Mean-field delayed BSDEs in finite and infinite horizon
Nacira Agram, Elin Engen R{\o}se
TL;DR
This paper investigates the existence and uniqueness of delayed backward stochastic differential equations (BSDEs) over finite and infinite time horizons, providing conditions for solutions in both settings.
Contribution
It introduces new conditions for the existence and uniqueness of delayed BSDEs on finite and infinite horizons, extending previous results to include decay conditions at infinity.
Findings
Established sufficient conditions for finite horizon delayed BSDEs.
Extended results to infinite horizon with decay conditions.
Provided a unified framework for delayed BSDEs in different time settings.
Abstract
We establish sufficient conditions for the existence and uniqueness of different types of delayed BSDEs in finite time horizon. We consider then infinite horizon, replacing the terminal value condition in the finite horizon case with a condition of strong decay at infinity.
Peer Reviews
No public reviews on file for this paper yet. If you reviewed it on a platform where reviews are public (OpenReview, ICLR, NeurIPS, ICML), you can paste yours below so the community can read it here.
Videos
No videos yet. Explain this paper in a talk, walkthrough, or lecture? Add one.
Taxonomy
TopicsAdvanced Mathematical Physics Problems · Stochastic processes and financial applications · Differential Equations and Numerical Methods