arXiv subjects

Yaya Sagna

Publications and source records attributed to Yaya Sagna.

2 recordsLinked to original sources

arXiv2021

Averaging Principle for Backward Stochastic Differential Equations driven both standard and fractional Brownian motions

Stochastic averaging for a class of backward stochastic differential equations driven by both standard and fractional Brownian motions (SFrBSDEs in short), is investigated. An averaged SFrBSDEs for the original SFrBSDEs is proposed, and their solutions are quantitatively compared. Under some appropriate assumptions, the solutions to original systems can be approximated by the solutions to averaged stochastic systems in the sense of mean square and also in probability.

math.PR↗

arXiv2020

Irregular barrier reflected BDSDEs with general jumps under stochastic Lipschitz and linear growth conditions

In this paper, a solution is given to reflected backward doubly stochastic differential equations when the barrier is not necessarily right-continuous, and the noise is driven by two independent Brownian motions and an independent Poisson random measure. The existence and uniqueness of the solution is shown, firstly when the coefficients are stochastic Lipschitz, and secondly by weakening the conditions on the stochastic growth coefficient.

math.PR↗