arXiv subjects

Harouna Coulibaly

Publications and source records attributed to Harouna Coulibaly.

3 recordsLinked to original sources

arXiv2021

General Fully Coupled Forward Backward Stochastic Differential Equations with delayed generator

This paper is devoted to study different type of BSDE with delayed generator. We first establish an existence and uniqueness result under delayed Lipschitz condition for non homogenous backward stochastic differential equation with delayed generator. Next, existence and uniqueness result for general fully coupled forward backward stochastic differential equation with delayed coefficients has been derived.

math.PR↗

arXiv2021

Backward stochastic Volterra integral equations with time delayed generators

In this paper, we study backward stochastic Volterra integral equations of type-I with time delayed generators. Under some condition (small time horizon or a Lipschitz constant), we derive an existence and uniqueness results. Next, with the help of two examples of this BSVIEs we provide this condition is necessary. However, for special class of delayed generators, the previous existence and uniqueness result hold for an arbitrary time horizon and Lipschitz constant. We end this paper by establishing under an additive assumptions, a path continuity property.

math.PR↗

arXiv2021

Explicit solution for backward stochastic Volterra integral equations with linear time delayed generators

This note aims to give an explicit solution for backward stochastic Volterra integral equations with linear time delayed generators. The process $Y$ is expressed by an integral whose kernel is explicitly given. The processes $Z$ is expressed by Hida-Malliavin derivatives involving $Y$.

math.PR↗