Backward stochastic difference equations for a single jump process

DOI10.1007/S11009-011-9217-ZzbMath1269.60060OpenAlexW2797983141MaRDI QIDQ1930453

Robert J. Elliott, Leo Shen

Publication date: 11 January 2013

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-011-9217-z

zbMATH Keywords

comparison theoremdynamic risk measureBSDEnon-linear expectationsingle jump process

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)

Cites Work

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• A general theory of finite state backward stochastic difference equations
• A converse comparison theorem for BSDEs and related properties of \(g\)-expectation
• Filtration-consistent nonlinear expectations and related \(g\)-expectations
• Risk measures via \(g\)-expectations
• Solutions of Backward Stochastic Differential Equations on Markov Chains
• The Representation of Martingales of Jump Processes
• Backward Stochastic Differential Equations in Finance
• Stochastic finance. An introduction in discrete time

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