Discrete-Time BSDEs with Random Terminal Horizon

DOI10.1080/07362994.2013.849202zbMath1308.60073OpenAlexW2025786989MaRDI QIDQ5416839

Yin Lin, Hailiang Yang

Publication date: 15 May 2014

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

Full work available at URL: http://hdl.handle.net/10722/198106

zbMATH Keywords

comparison theorembackward stochastic differential equationsrisk measuresnonlinear expectationsprogressively enlarged filtration

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

Related Items (2)

Solvability of forward–backward stochastic difference equations with finite states ⋮ Maximum principle for stochastic optimal control problem of finite state forward‐backward stochastic difference systems

Cites Work

• Existence, uniqueness and comparisons for BSDEs in general spaces
• A general theory of finite state backward stochastic difference equations
• Comparisons for backward stochastic differential equations on Markov chains and related no-arbitrage conditions
• Progressive enlargement of filtrations with initial times
• Optimal Design of Dynamic Default Risk Measures

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