BSDE driven by a simple Lévy process with continuous coefficient

DOI10.1016/j.spl.2007.11.021zbMath1146.60045OpenAlexW2037627683MaRDI QIDQ945456

Mohamed El Otmani

Publication date: 12 September 2008

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2007.11.021

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integral equations (60H20)

Related Items (1)

BSDE driven by Poisson point processes with discontinuous coefficient

Cites Work

• Adapted solution of a backward stochastic differential equation
• Zero-sum stochastic differential games and backward equations
• Backward stochastic differential equations with continuous coefficient
• On solutions of backward stochastic differential equations with jumps and applications
• On a SDE driven by a fractional Brownian motion and with monotone drift
• BSDE associated with Lévy processes and application to PDIE
• BSDEs with polynomial growth generators
• Existence and uniqueness of solutions for BSDEs with locally Lipschitz coefficient
• Chaotic and predictable representations for Lévy processes.
• BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations.
• Backward stochastic differential equations and integral-partial differential equations
• Reflected backward stochastic differential equations with jumps
• Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
• Résultats d'existence et d'unicité pour des équations différentielles stochastiques rétrogrades avec des générateurs à croissance quadratique
• Backward Stochastic Differential Equations in Finance
• Backward stochastic differential equations and Feynman-Kac formula for Lévy processes, with applications in finance

This page was built for publication: BSDE driven by a simple Lévy process with continuous coefficient