A framework of BSDEs with stochastic Lipschitz coefficients (Q5140340)

scientific article; zbMATH DE number 7285912

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English	A framework of BSDEs with stochastic Lipschitz coefficients	scientific article; zbMATH DE number 7285912

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instance of

scholarly article

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title

A framework of BSDEs with stochastic Lipschitz coefficients (English)

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ESAIM: Probability and Statistics

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publication date

15 December 2020

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zbMATH Keywords

backward stochastic differential equations

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time-change

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stochastic Lipschitz coefficient

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random terminal time

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Markov chain

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1051/ps/2020016

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cites work

Reflected generalized BSDEs with random time and applications

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Backward Stochastic Differential Equations Driven By Càdlàg Martingales

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Representing filtration consistent nonlinear expectations as \(g\)-expectations in general probability spaces

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Undiscounted Markov Chain BSDEs to Stopping Times

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Comparisons for backward stochastic differential equations on Markov chains and related no-arbitrage conditions

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Backward Stochastic Differential Equations in Finance

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BSDE<scp>s</scp> with a random terminal time driven by a monotone generator and their links with PDE<scp>s</scp>

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Elliptic PDEs with distributional drift and backward SDEs driven by a càdlàg martingale with random terminal time

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Identifiers

zbMATH Open document ID

1461.60041

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5140340