Backward stochastic differential equation with random measures

DOI10.1007/BF02679887zbMath0965.60061OpenAlexW165318734WikidataQ115391880 ScholiaQ115391880MaRDI QIDQ1582568

Jian-ming Xia

Publication date: 15 October 2000

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02679887

zbMATH Keywords

backward stochastic differential equationrandom measurelocal martingale

Mathematics Subject Classification ID

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

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Cites Work

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• Adapted solution of a backward stochastic differential equation
• Calcul stochastique et problèmes de martingales
• A decomposition of the Brownian path
• Backward stochastic differential equations and applications to optimal control
• Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps

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