Generalized BSDE driven by a Lévy process

DOI10.1155/JAMSA/2006/85407zbMath1147.60319MaRDI QIDQ937479

Mohamed El Otmani

Publication date: 15 August 2008

Published in: Journal of Applied Mathematics and Stochastic Analysis (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/54623

Mathematics Subject Classification ID

Stochastic integral equations (60H20)

Related Items (13)

A maximum principle for fully coupled forward-backward stochastic control system driven by Lévy process with terminal state constraints ⋮ Generalized reflected BSDEs driven by a Lévy process and an obstacle problem for PDIEs with a nonlinear Neumann boundary condition ⋮ Reflected generalized backward doubly SDEs driven by Lévy processes and applications ⋮ Generalized backward stochastic differential equations with jumps in a general filtration ⋮ Generalized backward doubly stochastic differential equations driven by Lévy processes with discontinuous and linear growth coefficients ⋮ Reflected generalized BSDE with jumps under stochastic conditions and an obstacle problem for integral-partial differential equations with nonlinear Neumann boundary conditions ⋮ Reflected generalized discontinuous BSDEs with rcll barrier and an obstacle problem of IPDE with nonlinear Neumann boundary conditions ⋮ Optimal variational principle for backward stochastic control systems associated with Lévy processes ⋮ Reflected generalized BSDEs with discontinuous barriers driven by a Lévy process ⋮ Linear quadratic stochastic optimal control of forward backward stochastic control system associated with Lévy process ⋮ Stochastic PDIEs with nonlinear Neumann boundary conditions and generalized backward doubly stochastic differential equations driven by Lévy processes ⋮ Predictable representation for time inhomogeneous Lévy processes and BSDEs ⋮ On generalized reflected BSDEs with Rcll obstacle

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