Anticipated BSDEs driven by a single jump process

DOI10.1080/07362994.2017.1379418MaRDI QIDQ4607793zbMATH OpenOpenAlexFDO

Authors Lanying Hu, Yong Ren, Li Yang

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

anticipated backward stochastic differential equationcomparison theoremsingle jump process

Mathematics Subject Classification ID

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

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Cites work

• A general comparison theorem for backward stochastic differential equations
• Adapted solution of a backward stochastic differential equation
• Anticipated backward stochastic differential equations
• Backward stochastic differential equations and applications to optimal control
• Backward stochastic differential equations for a single jump process
• Backward Stochastic Differential Equations in Finance
• Comparisons for backward stochastic differential equations on Markov chains and related no-arbitrage conditions
• Ergodic BSDEs driven by Markov chains
• Existence, uniqueness and comparisons for BSDEs in general spaces
• scientific article; zbMATH DE number 3793150 (Why is no real title available?)
• Maximum principle for the stochastic optimal control problem with delay and application
• Necessary and sufficient condition for the comparison theorem of multidimensional anticipated backward stochastic differential equations
• On Markovian solutions to Markov chain BSDEs
• Solutions of backward stochastic differential equations on Markov chains
• The stochastic maximum principle for optimal control problems of delay systems involving continuous and impulse controls

Cited in

(2)

• Anticipated backward stochastic differential equations with jumps under the non-Lipschitz condition
• Backward stochastic differential equations for a single jump process

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