A stochastic Fubini theorem: BSDE method

DOI10.1186/s13660-017-1358-3zbMath1362.60053OpenAlexW2607202542WikidataQ33566304 ScholiaQ33566304MaRDI QIDQ523887

Yan Qing Wang

Publication date: 24 April 2017

Published in: Journal of Inequalities and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1186/s13660-017-1358-3

zbMATH Keywords

backward stochastic differential equationrandom jumpsstochastic Fubini theorem

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05)

Related Items (1)

A stochastic Fubini theorem for \(\alpha\)-stable process

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Adapted solution of a backward stochastic differential equation
• Well-posedness and regularity of backward stochastic Volterra integral equations
• Conjugate convex functions in optimal stochastic control
• Forward-backward stochastic differential equations with Brownian motion and Poisson process
• BSDEs with general filtration driven by Lévy processes, and an application in stochastic controllability
• Fully coupled forward-backward stochastic differential equations with general martingale
• Backward stochastic differential equations and integral-partial differential equations
• Stochastic Fubini Theorem for Semimartingales in Hilbert Space
• Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
• Backward Stochastic Differential Equations in Finance
• Adapted solution of a backward stochastic nonlinear Volterra integral equation
• On The Stochastic Fubini Theorem
• The Norm Optimal Control Problem for Stochastic Linear Control Systems

This page was built for publication: A stochastic Fubini theorem: BSDE method