BSDEs driven by normal martingale

DOI10.1080/00036811.2020.1783535zbMath1492.60201OpenAlexW3036417326MaRDI QIDQ5071309

Mohamed El Otmani, Mohamed Marzougue

Publication date: 21 April 2022

Published in: Applicable Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00036811.2020.1783535

zbMATH Keywords

viscosity solutionbackward stochastic differential equationnormal martingalestochastic Lipschitz coefficient

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Numerical solutions to stochastic differential and integral equations (65C30) Stochastic integral equations (60H20)

Related Items (4)

Predictable solution for reflected BSDEs when the obstacle is not right-continuous ⋮ Penalization method for reflected BDSDEs with two-sided jumps and driven by Lévy process ⋮ PDEs FOR REFLECTED BSDENMs APPLIED TO AMERICAN OPTIONS ⋮ Non-linear Dynkin games over split stopping times

Cites Work

• Adapted solution of a backward stochastic differential equation
• Zero-sum stochastic differential games and backward equations
• Conjugate convex functions in optimal stochastic control
• The chaotic-representation property for a class of normal martingales
• Backward stochastic differential equations with Azéma's martingale
• Backward Stochastic Differential Equations Driven By Càdlàg Martingales
• Backward Stochastic Differential Equations in Finance
• Hedging in complete markets driven by normal martingales
• Weak Solutions of Forward–Backward SDE's
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