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

DOI10.1007/BF02460185zbMath0965.60056MaRDI QIDQ1580627

Rong Situ, Yueping Wang

Publication date: 25 July 2001

Published in: Applied Mathematics and Mechanics. (English Edition) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02460185

zbMATH Keywords

convergence; backward stochastic differential equations; unbounded stopping time; adapted solutions

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

34F05: Ordinary differential equations and systems with randomness

60H05: Stochastic integrals

Cites Work

• Backwards SDE with random terminal time and applications to semilinear elliptic PDE
• On solutions of backward stochastic differential equations with jumps and applications
• Probabilistic interpretation for systems of quasilinear parabolic partial differential equations
• Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
• Backward Stochastic Differential Equations in Finance
• Unnamed Item