• Korean Journal of Mathematics
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• 제6권2호
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• pp.259-279
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• 1998

For the forward-backward semimartingale, we can define the backward semimartingale flow which is generated by the backward canonical stochastic differential equation. Therefore, we define the backward self-similar stochastic processes, and we study the backward self-similar stochastic flows through the canonical stochastic differential equations.

• 대한수학회보
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• 제52권2호
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• pp.483-504
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• 2015

This paper is devoted to solving a multidimensional backward stochastic differential equation with a general time interval, where the generator is uniformly continuous in (y, z) non-uniformly with respect to t. By establishing some results on deterministic backward differential equations with general time intervals, and by virtue of Girsanov's theorem and convolution technique, we prove a new existence and uniqueness result for solutions of this kind of backward stochastic differential equations, which extends the results of [8] and [6] to the general time interval case.

• Journal of applied mathematics & informatics
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• 제29권5_6호
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• pp.1143-1155
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• 2011

In this paper, we shall establish a new theorem on the existence and uniqueness of the solution to a backward doubly stochastic differential equations under a weaker condition than the Lipschitz coefficient. We also show a comparison theorem for this kind of equations.

• Journal of applied mathematics & informatics
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• 제24권1_2호
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• pp.427-435
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• 2007

The existence theorem and continuous dependence property in $"L^2"$ sense for solutions of backward stochastic differential equation (shortly BSDE) with Lipschitz coefficients were respectively established by Pardoux-Peng and Peng in [1,2], Mao and Cao generalized the Pardoux-Peng's existence and uniqueness theorem to BSDE with non-Lipschitz coefficients in [3,4]. The present paper generalizes the Peng's continuous dependence property in $"L^2"$ sense to BSDE with Mao and Cao's conditions. Furthermore, this paper investigates the continuous dependence property in "almost surely" sense for BSDE with Mao and Cao's conditions, based on the comparison with the classical mathematical expectation.

• Journal of applied mathematics & informatics
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• 제18권1_2호
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• pp.73-93
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• 2005

In this paper, we attempt to present a new numerical approach to solve non-linear backward stochastic differential equations. First, we present some definitions and theorems to obtain the conditions, from which we can approximate the non-linear term of the backward stochastic differential equation (BSDE) and we get a continuous piecewise linear BSDE correspond with the original BSDE. We use the relationship between backward stochastic differential equations and stochastic controls by interpreting BSDEs as some stochastic optimal control problems, to solve the approximated BSDE and we prove that the approximated solution converges to the exact solution of the original non-linear BSDE in two different cases.

• 대한수학회지
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• 제57권2호
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• pp.313-329
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• 2020

In this paper, we derive various differential Harnack estimates for positive solutions to the nonlinear backward heat type equations on closed manifolds coupled with the Ricci-Bourguignon flow, which was done for the Ricci flow by J.-Y. Wu [30]. The proof follows exactly the one given by X.-D. Cao [4] for the linear backward heat type equations coupled with the Ricci flow.

• 대한수학회보
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• 제53권3호
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• pp.793-819
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• 2016

In this paper, we establish the existence and uniqueness of the solution for a class of reflected backward stochastic differential equations with time delayed generator (RBSDEs with time delayed generator, in short) in the case when the terminal value and the obstacle process are $L^p$-integrable with p ${\in}$]1, 2[ for a sufficiently small Lipschitz constant of the generator and the time horizon T.

• 대한수학회논문집
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• 제33권3호
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• pp.985-999
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• 2018

This paper is devoted to the existence and uniqueness of $L^p$ (p > 1) solutions for general time interval multidimensional backward stochastic differential equations (BSDEs for short), where the generator g satisfies a ($p{\wedge}2$)-order weak monotonicity condition in y and a Lipschitz continuity condition in z, both non-uniformly in t. The corresponding stability theorem and comparison theorem are also proved.

• Journal of applied mathematics & informatics
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• 제28권5_6호
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• pp.1305-1314
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• 2010

In this paper, we deal with a class of one-dimensional reflected backward stochastic differential equations driven by a Brownian motion and the martingales of Teugels associated with an independent L$\acute{e}$vy process having a stochastic Lipschitz coefficient. We derive the existence and uniqueness of solutions for these equations via Snell envelope and the fixed point theorem.

• Journal of the Korean Statistical Society
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• 제36권2호
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• pp.229-235
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• 2007

We consider a ruin model whose surplus process is formed by a compound Poisson process. If the level of surplus reaches V > 0, it is assumed that a certain amount of surplus is invested. In this paper, we apply the optional sampling theorem to the surplus process and obtain the expectation of period T, time from origin to the point where the level of surplus reaches either 0 or V. We also derive the total and average amount of surplus during T by establishing a backward differential equation.