On solutions of backward stochastic differential equations with jumps, with unbounded stopping times as terminal and with non-Lipschitz coefficients, and probabilistic interpretation of quasi-linear elliptic type integro-differential equations

DOI10.1007/BF02460185zbMath0965.60056OpenAlexW82892207MaRDI QIDQ1580627

Rong Situ, Yueping Wang

Publication date: 25 July 2001

Published in: Applied Mathematics and Mechanics. (English Edition) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02460185

zbMATH Keywords

convergencebackward stochastic differential equationsunbounded stopping timeadapted solutions

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Stochastic integrals (60H05)

Cites Work

• Unnamed Item
• Backwards SDE with random terminal time and applications to semilinear elliptic PDE
• On solutions of backward stochastic differential equations with jumps and applications
• Probabilistic interpretation for systems of quasilinear parabolic partial differential equations
• Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
• Backward Stochastic Differential Equations in Finance

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