Quadratic BSDEs with jumps: Related nonlinear expectations

DOI10.1142/S021949371650012XzbMath1339.60070arXiv1403.2730OpenAlexW2151818724MaRDI QIDQ2810662

Chao Zhou, Nabil Kazi-Tani, Dylan Possamaï

Publication date: 3 June 2016

Published in: Stochastics and Dynamics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1403.2730

zbMATH Keywords

jumpsbackward stochastic differential equationsquadratic growthinf-convolutionnonlinear expectationsdynamic risk measuresnonlinear Doob-Meyer decomposition\(g\)-submartingales

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Generalizations of martingales (60G48) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Related Items (8)

On the Monotone Stability Approach to BSDEs with Jumps: Extensions, Concrete Criteria and Examples ⋮ Quadratic BSDEs with jumps and related PIDEs ⋮ Ong−evaluations with domains under jump filtration ⋮ Existence and uniqueness results for BSDE with jumps: the whole nine yards ⋮ Jump-filtration consistent nonlinear expectations with \(\mathbb{L}^p\) domains ⋮ \(L^p\) solution of backward stochastic differential equations driven by a marked point process ⋮ Concentration of dynamic risk measures in a Brownian filtration ⋮ Limits of random walks with distributionally robust transition probabilities

Cites Work

• Unnamed Item
• Unnamed Item
• Calcul stochastique et problèmes de martingales
• Second-order BSDEs with jumps: formulation and uniqueness
• Backward stochastic differential equations with jumps and related nonlinear expectations
• Continuous exponential martingales and BMO
• Reflected Backward SDEs with General Jumps
• Backward stochastic differential equations and integral-partial differential equations

This page was built for publication: Quadratic BSDEs with jumps: Related nonlinear expectations