Existence and uniqueness results for BSDE with jumps: the whole nine yards
From MaRDI portal
Publication:1722017
DOI10.1214/18-EJP240zbMath1406.60064arXiv1607.04214OpenAlexW2964168739MaRDI QIDQ1722017
Antonis Papapantoleon, Alexandros Saplaouras, Dylan Possamaï
Publication date: 14 February 2019
Published in: Electronic Journal of Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1607.04214
bsdesprocesses with jumpsrandom time horizonstochastic Lipschitz generatorstochastically discontinuous martingales
Generalizations of martingales (60G48) Stochastic integrals (60H05) Random measures (60G57) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)
Related Items (19)
On the Monotone Stability Approach to BSDEs with Jumps: Extensions, Concrete Criteria and Examples ⋮ Reflected and doubly reflected BSDEs driven by RCLL martingales ⋮ Locally Lipschitz BSDE with jumps and related Kolmogorov equation ⋮ Existence, uniqueness and strict comparison theorems for BSDEs driven by RCLL martingales ⋮ Me, myself and I: a general theory of non-Markovian time-inconsistent stochastic control for sophisticated agents ⋮ Optimal reinsurance via BSDEs in a partially observable model with jump clusters ⋮ Stability of backward stochastic differential equations: the general Lipschitz case ⋮ Second order backward SDE with random terminal time ⋮ A continuous-time model of self-protection ⋮ Scaling limit for stochastic control problems in population dynamics ⋮ The identification problem for BSDEs driven by possibly non-quasi-left-continuous random measures ⋮ Jump-filtration consistent nonlinear expectations with \(\mathbb{L}^p\) domains ⋮ Càdlàg semimartingale strategies for optimal trade execution in stochastic order book models ⋮ Locally Lipschitz BSDE driven by a continuous martingale a path-derivative approach ⋮ Optimal stopping of marked point processes and reflected backward stochastic differential equations ⋮ Bank monitoring incentives under moral hazard and adverse selection ⋮ Backward stochastic Volterra integral equations with jumps in a general filtration ⋮ Stability results for martingale representations: The general case ⋮ On stochastic control for time changed Lévy dynamics
Cites Work
- Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
- Résultats d'existence et d'unicité pour des équations différentielles stochastiques rétrogrades avec des générateurs à croissance quadratique
- Backward Stochastic Differential Equations in Finance
- Existence for BSDE with superlinear–quadratic coefficient
- A Semimartingale Backward Equation and the Variance-Optimal Martingale Measure under General Information Flow
- One dimensional BSDEs with logarithmic growth application to PDEs
- Lp-solution for BSDEs with jumps in the casep<2
- Contracting Theory with Competitive Interacting Agents
- On a general result for backward stochastic differential equations
- BSDE<scp>s</scp> with a random terminal time driven by a monotone generator and their links with PDE<scp>s</scp>
- On the Uniqueness of Solutions to Quadratic BSDEs with Non-convex Generators
- Incomplete Stochastic Equilibria with Exponential Utilities Close to Pareto Optimality
- Some New BSDE Results for an Infinite-Horizon Stochastic Control Problem
- OPTIMAL INVESTMENT UNDER RELATIVE PERFORMANCE CONCERNS
- Robust Portfolio Choice and Indifference Valuation
- Stochastic Calculus and Applications
- Mean-Variance Hedging and Stochastic Control: Beyond the Brownian Setting
- Dynamic Programming Conditions for Partially Observable Stochastic Systems
- Backward stochastic differential equations and Feynman-Kac formula for Lévy processes, with applications in finance
- Multi-dimensional backward stochastic differential equations of diagonally quadratic generators
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions: the critical case
- Bounded solutions, \(L^p\) \((p > 1)\) solutions and \(L^1\) solutions for one dimensional BSDEs under general assumptions
- A system of quadratic BSDEs arising in a price impact model
- Backward stochastic differential equation driven by a marked point process: an elementary approach with an application to optimal control
- Monotone stability of quadratic semimartingales with applications to unbounded general quadratic BSDEs
- A note on the existence of solutions to Markovian superquadratic BSDEs with an unbounded terminal condition
- Splitting multidimensional BSDEs and finding local equilibria
- Explicit solutions to quadratic BSDEs and applications to utility maximization in multivariate affine stochastic volatility models
- Existence, minimality and approximation of solutions to BSDEs with convex drivers
- Exponential utility maximization in an incomplete market with defaults
- Markovian quadratic and superquadratic BSDEs with an unbounded terminal condition
- Stochastic optimal control and BSDEs with logarithmic growth
- Progressive enlargement of filtrations and backward stochastic differential equations with jumps
- On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions
- General existence results for reflected BSDE and BSDE
- Adapted solution of a backward stochastic differential equation
- Calcul stochastique et problèmes de martingales
- On the orthogonal component of BSDEs in a Markovian setting
- 44th seminar on probability. Including papers from the `Journées de Probabilités', Dijon, France, June 2010
- Existence, uniqueness and comparisons for BSDEs in general spaces
- Backward SDEs with superquadratic growth
- Backward stochastic differential equations with jumps and related nonlinear expectations
- One-dimensional backward stochastic differential equations whose coefficient is monotonic in \(y\) and non-Lipschitz in \(z\)
- Existence and uniqueness for backward stochastic differential equations driven by a random measure, possibly non quasi-left continuous
- Quadratic BSDEs with convex generators and unbounded terminal conditions
- Multidimensional BSDE with super-linear growth coefficient: application to degenerate systems of semilinear PDEs
- Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging
- Quadratic BSDEs with random terminal time and elliptic PDEs in infinite dimension.
- The multiplicity of an increasing family of \(\sigma\)-fields
- Stability of BSDEs with random terminal time and homogenization of semilinear elliptic PDEs
- Backwards SDE with random terminal time and applications to semilinear elliptic PDE
- Backward stochastic differential equations: The locally Lipschitz case
- Backward stochastic differential equations with continuous coefficient
- On solutions of backward stochastic differential equations with jumps and applications
- Conjugate convex functions in optimal stochastic control
- Existence, uniqueness and stability of backward stochastic differential equations with locally monotone coefficient
- On the existence or non-existence of solutions for certain backward stochastic differential equations
- A unified approach to a priori estimates for supersolutions of BSDEs in general filtrations
- A stability approach for solving multidimensional quadratic BSDEs
- Multidimensional Markovian FBSDEs with super-quadratic growth
- BSDEs with default jump
- A class of globally solvable Markovian quadratic BSDE systems and applications
- On the robustness of backward stochastic differential equations.
- Backward stochastic differential equations with stochastic monotone coefficients
- A semimartingale BSDE related to the minimal entropy martingale measure
- BSDE associated with Lévy processes and application to PDIE
- BSDEs with polynomial growth generators
- Existence and uniqueness of solutions for BSDEs with locally Lipschitz coefficient
- Backward stochastic differential equations and partial differential equations with quadratic growth.
- Adapted solutions of backward stochastic differential equations with non- Lipschitz coefficients
- Mean-variance hedging via stochastic control and BSDEs for general semimartingales
- A financial market with interacting investors: does an equilibrium exist?
- Second order backward SDE with random terminal time
- Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem
- \(L^1\) solutions of non-reflected BSDEs and reflected BSDEs with one and two continuous barriers under general assumptions
- Solvability of some quadratic BSDEs without exponential moments
- A note on generalized inverses
- Quadratic BSDE with \(\mathbb{L}^{2}\)-terminal data: Krylov's estimate, Itô-Krylov's formula and existence results
- \(\mathbb L^p\) solutions of backward stochastic differential equations with jumps
- Multidimensional quadratic BSDEs with separated generators
- Differentiability of quadratic BSDEs generated by continuous martingales
- BSDE with quadratic growth and unbounded terminal value
- Minimal supersolutions of convex BSDEs
- Mean-variance hedging on uncertain time horizon in a market with a jump
- A simple constructive approach to quadratic BSDEs with or without delay
- BSDEs with jumps, optimization and applications to dynamic risk measures
- Minimal supersolutions of BSDEs with lower semicontinuous generators
- BSDEs with terminal conditions that have bounded Malliavin derivative
- BSDE on an infinite horizon and elliptic PDEs in infinite dimension
- Solvability of backward stochastic differential equations with quadratic growth
- \(L^{p}\) solutions of BSDEs with stochastic Lipschitz condition
- Besides with stochastic Lipschitz condition and quadratic PDEs in Hilbert spaces
- Quadratic BSDEs with jumps: a fixed-point approach
- Dynamic exponential utility indifference valuation
- \(L^p\) solutions of backward stochastic differential equations.
- A new existence result for quadratic BSDEs with jumps with application to the utility maximization problem
- Backward stochastic differential equations with locally Lipschitz coefficient
- Multidimensional quadratic and subquadratic BSDEs with special structure
- BSDEs with monotone generator driven by Brownian and Poisson noises in a general filtration
- Quadratic BSDEs with jumps: Related nonlinear expectations
- Stability and Analytic Expansions of Local Solutions of Systems of Quadratic BSDEs with Applications to a Price Impact Model
- A general comparison theorem for backward stochastic differential equations
- CREDIT RISK PREMIA AND QUADRATIC BSDEs WITH A SINGLE JUMP
- Backward stochastic differential equations and integral-partial differential equations
- Limit theorems for BSDE with local time applications to non-linear PDE
- Existence and Uniqueness of Multidimensional BSDEs and of Systems of Degenerate PDEs with Superlinear Growth Generator
- UTILITY MAXIMIZATION WITH RANDOM HORIZON: A BSDE APPROACH
- Backward Stochastic Differential Equations Driven By Càdlàg Martingales
- Utility maximization in a jump market model
- Maximum principle and dynamic programming approaches of the optimal control of partially observed diffusions
- Optimal locally absolutely continuous change of measure. finite set of decisions. part i
- Optimal locally absolutely continuous change of measure. finite set of decisions. part ii:optimization problems
- Probabilistic interpretation for systems of quasilinear parabolic partial differential equations
- Backward stochastic differential equation with local time
This page was built for publication: Existence and uniqueness results for BSDE with jumps: the whole nine yards
