BSDE driven by Poisson point processes with discontinuous coefficient

DOI10.1016/J.JMAA.2013.02.071MaRDI QIDQ2257520zbMATH OpenOpenAlexFDO

Authors Yan Qin, Ning-Mao Xia

Publication date 25 February 2015

Published in Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmaa.2013.02.071

zbMATH Keywords

adapted solutionbackward stochastic differential equationcomparison theorem

Mathematics Subject Classification ID

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

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Cites work

• A class of backward stochastic differential equations with discontinuous coefficients
• Adapted solution of a backward stochastic differential equation
• Backward stochastic differential equations and integral-partial differential equations
• Backward Stochastic Differential Equations in Finance
• Backward stochastic differential equations with continuous coefficient
• BSDE associated with Lévy processes and application to PDIE
• BSDE driven by a simple Lévy process with continuous coefficient
• BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations.
• BSDEs with polynomial growth generators
• Existence and uniqueness of solutions for BSDEs with locally Lipschitz coefficient
• Existence, uniqueness and stability of backward stochastic differential equations with locally monotone coefficient
• scientific article; zbMATH DE number 481040 (Why is no real title available?)
• Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
• On solutions of backward stochastic differential equations with jumps and applications
• Reflected backward stochastic differential equations with jumps
• Sur l'existence de solutions d'équations différentielles stochastiques progréssives rétrogrades couplées
• Zero-sum stochastic differential games and backward equations

Cited in

(4)

• Quadratic BSDEs with jumps and related PIDEs
• Backward doubly stochastic differential equations with discontinuous and stochastic linear growth generator
• The adapted solution and comparison theorem for backward stochastic differential equations with Poisson jumps and applications
• BSDE driven by a simple Lévy process with continuous coefficient

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