Backward stochastic differential equations with Azéma's martingale

DOI10.1080/1045112021000004216zbMath1011.60020OpenAlexW2055422130MaRDI QIDQ3148775

Catherine Rainer

Publication date: 2 June 2003

Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/1045112021000004216

zbMATH Keywords

viscosity solutionBrownian motionFeynman-Kac formulabackward stochastic differential equationAzéma's martingale

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Ordinary differential equations and systems with randomness (34F05)

Related Items (2)

BSDEs driven by normal martingale ⋮ La martingale d’Azéma

Cites Work

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• Séminaire de probabilités XXIII
• Backward stochastic differential equations and integral-partial differential equations
• Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
• Backward Stochastic Differential Equations in Finance

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