Second-order BSDEs with jumps: formulation and uniqueness
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Publication:748324
DOI10.1214/14-AAP1063zbMath1325.60091arXiv1208.0757OpenAlexW3105288197MaRDI QIDQ748324
Chao Zhou, Dylan Possamaï, Nabil Kazi-Tani
Publication date: 20 October 2015
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1208.0757
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)
Related Items (11)
\(\mathbb L^p\) solutions of backward stochastic differential equations with jumps ⋮ Nonlinear semigroups built on generating families and their Lipschitz sets ⋮ Simplified calculus for semimartingales: multiplicative compensators and changes of measure ⋮ Ong−evaluations with domains under jump filtration ⋮ Stochastic control for a class of nonlinear kernels and applications ⋮ Optimal control of semi-Markov processes with a backward stochastic differential equations approach ⋮ Quadratic BSDEs with jumps: Related nonlinear expectations ⋮ A semigroup approach to nonlinear Lévy processes ⋮ Nonlinear Lévy processes and their characteristics ⋮ Quadratic \(G\)-BSDEs with convex generators and unbounded terminal conditions ⋮ Upper Envelopes of Families of Feller Semigroups and Viscosity Solutions to a Class of Nonlinear Cauchy Problems
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