Nonlinear predictable representation and \({\mathbb{L}^1} \)-solutions of backward SDEs and second-order backward SDEs

DOI10.1214/21-AIHP1177zbMath1493.60093arXiv1808.05816OpenAlexW3094599666MaRDI QIDQ2155508

Nizar Touzi, Junjian Yang, Zhenjie Ren

Publication date: 15 July 2022

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1808.05816

zbMATH Keywords

backward SDEnonlinear expectationnondominated probability measuressecond-order backward SDE

Mathematics Subject Classification ID

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

Cites Work

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