Anticipated BSDEs driven by a single jump process

DOI10.1080/07362994.2017.1379418zbMath1390.60207OpenAlexW2782363493MaRDI QIDQ4607793

Yong Ren, Li Yang, Lanying Hu

Publication date: 14 March 2018

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362994.2017.1379418

zbMATH Keywords

comparison theoremanticipated backward stochastic differential equationsingle jump process

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stopping times; optimal stopping problems; gambling theory (60G40)

Cites Work

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• Anticipated backward stochastic differential equations
• Backward stochastic differential equations and applications to optimal control
• Solutions of Backward Stochastic Differential Equations on Markov Chains
• Ergodic BSDEs Driven by Markov Chains
• A general comparison theorem for backward stochastic differential equations
• Backward Stochastic Differential Equations in Finance
• Backward Stochastic Differential Equations for a Single Jump Process

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