Anticipated BSDEs driven by time-changed Lévy noises
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Publication:2515854
DOI10.1016/j.jkss.2014.12.001zbMath1321.60126OpenAlexW2020567371MaRDI QIDQ2515854
Publication date: 7 August 2015
Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jkss.2014.12.001
comparison theoremdualityanticipated backward stochastic differential equationstime-changed Lévy processstochastic differential delay equations
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Related Items (4)
Mean-field anticipated BSDEs driven by time-changed Lévy noises ⋮ Applications of anticipated BSDEs driven by time-changing Lévy noises ⋮ Generalized anticipated backward stochastic differential equations driven by Brownian motion and continuous increasing process ⋮ Lp solutions of anticipated BSDEs with weak monotonicity and general growth generators
Cites Work
- The stochastic maximum principle for optimal control problems of delay systems involving continuous and impulse controls
- Anticipated backward stochastic differential equations on Markov chains
- On Markovian solutions to Markov chain BSDEs
- Necessary and sufficient condition for the comparison theorem of multidimensional anticipated backward stochastic differential equations
- Adapted solution of a backward stochastic differential equation
- Maximum principle for the stochastic optimal control problem with delay and application
- Anticipated backward stochastic differential equations
- BSDEs driven by time-changed Lévy noises and optimal control
- Solutions of Backward Stochastic Differential Equations on Markov Chains
- Ergodic BSDEs Driven by Markov Chains
- Backward Stochastic Differential Equations in Finance
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