Projects funded by the NCN

Information on the principal investigator and host institution

Information of the project and the call

Keywords

Equipment

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Reflected backward stochastic differential equations with optional barriers

2018/31/N/ST1/00417

Keywords:

backward stochastic differential equations optional processes Dynkin games

Descriptors:

  • ST1_13: Probability and statistics
  • ST1_17: Applied mathematics

Panel:

ST1 - Mathematics: all areas of mathematics, pure and applied, as well as mathematical foundations of computer science, physics and statistics

Host institution :

Uniwersytet Mikołaja Kopernika, Wydział Matematyki i Informatyki

woj. kujawsko-pomorskie

Other projects carried out by the institution 

Principal investigator (from the host institution):

dr Maurycy Rzymowski 

Number of co-investigators in the project: 2

Call: PRELUDIUM 16 - announced on 2018-09-14

Amount awarded: 77 280 PLN

Project start date (Y-m-d): 2019-08-05

Project end date (Y-m-d): 2022-08-04

Project duration:: 36 months (the same as in the proposal)

Project status: Project settled

Project description

Download the project description in a pdf file

Note - project descriptions were prepared by the authors of the applications themselves and placed in the system in an unchanged form.

Equipment purchased [PL]

  1. Laptop (7 000 PLN)

Information in the final report

  • Publication in academic press/journals (3)
  1. Nonlinear BSDEs on a general filtration with drivers depending on the martingale part of the solution
    Authors:
    Tomasz Klimsiak, Maurycy Rzymowski
    Academic press:
    Stochastic Processes and Their Applications (rok: 2023, tom: 161, strony: 424-450), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.spa.2023.04.011 - link to the publication
  2. Nonlinear BSDEs with Two Optional Doob's Class Barriers Satisfying Weak Mokobodzki's Condition and Extended Dynkin Games
    Authors:
    Tomasz Klimsiak, Maurycy Rzymowski
    Academic press:
    Applied Mathematics and Optimization (rok: 2023, tom: 88, strony: Nie dotyczy), Wydawca: Springer New York
    Status:
    Published
    DOI:
    10.1007/s00245-023-10053-x - link to the publication
  3. A priori estimates for multidimensional BSDEs with integrable data
    Authors:
    Tomasz Klimsiak, Maurycy Rzymowski
    Academic press:
    Electronic Communications in Probability (rok: 2022, tom: Nie dotyczy, strony: Nie dotyczy), Wydawca: Institute of Mathematical Statistics and the Bernoulli Society
    Status:
    Submitted
    DOI:
    brak - link to the publication

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