On solutions of backward stochastic differential equations with jumps, with unbounded stopping times as terminal and with non-Lipschitz coefficients, and probabilistic interpretation of quasi-linear elliptic type integro-differential equations (Q1580627): Difference between revisions
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Property / cites work: Backward Stochastic Differential Equations in Finance / rank | |||
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Property / cites work: Probabilistic interpretation for systems of quasilinear parabolic partial differential equations / rank | |||
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Property / cites work: On solutions of backward stochastic differential equations with jumps and applications / rank | |||
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Property / cites work: Backwards SDE with random terminal time and applications to semilinear elliptic PDE / rank | |||
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Property / cites work: Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps / rank | |||
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Revision as of 16:04, 30 May 2024
scientific article
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English | On solutions of backward stochastic differential equations with jumps, with unbounded stopping times as terminal and with non-Lipschitz coefficients, and probabilistic interpretation of quasi-linear elliptic type integro-differential equations |
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On solutions of backward stochastic differential equations with jumps, with unbounded stopping times as terminal and with non-Lipschitz coefficients, and probabilistic interpretation of quasi-linear elliptic type integro-differential equations (English)
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25 July 2001
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The authors consider the existence and uniqueness of solutions to backward stochastic differential equations with jumps and without Lipschitz conditions. The convergence of the solutions is examined, as is the question of the continuous dependence of the solutions upon the parameters. A probabilistic interpretation of solutions to certain kinds of integro-differential equations is given.
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backward stochastic differential equations
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adapted solutions
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unbounded stopping time
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convergence
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