Backward Stochastic Differential Equations for a Single Jump Process

DOI10.1080/07362994.2011.581098zbMath1223.60040OpenAlexW2068732789MaRDI QIDQ5198941

Leo Shen, Robert J. Elliott

Publication date: 10 August 2011

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

Full work available at URL: https://doi.org/10.1080/07362994.2011.581098

zbMATH Keywords

comparison theorembackward stochastic differential equationdynamic risk measurenonlinear expectationsingle jump process

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (6)

Backward stochastic differential equation driven by a marked point process: an elementary approach with an application to optimal control ⋮ \(\mathbb L^p\) solutions of backward stochastic differential equations with jumps ⋮ Ong−evaluations with domains under jump filtration ⋮ Anticipated BSDEs driven by a single jump process ⋮ Optimal Design of Dynamic Default Risk Measures ⋮ \(L^p\) solution of backward stochastic differential equations driven by a marked point process

Cites Work

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• A general theory of finite state backward stochastic difference equations
• Comparisons for backward stochastic differential equations on Markov chains and related no-arbitrage conditions
• Risk measures via \(g\)-expectations
• The Representation of Martingales of Jump Processes

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