Backward stochastic differential equations with time delayed generators -- results and counterexamples

DOI10.1214/09-AAP663zbMath1202.34144arXiv1005.4701WikidataQ124840340 ScholiaQ124840340MaRDI QIDQ990389

Peter Imkeller, Łukasz Delong

Publication date: 1 September 2010

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1005.4701

zbMATH Keywords

comparison principlebackward stochastic differential equationtime delayed generatormeasure solutionBMO martingalecontraction inequality

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic functional-differential equations (34K50) Stochastic integral equations (60H20)

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