A framework of BSDEs with stochastic Lipschitz coefficients (Q5140340): Difference between revisions

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scientific article; zbMATH DE number 7285912

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English	A framework of BSDEs with stochastic Lipschitz coefficients	scientific article; zbMATH DE number 7285912

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scholarly article

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A framework of BSDEs with stochastic Lipschitz coefficients (English)

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ESAIM: Probability and Statistics

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publication date

15 December 2020

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zbMATH Keywords

backward stochastic differential equations

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time-change

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stochastic Lipschitz coefficient

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random terminal time

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Markov chain

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1051/ps/2020016

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Reflected generalized BSDEs with random time and applications

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On measure solutions of backward stochastic differential equations

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Backward stochastic differential equations with stochastic monotone coefficients

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Stochastic Processes

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Conjugate convex functions in optimal stochastic control

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Stability of BSDEs with random terminal time and homogenization of semilinear elliptic PDEs

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BSDEs with polynomial growth generators

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\(L^p\) solutions of backward stochastic differential equations.

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Backward Stochastic Differential Equations Driven By Càdlàg Martingales

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Representing filtration consistent nonlinear expectations as \(g\)-expectations in general probability spaces

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Undiscounted Markov Chain BSDEs to Stopping Times

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Solutions of Backward Stochastic Differential Equations on Markov Chains

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Comparisons for backward stochastic differential equations on Markov chains and related no-arbitrage conditions

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Existence, uniqueness and comparisons for BSDEs in general spaces

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Stochastic Calculus and Applications

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A general comparison theorem for backward stochastic differential equations

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Ergodic BSDEs Driven by Markov Chains

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Backwards SDE with random terminal time and applications to semilinear elliptic PDE

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Advances in control, communication networks, and transportation systems. In honor of Pravin Varaiya. Lectures based on presentations of the symposium, Berkeley, CA, USA, June 5--7, 2005.

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The multiplicity of an increasing family of \(\sigma\)-fields

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Backward Stochastic Differential Equations in Finance

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Reflected backward doubly stochastic differential equations driven by a Lévy process with stochastic Lipschitz condition

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A note on the reflected backward stochastic differential equations driven by a Lévy process with stochastic Lipschitz condition

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Second order backward SDE with random terminal time

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Double barrier reflected BSDEs with stochastic Lipschitz coefficient

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Numerical computation for backward doubly SDEs with random terminal time

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Chaotic and predictable representations for Lévy processes.

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Backward stochastic differential equations and Feynman-Kac formula for Lévy processes, with applications in finance

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A stochastic Gronwall inequality in random time horizon and its application to BSDE

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Backward doubly stochastic differential equations with stochastic Lipschitz condition

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<i>L</i><sup><i>p</i></sup>-Solutions of backward doubly stochastic differential equations with stochastic Lipschitz condition and <i>p</i> ∈ (1,2)

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Adapted solution of a backward stochastic differential equation

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Stochastic differential equations, backward SDEs, partial differential equations

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BSDE<scp>s</scp> with a random terminal time driven by a monotone generator and their links with PDE<scp>s</scp>

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Elliptic PDEs with distributional drift and backward SDEs driven by a càdlàg martingale with random terminal time

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Stability of solutions of BSDEs with random terminal time

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\(L^{p}\) solutions of BSDEs with stochastic Lipschitz condition

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\(\mathbb L^p\) solutions of backward stochastic differential equations with jumps

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Identifiers

zbMATH Open document ID

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Mathematics Subject Classification ID

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zbMATH DE Number

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10.1051/PS/2020016

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Sitelinks

Mathematics(1 entry)

mardi Publication:5140340

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