BSDE driven by a simple Lévy process with continuous coefficient
type: Item
instance of: scholarly article
title: BSDE driven by a simple Lévy process with continuous coefficient
zbMATH Open document ID: 1146.60045
author: Mohamed El Otmani
published in: Statistics \& Probability Letters
publication date: 2008-09-12T00:00:00Z
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 60H20
zbMATH DE Number: 5343005
MaRDI profile type: Publication
full work available at URL: j.spl.2007.11.021
OpenAlex ID: W2037627683
cites work: Existence and uniqueness of solutions for BSDEs with locally Lipschitz coefficient
cites work: BSDE associated with Lévy processes and application to PDIE
cites work: Backward stochastic differential equations and integral-partial differential equations
cites work: On a SDE driven by a fractional Brownian motion and with monotone drift
cites work: BSDEs with polynomial growth generators
cites work: BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations.
cites work: Backward Stochastic Differential Equations in Finance
cites work: Zero-sum stochastic differential games and backward equations
cites work: Résultats d'existence et d'unicité pour des équations différentielles stochastiques rétrogrades avec des générateurs à croissance quadratique
cites work: Backward stochastic differential equations with continuous coefficient
cites work: Chaotic and predictable representations for Lévy processes.
cites work: Backward stochastic differential equations and Feynman-Kac formula for Lévy processes, with applications in finance
cites work: Reflected backward stochastic differential equations with jumps
cites work: Adapted solution of a backward stochastic differential equation
cites work: On solutions of backward stochastic differential equations with jumps and applications
cites work: Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
DOI: 10.1016/J.SPL.2007.11.021
description: scientific article; zbMATH DE number 5343005