tensor trains simplify solving complex PDEs efficiently.

Recurrent neural networks' hidden state can be reconstructed from its past, providing a theoretical framework for stability and tracking.

In this paper, we study the backward Ricci flow on locally homogeneous 3-manifolds. We describe the long time behavior and show that, typically and after a proper re-scaling, there is convergence to a sub-Riemannian geometry. A similar behavior was observed by the authors in the case of the cross curvature flow.

We propose a new method for the numerical solution of backward stochastic differential equations (BSDEs) which finds its roots in Fourier analysis. The method consists of an Euler time discretization of the BSDE with certain conditional expectations expressed in terms of Fourier transforms and computed using the fast F…

In this paper we study backward Ricci flow of locally homogeneous geometries of $4$-manifolds which admit compact quotients. We describe the long-term behavior of each class and show that many of the classes exhibit the same behavior near the singular time. In most cases, these manifolds converge to a sub-Riemannian ge…

A coupling by reflection of a time-inhomogeneous diffusion process on a manifold are studied. The condition we assume is a natural time-inhomogeneous extension of lower Ricci curvature bounds. In particular, it includes the case of backward Ricci flow. As in time-homogeneous cases, our coupling provides a gradient esti…

In this note we prove the backwards uniqueness of the mean curvature flow for (codimension one) hypersurfaces in a Euclidean space. More precisely, let $F_t, \widetilde{F}_t:M^n \rightarrow \mathbb{R}^{n+1}$ be two complete solutions of the mean curvature flow on $M^n \times [0,T]$ with bounded second fundamental forms…

Introduces conformal Bach flow and proves its well-posedness and backward uniqueness.

Recent theoretical results establish that time-consistent valuations (i.e. pricing operators) can be created by backward iteration of one-period valuations. In this paper we investigate the continuous-time limits of well-known actuarial premium principles when such backward iteration procedures are applied. We show tha…

New method reconstructs Black-Scholes option prices from current profiles.

Study on BSDEs with random time horizon, focusing on existence and properties.

Two methods improve simulation of European call options under Heston model.