• Journal of the Korean Mathematical Society
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• v.59 no.6
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• pp.1083-1101
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• 2022

In this paper, we study backward stochastic differential equations (BSDEs shortly) with jumps that have Lipschitz generator in a general filtration supporting a Brownian motion and an independent Poisson random measure. Under just integrability on the data we show that such equations admit a unique solution which belongs to class 𝔻.

• Bulletin of the Korean Mathematical Society
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• v.53 no.3
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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.

• Communications of the Korean Mathematical Society
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• v.33 no.3
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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.

• International Journal of Aeronautical and Space Sciences
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• v.18 no.4
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• pp.816-826
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• 2017

In this paper, a generalized discretization scheme is proposed that can derive general-order finite difference equations representing the joint probability density function of dynamic response of stochastic systems. The various order of finite difference equations are applied to solutions of the Fokker-Planck-Kolmogorov (FPK) equation. The finite difference equations derived by the proposed method can greatly increase accuracy even at the tail parts of the probability density function, giving accurate reliability estimations. Compared with exact solutions and finite element solutions, the generalized finite difference method showed increasing accuracy as the order increases. With the proposed method, it is allowed to use different orders and types (i.e. forward, central or backward) of discretization in the finite difference method to solve FPK and other partial differential equations in various engineering fields having requirements of accuracy or specific boundary conditions.

• Communications of the Korean Mathematical Society
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• v.35 no.2
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• pp.667-684
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• 2020

The objective of this paper is solving multidimensional backward stochastic differential equations with general time intervals, in L^p (p ≥ 1) sense, where the generator g satisfies a time-varying Osgood condition in y, a time-varying quasi-Hölder continuity condition in z, and its ith component depends on the ith row of z. Our result strengthens some existing works even for the case of finite time intervals.

• Bulletin of the Korean Mathematical Society
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• v.48 no.4
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• pp.791-812
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• 2011

This is a survey on American options. An American option allows its owner the privilege of early exercise, whereas a European option can be exercised only at expiration. Because of this early exercise privilege American option pricing involves an optimal stopping problem; the price of an American option is given as a free boundary value problem associated with a Black-Scholes type partial differential equation. Up until now there is no simple closed-form solution to the problem, but there have been a variety of approaches which contribute to the understanding of the properties of the price and the early exercise boundary. These approaches typically provide numerical or approximate analytic methods to find the price and the boundary. Topics included in this survey are early approaches(trees, finite difference schemes, and quasi-analytic methods), an analytic method of lines and randomization, a homotopy method, analytic approximation of early exercise boundaries, Monte Carlo methods, and relatively recent topics such as model uncertainty, backward stochastic differential equations, and real options. We also provide open problems whose answers are expected to contribute to American option pricing.