Infinite interval backward stochastic differential equations in the plane

DOI10.1007/s10255-003-0124-0zbMath1048.60046OpenAlexW1966661317MaRDI QIDQ1432865

Yang-ling Gu

Publication date: 22 June 2004

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10255-003-0124-0

zbMATH Keywords

Brownian sheetbackward stochastic differential equationtwo-parameter Brownian motionstochastic integrals in the planestochastic differential equations in the plane

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05)

Cites Work

• Adapted solution of a backward stochastic differential equation
• Stochastic integrals in the plane
• Weak martingales and stochastic integrals in the plane
• Differentiation formulas for stochastic integrals in the plane
• Martingales and stochastic integrals for processes with a multi-dimensional parameter

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