On coupled systems of Kolmogorov equations with applications to stochastic differential games

Stochastic Differential Equations with Applications

Application of DJ method to Ito stochastic differential equations

‎This paper develops iterative method described by [V‎. ‎Daftardar-Gejji‎, ‎H‎. ‎Jafari‎, ‎An iterative method for solving nonlinear functional equations‎, ‎J‎. ‎Math‎. ‎Anal‎. ‎Appl‎. ‎316 (2006) 753-763] to solve Ito stochastic differential equations‎. ‎The convergence of the method for Ito stochastic differential equations is assessed‎. ‎To verify efficiency of method‎, ‎some examples are ex...

Switching Games of Backward Stochastic Differential Equations

In this paper, we study the switching game of one-dimensional backward stochastic differential equations (BSDEs). This gives rise to a new type of multi-dimensional obliquely reflected BSDEs, which is a system of BSDEs reflected on the boundary of a special unbounded convex domain along an oblique direction. The existence of the adapted solution is obtained by the penalization method, the monot...

Stochastic Differential Equations and Applications

The expressions of solutions for general n × m matrix-valued inhomogeneous linear stochastic differential equations are derived. This generalizes a result of Jaschke (2003) for scalar inhomogeneous linear stochastic differential equations. As an application, some IR vector-valued inhomogeneous nonlinear stochastic differential equations are reduced to random differential equations, facilitating...

Coupled systems of equations with entire and polynomial functions

We consider the coupled system$F(x,y)=G(x,y)=0$,where$$F(x, y)=bs 0 {m_1}   A_k(y)x^{m_1-k}mbox{ and } G(x, y)=bs 0 {m_2} B_k(y)x^{m_2-k}$$with entire functions $A_k(y), B_k(y)$.We    derive a priory estimates  for the sums of the rootsof the considered system andfor the counting function of  roots.