We show in this work that the limit in law of the cross-variation of processes having the form of Young integral with respect to a general self-similar centered Gaussian process of orderβ∈(1/2,3/4]is normal accordin...We show in this work that the limit in law of the cross-variation of processes having the form of Young integral with respect to a general self-similar centered Gaussian process of orderβ∈(1/2,3/4]is normal according to the values ofβ.We apply our results to two self-similar Gaussian processes:the subfractional Brownian motion and the bifractional Brownian motion.展开更多
We consider a McKean Vlasov backward stochastic differential equation(MVBSDE) of the form Y_(t)=-F(t,Y_(t),Z_(t),[Y_(t)]) dt+Z_(t) dB_(t),Y_(T)=ξ,where [Y_(t)] stands for the law of Y,.We show that if F is locally mo...We consider a McKean Vlasov backward stochastic differential equation(MVBSDE) of the form Y_(t)=-F(t,Y_(t),Z_(t),[Y_(t)]) dt+Z_(t) dB_(t),Y_(T)=ξ,where [Y_(t)] stands for the law of Y,.We show that if F is locally monotone in y,locally Lipschitz with respect to z and law's variable,and the monotonicity and Lipschitz constants κ_(n),L_(n) are such that L_(n)^(2)+κ_(n)^(+)=O(log(N)),then the MVBSDE has a unique stable solution.展开更多
基金The first author was supported by the Fulbright joint supervision program for PhD students for the academic year 2018-2019 between Cadi Ayyad University and Michigan State University.
文摘We show in this work that the limit in law of the cross-variation of processes having the form of Young integral with respect to a general self-similar centered Gaussian process of orderβ∈(1/2,3/4]is normal according to the values ofβ.We apply our results to two self-similar Gaussian processes:the subfractional Brownian motion and the bifractional Brownian motion.
文摘We consider a McKean Vlasov backward stochastic differential equation(MVBSDE) of the form Y_(t)=-F(t,Y_(t),Z_(t),[Y_(t)]) dt+Z_(t) dB_(t),Y_(T)=ξ,where [Y_(t)] stands for the law of Y,.We show that if F is locally monotone in y,locally Lipschitz with respect to z and law's variable,and the monotonicity and Lipschitz constants κ_(n),L_(n) are such that L_(n)^(2)+κ_(n)^(+)=O(log(N)),then the MVBSDE has a unique stable solution.
