Second order backward SDE with random terminal time
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Publication:2201514
DOI10.1214/20-EJP498zbMATH Open1459.60126arXiv1802.02260OpenAlexW3063606321MaRDI QIDQ2201514FDOQ2201514
Nizar Touzi, Yiqing Lin, Zhenjie Ren, Junjian Yang
Publication date: 29 September 2020
Published in: Electronic Journal of Probability (Search for Journal in Brave)
Abstract: Backward stochastic differential equations extend the martingale representation theorem to the nonlinear setting. This can be seen as path-dependent counterpart of the extension from the heat equation to fully nonlinear parabolic equations in the Markov setting. This paper extends such a nonlinear representation to the context where the random variable of interest is measurable with respect to the information at a finite stopping time. We provide a complete wellposedness theory which covers the semilinear case (backward SDE), the semilinear case with obstacle (reflected backward SDE), and the fully nonlinear case (second order backward SDE).
Full work available at URL: https://arxiv.org/abs/1802.02260
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