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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Publication:1580627
DOI10.1007/BF02460185zbMath0965.60056MaRDI QIDQ1580627
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
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