Backward stochastic differential equation with random measures
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Cites work
- A decomposition of the Brownian path
- Adapted solution of a backward stochastic differential equation
- Backward stochastic differential equations and applications to optimal control
- Calcul stochastique et problèmes de martingales
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- scientific article; zbMATH DE number 481040 (Why is no real title available?)
- Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
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(25)- Special weak Dirichlet processes and BSDEs driven by a random measure
- \(L^p\) solution of backward stochastic differential equations driven by a marked point process
- Optimal stopping of marked point processes and reflected backward stochastic differential equations
- Second order backward SDE with random terminal time
- \(\mathbb L^p\) solutions of backward stochastic differential equations with jumps
- Backward stochastic differential equations associated to jump Markov processes and applications
- BSDEs driven by time-changed Lévy noises and optimal control
- BSDEs with monotone generator driven by Brownian and Poisson noises in a general filtration
- Ergodic backward stochastic difference equations
- Backward stochastic differential equation driven by a marked point process: an elementary approach with an application to optimal control
- Optimal control of piecewise deterministic Markov processes: a BSDE representation of the value function
- On \(g\)-evaluations with \(\mathbb{L}^p\) domains under jump filtration
- KYLE–BACK’S MODEL WITH A RANDOM HORIZON
- scientific article; zbMATH DE number 1861566 (Why is no real title available?)
- Infection time in multistable gene networks. A backward stochastic variational inequality with nonconvex switch-dependent reflection approach
- Latency and liquidity risk
- The identification problem for BSDEs driven by possibly non-quasi-left-continuous random measures
- Optimal control of semi-Markov processes with a backward stochastic differential equations approach
- Constrained BSDEs representation of the value function in optimal control of pure jump Markov processes
- scientific article; zbMATH DE number 5217702 (Why is no real title available?)
- Reflected backward stochastic differential equations associated to jump Markov processes and application to partial differential equations
- Mean reflected BSDE driven by a marked point process and application in insurance risk management
- Viscosity solutions of path-dependent integro-differential equations
- Algebraic invariance conditions in the study of approximate (null-)controllability of Markov switch processes
- Existence and uniqueness for backward stochastic differential equations driven by a random measure, possibly non quasi-left continuous
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