A CLASS OF TWO-PARAMETER BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY A BROWNIAN SHEET

DOI10.1081/SAP-120006113zbMath1010.60060OpenAlexW2008356708MaRDI QIDQ4796584

N. Lanjri Zaïdi

Publication date: 5 May 2003

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1081/sap-120006113

zbMATH Keywords

backward stochastic differential equationtwo-parameter Wiener processmartingale representation theorem

Mathematics Subject Classification ID

Generalized stochastic processes (60G20) Stochastic integral equations (60H20)

Cites Work

• Adapted solution of a backward stochastic differential equation
• Zero-sum stochastic differential games and backward equations
• Un schéma multipas d'approximation de l'équation de Langevin. (A multistep approximation method for the Langevin equation)
• Stochastic integrals in the plane
• Martingale representations and holomorphic processes
• Probabilistic interpretation of a system of quasilinear elliptic partial differential equations under Neumann boundary conditions
• Constructing gamma-martingales with prescribed limit, using backwards SDE
• Stochastic Differential Utility
• Backward Stochastic Differential Equations in Finance
• Martingales and stochastic integrals for processes with a multi-dimensional parameter

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