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Статті в журналах з теми "Skorohod equations"
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Buckdahn, Rainer. "Linear skorohod stochastic differential equations." Probability Theory and Related Fields 90, no. 2 (June 1991): 223–40. http://dx.doi.org/10.1007/bf01192163.
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Buckdahn, Rainer, and David Nualart. "Skorohod stochastic differential equations with boundary conditions." Stochastics and Stochastic Reports 45, no. 3-4 (December 1993): 211–35. http://dx.doi.org/10.1080/17442509308833862.
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Nualart, David, and Michèle Thieullen. "Skorohod stochastic differential equations on random intervals." Stochastics and Stochastic Reports 49, no. 3-4 (August 1994): 149–67. http://dx.doi.org/10.1080/17442509408833917.
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Buckdahn, Rainer. "Skorohod stochastic differential equations of diffusion type." Probability Theory and Related Fields 93, no. 3 (September 1992): 297–323. http://dx.doi.org/10.1007/bf01193054.
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El-Borai, Mahmoud M., Khairia El-Said El-Nadi, Osama L. Mostafa, and Hamdy M. Ahmed. "Volterra equations with fractional stochastic integrals." Mathematical Problems in Engineering 2004, no. 5 (2004): 453–68. http://dx.doi.org/10.1155/s1024123x04312020.
Повний текст джерелаАнотація:
Some fractional stochastic systems of integral equations are studied. The fractional stochastic Skorohod integrals are also studied. The existence and uniquness of the considered stochastic fractional systems are established. An application of the fractional Black-Scholes is considered.
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Tudor, Ciprian A. "Itô-Skorohod stochastic equations and applications to finance." Journal of Applied Mathematics and Stochastic Analysis 2004, no. 4 (January 1, 2004): 359–69. http://dx.doi.org/10.1155/s1048953304311044.
Повний текст джерелаАнотація:
We prove an existence and uniqueness theorem for a class of Itô-Skorohod stochastic equations. As an application, we introduce a Black-Scholes market model where the price of the risky asset follows a nonadapted equation.
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Bishwal, Jaya P. N. "Maximum likelihood estimation in Skorohod stochastic differential equations." Proceedings of the American Mathematical Society 138, no. 04 (April 1, 2010): 1471. http://dx.doi.org/10.1090/s0002-9939-09-10113-2.
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Buckdahn, Rainer. "Anticipative Girsanov transformations and Skorohod stochastic differential equations." Memoirs of the American Mathematical Society 111, no. 533 (1994): 0. http://dx.doi.org/10.1090/memo/0533.
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DONEY, R., and T. ZHANG. "Perturbed Skorohod equations and perturbed reflected diffusion processes." Annales de l'Institut Henri Poincare (B) Probability and Statistics 41, no. 1 (January 2005): 107–21. http://dx.doi.org/10.1016/j.anihpb.2004.03.005.
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Buckdahn, R., P. Malliavin, and D. Nualart. "Multidimensional linear stochastic differential equations in the skorohod sense." Stochastics and Stochastic Reports 62, no. 1-2 (November 1997): 117–45. http://dx.doi.org/10.1080/17442509708834130.
Повний текст джерелаДисертації з теми "Skorohod equations"
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Önskog, Thomas. "The Skorohod problem and weak approximation of stochastic differential equations in time-dependent domains." Doctoral thesis, Umeå universitet, Institutionen för matematik och matematisk statistik, 2009. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-25429.
Повний текст джерелаАнотація:
This thesis consists of a summary and four scientific articles. All four articles consider various aspects of stochastic differential equations and the purpose of the summary is to provide an introduction to this subject and to supply the notions required in order to fully understand the articles. In the first article we conduct a thorough study of the multi-dimensional Skorohod problem in time-dependent domains. In particular we prove the existence of cádlág solutions to the Skorohod problem with oblique reflection in time-independent domains with corners. We use this existence result to construct weak solutions to stochastic differential equations with oblique reflection in time-dependent domains. In the process of obtaining these results we also establish convergence results for sequences of solutions to the Skorohod problem and a number of estimates for solutions, with bounded jumps, to the Skorohod problem. The second article considers the problem of determining the sensitivities of a solution to a second order parabolic partial differential equation with respect to perturbations in the parameters of the equation. We derive an approximate representation of the sensitivities and an estimate of the discretization error arising in the sensitivity approximation. We apply these theoretical results to the problem of determining the sensitivities of the price of European swaptions in a LIBOR market model with respect to perturbations in the volatility structure (the so-called ‘Greeks’). The third article treats stopped diffusions in time-dependent graph domains with low regularity. We compare, numerically, the performance of one adaptive and three non-adaptive numerical methods with respect to order of convergence, efficiency and stability. In particular we investigate if the performance of the algorithms can be improved by a transformation which increases the regularity of the domain but, at the same time, reduces the regularity of the parameters of the diffusion. In the fourth article we use the existence results obtained in Article I to construct a projected Euler scheme for weak approximation of stochastic differential equations with oblique reflection in time-dependent domains. We prove theoretically that the order of convergence of the proposed algorithm is 1/2 and conduct numerical simulations which support this claim.
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Önskog, Thomas. "The Skorohod problem and weak approximation of stochastic differential equations in time-dependent domains." Umeå : Umeå universitet, 2009. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-25429.
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Fromm, Alexander. "Theory and applications of decoupling fields for forward-backward stochastic differential equations." Doctoral thesis, Humboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät II, 2015. http://dx.doi.org/10.18452/17115.
Повний текст джерелаАнотація:
Diese Arbeit beschäftigt sich mit der Theorie der sogenannten stochastischen Vorwärts-Rückwärts-Differentialgleichungen (FBSDE), welche als ein stochastisches Anologon und in gewisser Weise als eine Verallgemeinerung von parabolischen quasi-linearen partiellen Differentialgleichungen betrachtet werden können. Die Dissertation besteht aus zwei Teilen: In dem ersten entwicklen wir die Theorie der sogenannten Entkopplungsfelder für allgemeine mehrdimensionale stark gekoppelte FBSDE. Diese Theorie besteht aus Existenz- sowie Eindeutigkeitsresultaten basierend auf dem Konzept des maximalen Intervalls. Es beinhaltet darüberhinaus Werkzeuge um Regularität von konkreten Problemen zu untersuchen. Insgesamt wird die Theorie für drei Klassen von Problemen entwickelt: In dem ersten Fall werden Lipschitz-Bedingungen an die Parameter des Problems vorausgesetzt, welche zugleich vom Zufall abhängen dürfen. Die Untersuchung der beiden anderen Klassen basiert auf dem ersten. In diesen werden die Parameter als deterministisch vorausgesetzt. Gleichwohl wird die Lipschitz-Stetigkeit durch zwei verschiedene Formen der lokalen Lipschitz-Stetigkeit abgeschwächt. In dem zweiten Teil werden diese abstrakten Resultate auf drei konkrete Probleme angewendet: In der ersten Anwendung wird gezeigt wie globale Lösbarkeit von FBSDE in dem sogenannten nicht-degenerierten Fall untersucht werden kann. In der zweiten Anwendung wird die Lösbarkeit eines gekoppelten Systems gezeigt, welches eine Lösung zu dem Skorokhod''schen Einbettungproblem liefert. Die Lösung wird für den Fall einer allgemeinen nicht-linearen Drift konstruiert. Die dritte Anwendung führt auf Lösbarkeit eines komplexen gekoppelten Vorwärt-Rückwärts-Systems, aus welchem optimale Strategien für das Problem der Nutzenmaximierung in unvollständingen Märkten konstruiert werden. Das System wird in einem verhältnismäßig allgmeinen Rahmen gelöst, d.h. für eine verhältnismäßig allgemeine Klasse von Nutzenfunktion auf den reellen Zahlen.This thesis deals with the theory of so called forward-backward stochastic differential equations (FBSDE) which can be seen as a stochastic formulation and in some sense generalization of parabolic quasi-linear partial differential equations. The thesis consist of two parts: In the first we develop the theory of so called decoupling fields for general multidimensional fully coupled FBSDE in a Brownian setting. The theory consists of uniqueness and existence results for decoupling fields on the so called the maximal interval. It also provides tools to investigate well-posedness and regularity for particular problems. In total the theory is developed for three different classes of FBSDE: In the first Lipschitz continuity of the parameter functions is required, which at the same time are allowed to be random. The other two classes we investigate are based on the theory developed for the first one. In both of them all parameter functions have to be deterministic. However, two different types of local Lipschitz continuity replace the more restrictive Lipschitz continuity of the first class. In the second part we apply these techniques to three different problems: In the first application we demonstrate how well-posedness of FBSDE in the so called non-degenerate case can be investigated. As a second application we demonstrate the solvability of a system, which provides a solution to the so called Skorokhod embedding problem (SEP) via FBSDE. The solution to the SEP is provided for the case of general non-linear drift. The third application provides solutions to a complex FBSDE from which optimal trading strategies for a problem of utility maximization in incomplete markets are constructed. The FBSDE is solved in a relatively general setting, i.e. for a relatively general class of utility functions on the real line.
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Sabbagh, Wissal. "Some Contributions on Probabilistic Interpretation For Nonlinear Stochastic PDEs." Thesis, Le Mans, 2014. http://www.theses.fr/2014LEMA1019/document.
Повний текст джерелаАнотація:
L'objectif de cette thèse est l'étude de la représentation probabiliste des différentes classes d'EDPSs non-linéaires(semi-linéaires, complètement non-linéaires, réfléchies dans un domaine) en utilisant les équations différentielles doublement stochastiques rétrogrades (EDDSRs). Cette thèse contient quatre parties différentes. Nous traitons dans la première partie les EDDSRs du second ordre (2EDDSRs). Nous montrons l'existence et l'unicité des solutions des EDDSRs en utilisant des techniques de contrôle stochastique quasi- sure. La motivation principale de cette étude est la représentation probabiliste des EDPSs complètement non-linéaires. Dans la deuxième partie, nous étudions les solutions faibles de type Sobolev du problème d'obstacle pour les équations à dérivées partielles inteégro-différentielles (EDPIDs). Plus précisément, nous montrons la formule de Feynman-Kac pour l'EDPIDs par l'intermédiaire des équations différentielles stochastiques rétrogrades réfléchies avec sauts (EDSRRs). Plus précisément, nous établissons l'existence et l'unicité de la solution du problème d'obstacle, qui est considérée comme un couple constitué de la solution et de la mesure de réflexion. L'approche utilisée est basée sur les techniques de flots stochastiques développées dans Bally et Matoussi (2001) mais les preuves sont beaucoup plus techniques. Dans la troisième partie, nous traitons l'existence et l'unicité pour les EDDSRRs dans un domaine convexe D sans aucune condition de régularité sur la frontière. De plus, en utilisant l'approche basée sur les techniques du flot stochastiques nous démontrons l'interprétation probabiliste de la solution faible de type Sobolev d'une classe d'EDPSs réfléchies dans un domaine convexe via les EDDSRRs. Enfin, nous nous intéressons à la résolution numérique des EDDSRs à temps terminal aléatoire. La motivation principale est de donner une représentation probabiliste des solutions de Sobolev d'EDPSs semi-linéaires avec condition de Dirichlet nul au bord. Dans cette partie, nous étudions l'approximation forte de cette classe d'EDDSRs quand le temps terminal aléatoire est le premier temps de sortie d'une EDS d'un domaine cylindrique. Ainsi, nous donnons les bornes pour l'erreur d'approximation en temps discret. Cette partie se conclut par des tests numériques qui démontrent que cette approche est effectiveThe objective of this thesis is to study the probabilistic representation (Feynman-Kac for- mula) of different classes ofStochastic Nonlinear PDEs (semilinear, fully nonlinear, reflected in a domain) by means of backward doubly stochastic differential equations (BDSDEs). This thesis contains four different parts. We deal in the first part with the second order BDS- DEs (2BDSDEs). We show the existence and uniqueness of solutions of 2BDSDEs using quasi sure stochastic control technics. The main motivation of this study is the probabilistic representation for solution of fully nonlinear SPDEs. First, under regularity assumptions on the coefficients, we give a Feynman-Kac formula for classical solution of fully nonlinear SPDEs and we generalize the work of Soner, Touzi and Zhang (2010-2012) for deterministic fully nonlinear PDE. Then, under weaker assumptions on the coefficients, we prove the probabilistic representation for stochastic viscosity solution of fully nonlinear SPDEs. In the second part, we study the Sobolev solution of obstacle problem for partial integro-differentialequations (PIDEs). Specifically, we show the Feynman-Kac formula for PIDEs via reflected backward stochastic differentialequations with jumps (BSDEs). Specifically, we establish the existence and uniqueness of the solution of the obstacle problem, which is regarded as a pair consisting of the solution and the measure of reflection. The approach is based on stochastic flow technics developed in Bally and Matoussi (2001) but the proofs are more technical. In the third part, we discuss the existence and uniqueness for RBDSDEs in a convex domain D without any regularity condition on the boundary. In addition, using the approach based on the technics of stochastic flow we provide the probabilistic interpretation of Sobolev solution of a class of reflected SPDEs in a convex domain via RBDSDEs. Finally, we are interested in the numerical solution of BDSDEs with random terminal time. The main motivation is to give a probabilistic representation of Sobolev solution of semilinear SPDEs with Dirichlet null condition. In this part, we study the strong approximation of this class of BDSDEs when the random terminal time is the first exit time of an SDE from a cylindrical domain. Thus, we give bounds for the discrete-time approximation error.. We conclude this part with numerical tests showing that this approach is effective
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THIEU, THI KIM THOA. "Models for coupled active--passive population dynamics: mathematical analysis and simulation." Doctoral thesis, Gran Sasso Science Institute, 2020. http://hdl.handle.net/20.500.12571/15016.
Повний текст джерелаАнотація:
In this dissertation, we study models for coupled active--passive pedestrian dynamics from mathematical analysis and simulation perspectives. The general aim is to contribute to a better understanding of complex pedestrian flows.
This work comes in three main parts, in which we adopt distinct perspectives and conceptually different tools from lattice gas models, partial differential equations, and stochastic differential equations, respectively.
In part one, we introduce two lattice models for active--passive pedestrian dynamics. In a first model, using descriptions based on the simple exclusion process, we study the dynamics of pedestrian escape from an obscure room in a lattice domain with two species of particles (pedestrians). The main observable is the evacuation time as a function of the parameters caracterizing the motion of the active pedestrians. Our Monte Carlo simulation results show that the presence of the active pedestrians can favor the evacuation of the passive ones. We interpret this phenomenon as a discrete space counterpart of the so-called drafting effect. In a second model, we consider again a microscopic approach based on a modification of the simple exclusion process formulated for active--passive populations of interacting pedestrians. The model describes a scenario where pedestrians are walking in a built environment and enter a room from two opposite sides. For such counterflow situation, we have found out that the motion of active particles improves the outgoing current of the passive particles.
In part two, we study a fluid-like driven system modeling active--passive pedestrian dynamics in a heterogenous domain. We prove the well-posedness of a nonlinear coupled parabolic system that models the evolution of the complex pedestrian flow by using special energy estimates, a Schauder's fixed point argument and the properties of the nonlinearity's structure.
In the third part, we describe via a coupled nonlinear system of Skorohod-like stochastic differential equations the dynamics of active--passive pedestrians dynamics through a heterogenous domain in the presence of fire and smoke. We prove the existence and uniqueness of strong solutions to our model when reflecting boundary conditions are imposed on the boundaries. To achieve this we used compactness methods and the Skorohod's representation of solutions to SDEs posed in bounded domains. Furthermore, we study an homogenization setting for a toy model (a semi-linear elliptic equation) where later on our pedestrian models can be studied.
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Lindhe, Adam. "Reflected Stochastic Differential Equations on a Time-Dependent Non-Smooth Domain." Thesis, KTH, Matematisk statistik, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-229073.
Повний текст джерелаАнотація:
In this thesis we prove existence and uniqueness for reflected stochastic differential equation on a specific non-smooth, time-dependent domain. The domain is the intersection of a finite number of smooth domains that are allowed to vary in time. The reflection is oblique to the domain and at the corners more than one direction of reflection is allowed. The time restrictions on the domain is firstly the existence of a semiconcave family of sets that are C¹;+ in time. Secondly that the distance function to the domain is in W¹;p. The first part of the proof is to construct of three kinds of test functions with desired properties. Using these test functions, existence is proved to the Skorokhod problem. Finally uniqueness is proved for the reflected stochastic differential equation.I den här mastersuppsatsen så bevisar vi existens och entydighet för reflekterade stokastiska differentialekvation på ett icke slätt, tidsberoende område. Området är snittet mellan ett ändligt antal släta områden som tillåts variera i tiden. Reflektionen är ej nödvändigtvis vinkelrät till området och i hörnen finns det mer än en tillåten riktning. Tidsrestriktionen på området är dels existensen av en familj av semikonkava mängder som är C¹;+ i tiden. Dessutom att avståndet till området är W¹;p i tiden. Första delen av beviset är att konstruera tre hjälp funktioner med eftersökta egenskaper. Med hjälp av de här funktionerna så bevisas sedan existens av lösningar till Skorokhod problemet. Slutligen så bevisas entydighet av den reflekterade stokastiska differentialekvationen.
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Prömel, David Johannes. "Robust stochastic analysis with applications." Doctoral thesis, Humboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät, 2015. http://dx.doi.org/10.18452/17373.
Повний текст джерелаАнотація:
Diese Dissertation präsentiert neue Techniken der Integration für verschiedene Probleme der Finanzmathematik und einige Anwendungen in der Wahrscheinlichkeitstheorie. Zu Beginn entwickeln wir zwei Zugänge zur robusten stochastischen Integration. Der erste, ähnlich der Ito’schen Integration, basiert auf einer Topologie, erzeugt durch ein äußeres Maß, gegeben durch einen minimalen Superreplikationspreis. Der zweite gründet auf der Integrationtheorie für rauhe Pfade. Wir zeigen, dass das entsprechende Integral als Grenzwert von nicht antizipierenden Riemannsummen existiert und dass sich jedem "typischen Preispfad" ein rauher Pfad im Ito’schen Sinne zuordnen lässt. Für eindimensionale "typische Preispfade" wird sogar gezeigt, dass sie Hölder-stetige Lokalzeiten besitzen. Zudem erhalten wir Verallgemeinerungen von Föllmer’s pfadweiser Ito-Formel. Die Integrationstheorie für rauhe Pfade kann mit dem Konzept der kontrollierten Pfade und einer Topologie, welche die Information der Levy-Fläche enthält, entwickelt werden. Deshalb untersuchen wir hinreichende Bedingungen an die Kontrollstruktur für die Existenz der Levy-Fläche. Dies führt uns zur Untersuchung von Föllmer’s Ito-Formel aus der Sicht kontrollierter Pfade. Para-kontrollierte Distributionen, kürzlich von Gubinelli, Imkeller und Perkowski eingeführt, erweitern die Theorie rauher Pfade auf den Bereich von mehr-dimensionale Parameter. Wir verallgemeinern diesen Ansatz von Hölder’schen auf Besov-Räume, um rauhe Differentialgleichungen zu lösen, und wenden die Ergebnisse auf stochastische Differentialgleichungen an. Zum Schluß betrachten wir stark gekoppelte Systeme von stochastischen Vorwärts-Rückwärts-Differentialgleichungen (FBSDEs) und erweitern die Theorie der Existenz, Eindeutigkeit und Regularität der sogenannten Entkopplungsfelder auf Markovsche FBSDEs mit lokal Lipschitz-stetigen Koeffizienten. Als Anwendung wird das Skorokhodsche Einbettungsproblem für Gaußsche Prozesse mit nichtlinearem Drift gelöst.In this thesis new robust integration techniques, which are suitable for various problems from stochastic analysis and mathematical finance, as well as some applications are presented. We begin with two different approaches to stochastic integration in robust financial mathematics. The first one is inspired by Ito’s integration and based on a certain topology induced by an outer measure corresponding to a minimal superhedging price. The second approach relies on the controlled rough path integral. We prove that this integral is the limit of non-anticipating Riemann sums and that every "typical price path" has an associated Ito rough path. For one-dimensional "typical price paths" it is further shown that they possess Hölder continuous local times. Additionally, we provide various generalizations of Föllmer’s pathwise Ito formula. Recalling that rough path theory can be developed using the concept of controlled paths and with a topology including the information of Levy’s area, sufficient conditions for the pathwise existence of Levy’s area are provided in terms of being controlled. This leads us to study Föllmer’s pathwise Ito formulas from the perspective of controlled paths. A multi-parameter extension to rough path theory is the paracontrolled distribution approach, recently introduced by Gubinelli, Imkeller and Perkowski. We generalize their approach from Hölder spaces to Besov spaces to solve rough differential equations. As an application we deal with stochastic differential equations driven by random functions. Finally, considering strongly coupled systems of forward and backward stochastic differential equations (FBSDEs), we extend the existence, uniqueness and regularity theory of so-called decoupling fields to Markovian FBSDEs with locally Lipschitz continuous coefficients. These results allow to solve the Skorokhod embedding problem for a class of Gaussian processes with non-linear drift.
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Hibon, Hélène. "Équations différentielles stochastiques rétrogrades quadratiques et réfléchies." Thesis, Rennes 1, 2018. http://www.theses.fr/2018REN1S007/document.
Повний текст джерелаАнотація:
Cette thèse s'intéresse à une étude variée des EDSRs. Une grande partie des résultats sont obtenus sous l'hypothèse d'une croissance de type quadratique du générateur en sa dernière variable. Un premier lien entre EDSRs quadratiques unidimensionnelles et théorie des jeux nous amène à développer des résultats avec générateurs convexes. La théorie du contrôle optimal nécessite quant à elle de traiter du cas multidimensionnel, dans lequel existence et unicité globales ne sont obtenues que pour des générateurs diagonalement quadratiques. Les résultats majeurs sur les EDSRs réfléchies (dont la solution est contrainte à rester dans un domaine) concernent des générateurs Lipschitziens. C'est dans ce cadre que nous développons un résultat de propagation du chaos, avec une contrainte portant sur la loi de la solution plutôt que sur sa trajectoire. Nous dressons enfin un pont entre EDSRs quadratiques et EDSRs réfléchies grâce aux EDSRs quadratiques de type champ moyen. Nous donnons plusieurs nouveaux résultats sur la possibilité de résoudre une équation quadratique dont le générateur dépend également de la moyenne des deux variablesIn this thesis, we are interested in studying variously Backward Stochastic Differential Equations. A large proportion of the results are obtained under the assumption that the driver is of quadratic growth in its last variable. A first link between one-dimensional quadratic BSDEs and game theory leads us to develop results with convex drivers. Optimal control theory requires as for it to deal with the multidimensional case, in which global existence and uniqueness are obtained only for diagonaly quadratic drivers. Major achievements in reflected BSDEs (whose solution is constrained to remain in a domain) are reached for Lipschitz drivers. We develop a result of chaos propagation in this setting, with a constraint on the law of the solution rather than on its path. We finaly build bridge between quadratic BSDEs and reflected BSDEs thanks to mean field quadratic BSDEs. We give several new results on solvability of a quadratic BSDE whose driver depends also on the mean of both variables
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Soumana, Hima Abdoulaye. "Équations différentielles stochastiques sous G-espérance et applications." Thesis, Rennes 1, 2017. http://www.theses.fr/2017REN1S007/document.
Повний текст джерелаАнотація:
Depuis la publication de l'ouvrage de Choquet (1955), la théorie d'espérance non linéaire a attiré avec grand intérêt des chercheurs pour ses applications potentielles dans les problèmes d'incertitude, les mesures de risque et le super-hedging en finance. Shige Peng a construit une sorte d'espérance entièrement non linéaire dynamiquement cohérente par l'approche des EDP. Un cas important d'espérance non linéaire cohérente en temps est la G-espérance, dans laquelle le processus canonique correspondant (B_{t})_{t≥0} est appelé G-mouvement brownien et joue un rôle analogue au processus de Wiener classique. L'objectif de cette thèse est d'étudier, dans le cadre de la G-espérance, certaines équations différentielles stochastiques rétrogrades (G-EDSR) à croissance quadratique avec applications aux problèmes de maximisation d'utilité robuste avec incertitude sur les modèles, certaines équations différentielles stochastiques (G-EDS) réfléchies et équations différentielles stochastiques rétrogrades réfléchies avec générateurs lipschitziens. On considère d'abord des G-EDSRs à croissance quadratique. Dans le Chapitre 2 nous fournissons un resultat d'existence et unicité pour des G-EDSRs à croissance quadratique. D'une part, nous établissons des estimations a priori en appliquant le théorème de type Girsanov, d'où l'on en déduit l'unicité. D'autre part, pour prouver l'existence de solutions, nous avons d'abord construit des solutions pour des G-EDSRs discretes en résolvant des EDPs non-linéaires correspondantes, puis des solutions pour les G-EDSRs quadratiques générales dans les espaces de Banach. Dans le Chapitre 3 nous appliquons les G-EDSRs quadratiques aux problèmes de maximisation d'utilité robuste. Nous donnons une caratérisation de la fonction valeur et une stratégie optimale pour les fonctions d'utilité exponentielle, puissance et logarithmique. Dans le Chapitre 4, nous traitons des G-EDSs réfléchies multidimensionnelles. Nous examinons d'abord la méthode de pénalisation pour résoudre des problèmes de Skorokhod déterministes dans des domaines non convexes et établissons des estimations pour des fonctions α-Hölder continues. A l'aide de ces résultats obtenus pour des problèmes déterministes, nous définissons le G-mouvement Brownien réfléchi et prouvons son existence et son unicité dans un espace de Banach. Ensuite, nous prouvons l'existence et l'unicité de solution pour les G-EDSRs multidimensionnelles réfléchies via un argument de point fixe. Dans le Chapitre 5, nous étudions l'existence et l'unicité pour les équations différentielles stochastiques rétrogrades réfléchies dirigées par un G-mouvement brownien lorsque la barrière S est un processus de G-ItôSince the publication of Choquet's (1955) book, the theory of nonlinear expectation has attracted great interest from researchers for its potential applications in uncertainty problems, risk measures and super-hedging in finance. Shige Peng has constructed a kind of fully nonlinear expectation dynamically coherent by the PDE approach. An important case of time-consistent nonlinear expectation is G-expectation, in which the corresponding canonical process (B_{t})_{t≥0} is called G-Brownian motion and plays a similar role to the classical Wiener process. The objective of this thesis is to study, in the framework of the G-expectation, some backward stochastic differential equations (G-BSDE) under a quadratic growth condition on their coefficients with applications to robust utility maximization problems with uncertainty on models, Reflected stochastic differential equations (reflected G-SDE) and reflected backward stochastic differential equations with Lipschitz coefficients (reflected G-BSDE). We first consider G-BSDE with quadratic growth. In Chapter 2 we provide a result of existence and uniqueness for quadratic G-BSDEs. On the one hand, we establish a priori estimates by applying the Girsanov-type theorem, from which we deduce the uniqueness. On the other hand, to prove the existence of solutions, we first constructed solutions for discrete G-BSDEs by solving corresponding nonlinear PDEs, then solutions for the general quadratic G-BSDEs in the spaces of Banach. In Chapter 3 we apply quadratic G-BSDE to robust utility maximization problems. We give a characterization of the value function and an optimal strategy for exponential, power and logarithmic utility functions. In Chapter 4, we discuss multidimensional reflected G-SDE. We first examine the penalization method to solve deterministic Skorokhod problems in non-convex domains and establish estimates for continuous α-Hölder functions. Using these results for deterministic problems, we define the reflected G-Brownian motion and prove its existence and its uniqueness in a Banach space. Then we prove the existence and uniqueness of the solution for the multidimensional reflected G-SDE via a fixed point argument. In Chapter 5, we study the existence and uniqueness of the reflected backward stochastic differential equations driven by a G-Brownian motion when the obstacle S is a G-Itô process
Книги з теми "Skorohod equations"
1
Anticipative Girsanov transformations and Skorohod stochastic differential equations. Providence, RI: American Mathematical Society, 1994.
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1
Buckdahn, Rainer. "Nonlinear Skorohod Stochastic Differential Equations." In Barcelona Seminar on Stochastic Analysis, 21–39. Basel: Birkhäuser Basel, 1993. http://dx.doi.org/10.1007/978-3-0348-8555-3_2.
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2
Alòs, Elisa, and David Nualart. "A Maximal Inequality for the Skorohod Integral." In Stochastic Differential and Difference Equations, 241–51. Boston, MA: Birkhäuser Boston, 1997. http://dx.doi.org/10.1007/978-1-4612-1980-4_18.
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3
Fukushima, Masatoshi. "Dirichlet Forms, Caccioppoli Sets and the Skorohod Equation." In Stochastic Differential and Difference Equations, 59–66. Boston, MA: Birkhäuser Boston, 1997. http://dx.doi.org/10.1007/978-1-4612-1980-4_6.
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4
Privault, Nicolas. "Linear Skorohod stochastic differential equations on Poisson space." In Stochastic Analysis and Related Topics V, 237–53. Boston, MA: Birkhäuser Boston, 1996. http://dx.doi.org/10.1007/978-1-4612-2450-1_12.
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5
Borkowski, Dariusz. "Chromaticity Denoising using Solution to the Skorokhod Problem." In Image Processing Based on Partial Differential Equations, 149–61. Berlin, Heidelberg: Springer Berlin Heidelberg, 2007. http://dx.doi.org/10.1007/978-3-540-33267-1_9.
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6
Millet, Annie, and Marta Sanz-Solé. "On the Support of a Skorohod Anticipating Stochastic Differential Equation." In Barcelona Seminar on Stochastic Analysis, 103–31. Basel: Birkhäuser Basel, 1993. http://dx.doi.org/10.1007/978-3-0348-8555-3_7.
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7
Buckdahn, R. "A linear stochastic differential equation with Skorohod integral." In Markov Processes and Control Theory, 9–15. De Gruyter, 1989. http://dx.doi.org/10.1515/9783112620243-003.
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