Predictable representation for time inhomogeneous Lévy processes and BSDEs

DOI10.1007/S13370-019-00677-0MaRDI QIDQ2322283zbMATH OpenOpenAlexFDO

Authors Mohamed El Jamali, Mohamed El Otmani

Publication date 4 September 2019

Published in Afrika Matematika (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s13370-019-00677-0

zbMATH Keywords

BSDEnon-homogeneous Lévy processpartial integro-differential equationspredictable representation theorem

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic integrals (60H05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cited in

(7)

• Reflected BSDEs driven by inhomogeneous simple Lévy processes with rcll barrier
• Applications of anticipated BSDEs driven by time-changing Lévy noises
• On the predictable representation property of martingales associated with Lévy processes
• Representation of Homothetic Forward Performance Processes in Stochastic Factor Models via Ergodic and Infinite Horizon BSDE
• L^p-solution for BSDEs driven by a Lévy process
• Backward doubly SDEs driven by a nonhomogeneous Lévy process with continuous and stochastic linear growth coefficients
• On the \(\mathbb{L}^p\)-solution for BSDELs with continuous or left continuous coefficient

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