Publication:660368

DOI10.1007/978-3-642-27461-9zbMath1244.60005arXiv1101.2582OpenAlexW185155797MaRDI QIDQ660368

Nicholas Westray, Markus Mocha

Publication date: 1 February 2012

Published in: Lecture Notes in Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1101.2582

zbMATH Keywords

convex generatorsexponential momentsquadratic semimartingale BSDEs

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Proceedings of conferences of miscellaneous specific interest (00B25) Proceedings, conferences, collections, etc. pertaining to probability theory (60-06) Brownian motion (60J65) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Free probability and free operator algebras (46L54) Martingales with continuous parameter (60G44) Diffusion processes (60J60)

Related Items (9)

BSDEs Driven by Multidimensional Martingales and Their Applications to Markets with Funding Costs ⋮ Monotone stability of quadratic semimartingales with applications to unbounded general quadratic BSDEs ⋮ BSDEs in utility maximization with BMO market price of risk ⋮ Pseudo linear pricing rule for utility indifference valuation ⋮ Existence and uniqueness results for BSDE with jumps: the whole nine yards ⋮ Backward stochastic differential equations with unbounded generators ⋮ New proofs of some results on bounded mean oscillation martingales using backward stochastic differential equations ⋮ Decoupling on the Wiener Space, Related Besov Spaces, and Applications to BSDEs ⋮ Stability results for martingale representations: The general case

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