generalized reflected bsdes driven by a levy process and an obstacle problem for pdies with a nonlinear neumann boundary condition in this paper we derive the existence and uniqueness of the solution for a class of generalized reflected backward stochastic differential equations grbsdes in short driven by a levy process which involve the integral with respect to a continuous process by means of the snell envelope the penalization method and the fixed point theorem in addition we obtain the comparison theorem for the solutions of the grbsdes as an application we give a probabilistic formula for the viscosity solution of an obstacle problem for a class of partial differential integral equations pdies in short with a nonlinear neumann boundary condition

reflected solutions of backward sde s and related obstacle problems for pde s we study reflected solutions of one dimensional backward stochastic differential equations the reflection keeps the solution above a given stochastic process we prove uniqueness and existence both by a fixed point argument and by approximation via penalization we show that when the coefficient has a special form then the solution of our problem is the value function of a mixed optimal stopping optimal stochastic control problem we finally show that when put in a markovian framework the solution of our reflected bsde provides a probabilistic formula for the unique viscosity solution of an obstacle problem for a parabolic partial differential equation

numerical approximation of doubly reflected bsdes with jumps and rcll obstacles we study a discrete time approximation scheme for the solution of a doubly reflected backward stochastic differential equation dbbsde in short with jumps driven by a brownian motion and an independent compensated poisson process moreover we suppose that the obstacles are right continuous and left limited rcll processes with predictable and totally inaccessible jumps and satisfy mokobodski s condition our main contribution consists in the construction of an implementable numerical sheme based on two random binomial trees and the penalization method which is shown to converge to the solution of the dbbsde finally we illustrate the theoretical results with some numerical examples in the case of general jumps

on the equality of solutions of max min and min max systems of variational inequalities with interconnected bilateral obstacles abstract in this paper we deal with the solutions of systems of pdes with bilateral interconnected obstacles of min max and max min types these systems arise naturally in stochastic switching zero sum game problems we show that when the switching costs of one side are regular the solutions of the min max and max min systems coincide then this common viscosity solution is related to a multi dimensional doubly reflected bsde with bilateral interconnected obstacles finally its relationship with the values of a zero sum switching game is studied

generalized bsde with 2 reflecting barriers and stochastic quadratic growth abstract we study the existence of a solution for a one dimensional generalized backward stochastic differential equation with two reflecting barriers grbsde for short under assumptions on the input data which are weaker than that on the current literature in particular we construct a maximal solution for such a grbsde when the terminal condition is only f t measurable and the driver f is continuous with general growth with respect to the variable y and stochastic quadratic growth with respect to the variable z without assuming any p integrability conditions the work is suggested by the interest the results might have in dynkin game problem and american game option

preconditioned newton methods using incremental unknowns methods for the resolution of a steady state navier stokes like problem in a previous work one of the authors has studied a numerical treatment by fully implicit discretizations of a two dimensional navier stokes like problem and has proved existence and convergence results for the resulting discretized systems with homogeneous dirichlet boundary conditions in this work we propose some new preconditioned multilevel versions of inexact newton algorithms to solve these equations we also develop another multilevel preconditioner for a nonlinear gmres algorithm all of the preconditioners are based on incremental unknowns formulations

two player nonzero sum stopping games in discrete time we prove that every two player non zero sum stopping game in discrete time admits an equilibrium in randomized strategies for every 0 we use a stochastic variation of ramsey theorem which enables us to reduce the problem to that of studying properties of equilibria in a simple class of stochastic games with finite state space

adapted solution of a backward stochastic differential equation abstract let wt t 0 1 be a standard k dimensional weiner process defined on a probability space f p and let ft denote its natural filtration given a f1 measurable d dimensional random vector x we look for an adapted pair of processes x t y t t 0 1 with values in rd and rd k respectively which solves an equation of the form x t t 1 f s x s y s ds t 1 g s x s y s dw s x a linearized version of that equation appears in stochastic control theory as the equation satisfied by the adjoint process we also generalize our results to the following equation x t t 1 f s x s y s ds t 1 g s x s y s dw s x under rather restrictive assumptions on g

backward stochastic differential equations with reflection and dynkin games we establish existence and uniqueness results for adapted solutions of backward stochastic differential equations bsde s with two reflecting barriers generalizing the work of el karoui kapoudjian pardoux peng and quenez existence is proved first by solving a related pair of coupled optimal stopping problems and then under different conditions via a penalization method it is also shown that the solution coincides with the value of a certain dynkin game a stochastic game of optimal stopping moreover the connection with the backward sde enables us to provide a pathwise deterministic approach to the game

cellwise conservative unsplit advection for the volume of fluid method we present a cellwise conservative unsplit ccu advection scheme for the volume of fluid method vof in 2d contrary to other schemes based on explicit calculations of the flux balances the ccu advection adopts a cellwise approach where the pre images of the control volumes are traced backwards through the flow map the donating regions of the fluxes are calculated via the streaklines of the grid intersections represented as polygonal chains whose vertices are determined by backward tracing of particles injected in the flow at different times high order accuracy is obtained from the fourth order runge kutta method where intermediate velocities along pathlines are determined with quadratic temporal and bicubic spatial interpolations the volumes of the donating regions are corrected in order to fulfill the discrete continuity of incompressible flows consequently the calculation produces non overlapping donating regions and pre images with conforming edges to their neighbors resulting in the conservativeness and the boundedness liquid volume fraction inside the interval 0 1 of the ccu advection scheme finally the update of the liquid volume fractions is computed from the intersections of the pre image polygons with the reconstructed interfaces the ccu scheme is tested on several benchmark tests for the vof advection together with the standard piecewise linear interface calculation plic the geometrical errors of the ccu compare favorably with other unsplit vof plic schemes finally potential improvements of the vof method with the use of more precise interface representation techniques and the future extension of the ccu scheme to 3d are discussed cellwise vof update through backward tracing of the cell s pre image accuracy enhanced via bicubic spatial interpolation and polygonal chain streakline the ccu advection scheme is fully conservative and bounded no limitation on the courant number geometrical errors dominated by plic interface representation errors

backward stochastic differential equations with constraints on the gains process we consider backward stochastic differential equations with convex constraints on the gains or intensity of noise process existence and uniqueness of a minimal solution are established in the case of a drift coefficient which is lipschitz continuous in the state and gains processes and convex in the gains process it is also shown that the minimal solution can be characterized as the unique solution of a functional stochastic control type equation this representation is related to the penalization method for constructing solutions of stochastic differential equations involves change of measure techniques and employs notions and results from convex analysis such as the support function of the convex set of constraints and its various properties

bsdes with two reflecting barriers the general result in this paper we show the existence of a solution for the bsde with two reflecting barriers when those latter are completely separated neither mokobodzki s condition nor the regularity of the barriers are supposed the main tool is the notion of local solution of reflected bsdes applications related to dynkin games and double obstacle variational inequality are given

dynkin game of stochastic differential equations with random coefficients and associated backward stochastic partial differential variational inequality a dynkin game is considered for stochastic differential equations with random coefficients we first apply qiu and tang s maximum principle for backward stochastic partial differential equations to generalize a krylov estimate for the distribution of a markov process to that of a non markov process and establish a generalized ito kunita wentzell formula which allows the test function as an ito process to take values in a sobolev space we then prove the verification theorem that the nash equilibrium point and the value of the dynkin game are characterized by the strong solution of the associated hamilton jacobi bellman isaacs equation which is currently a backward stochastic partial differential variational inequality bspdvi with two obstacles finally we prove the existence and uniqueness result and a comparison theorem for strong solution of the bspdvi

reflected scheme for doubly reflected bsdes with jumps and rcll obstacles we introduce a discrete time reflected scheme to solve doubly reflected backward stochastic differential equations with jumps in short drbsdes driven by a brownian motion and an independent compensated poisson process as in dumitrescu and labart 2014 we approximate the brownian motion and the poisson process by two random walks but contrary to this paper we discretize directly the drbsde without using a penalization step this gives us a fully implementable scheme which only depends on one parameter of approximation the number of time steps n contrary to the scheme proposed in dumitrescu and labart 2014 which also depends on the penalization parameter we prove the convergence of the scheme and give some numerical examples

on the starting and stopping problem application in reversible investments in this work we solve completely the starting and stopping problem when the dynamics of the system are a general adapted stochastic process we use backward stochastic differential equations bsdes and snell envelopes finally we give some numerical results

dynkin game of convertible bonds and their optimal strategy abstract this paper studies the valuation and optimal strategy of convertible bonds as a dynkin game by using the reflected backward stochastic differential equation method and the variational inequality method we first reduce such a dynkin game to an optimal stopping time problem with state constraint and then in a markovian setting we investigate the optimal strategy by analyzing the properties of the corresponding free boundary including its position asymptotics monotonicity and regularity we identify situations when call precedes conversion and vice versa moreover we show that the irregular payoff results in the possibly non monotonic conversion boundary surprisingly the price of the convertible bond is not necessarily monotonic in time it may even increase when time approaches maturity

on the quasi linear reflected backward stochastic partial differential equations abstract this paper is concerned with the quasi linear reflected backward stochastic partial differential equation rbspde for short basing on the theory of backward stochastic partial differential equation and the parabolic capacity and potential we first associate rbspde to a variational problem and via the penalization method we prove the existence and uniqueness of the solution for linear rbspde with laplacian leading coefficients with the continuity approach we further obtain the well posedness of general quasi linear rbspdes related results including ito formulas for backward stochastic partial differential equations with stochastic regular measures the comparison principle for solutions of rbspdes and the connections with reflected backward stochastic differential equations and optimal stopping problems are addressed as well

anticipated backward stochastic differential equations in this paper we discuss new types of differential equations which we call anticipated backward stochastic differential equations anticipated bsdes in these equations the generator includes not only the values of solutions of the present but also the future we show that these anticipated bsdes have unique solutions a comparison theorem for their solutions and a duality between them and stochastic differential delay equations

numerical algorithms and simulations for reflected backward stochastic differential equations with two continuous barriers in this paper we study different algorithms for reflected backward stochastic differential equations bsde in short with two continuous barriers based on the framework of using a binomial tree to simulate 1 d brownian motion we introduce numerical algorithms by the penalization method and the reflected method respectively in the end simulation results are also presented

continuous time dynkin games with mixed strategies let x y z be a triple of payoff processes defining a dynkin game tilde r sigma tau e left x sigma 1 tau sigma y tau 1 tau sigma z tau 1 tau sigma right where sigma and tau are stopping times valued in 0 t in the case z y it is well known that the condition x leq y is needed in order to establish the existence of value for the game i e inf tau sup sigma tilde r sigma tau sup sigma inf tau tilde r sigma tau in order to remove the condition x leq y we introduce an extension of the dynkin game by allowing for an extended set of strategies namely the set of mixed strategies the main result of the paper is that the extended dynkin game has a value when z leq y and the processes x and y are restricted to be semimartingales continuous at the terminal time t

bounded variation singular stochastic control and dynkin game we consider a bounded variation singular stochastic control problem with value v in a general situation with control of a diffusion and nonlinear cost functional defined as solution to a backward stochastic differential equation bsde associated with this is a dynkin game with value u we establish the well known relation frac partial partial x v u for this general situation a saddle point for the dynkin game is given by the pair of first action times of an optimal control the methods are from stochastic analysis and include a priori estimates pathwise construction and comparison theorems for forward stochastic differential equations fsde and bsde

second order backward stochastic differential equations and fully nonlinear parabolic pdes for a d dimensional diffusion of the form dxt xt dt xt dwt and continuous functions f and g we study the existence and uniqueness of adapted processes y z and a solving the second order backward stochastic differential equation 2bsde dyt f t xt yt zt t dt z dxt t 0 t dzt at dt t dxt