BSDE driven by a simple Lévy process with continuous coefficient

DOI10.1016/J.SPL.2007.11.021MaRDI QIDQ945456zbMATH OpenOpenAlexFDO

Authors Mohamed El Otmani

Publication date 12 September 2008

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2007.11.021

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integral equations (60H20)

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Cites work

• Adapted solution of a backward stochastic differential equation
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• BSDEs with polynomial growth generators
• Chaotic and predictable representations for Lévy processes.
• Existence and uniqueness of solutions for BSDEs with locally Lipschitz coefficient
• Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
• On a SDE driven by a fractional Brownian motion and with monotone drift
• On solutions of backward stochastic differential equations with jumps and applications
• Reflected backward stochastic differential equations with jumps
• Résultats d'existence et d'unicité pour des équations différentielles stochastiques rétrogrades avec des générateurs à croissance quadratique
• Zero-sum stochastic differential games and backward equations

Cited in

(2)

• BSDE driven by Poisson point processes with discontinuous coefficient
• Generalized BSDE driven by a Lévy process

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