On solutions of backward stochastic differential equations with jumps and applications

DOI10.1016/S0304-4149(96)00120-2zbMath0890.60049MaRDI QIDQ1382509

Rong Situ

Publication date: 29 March 1998

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

zbMATH Keywords

Itô formulabackward stochastic differential equations with jumpsadapted solutions

Mathematics Subject Classification ID

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

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Cites Work

• Adapted solution of a backward stochastic differential equation
• Backward doubly stochastic differential equations and systems of quasilinear SPDEs
• Adapted solutions of backward stochastic differential equations with non- Lipschitz coefficients
• Backward stochastic differential equations and applications to optimal control
• A General Stochastic Maximum Principle for Optimal Control Problems
• Probabilistic interpretation for systems of quasilinear parabolic partial differential equations
• Existence of solutions and optimal control for reflecting stochastic differential equations with applications to population control theory^*
• A Generalized dynamic programming principle and hamilton-jacobi-bellman equation
• Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
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