On comparison theorem and solutions of BSDEs for Lévy processess
From MaRDI portal
Publication:2468797
DOI10.1007/s10255-007-0391-2zbMath1131.60059OpenAlexW2120552666MaRDI QIDQ2468797
Publication date: 25 January 2008
Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10255-007-0391-2
Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)
Related Items
BSDEs with monotone generator driven by time-changed Lévy noises, BSDEs driven by time-changed Lévy noises with non-Lipschitz generators, Reflected BSDEs driven by inhomogeneous simple Lévy processes with rcll barrier, Generalized backward doubly stochastic differential equations driven by Lévy processes with continuous coefficients, Reflected generalized backward doubly SDEs driven by Lévy processes and applications, Irregular barrier reflected BSDEs driven by a Lévy process, BSDE with rcll reflecting barrier driven by a Lévy process, Reflected and doubly reflected BSDEs for Lévy processes: solutions and comparison, On solutions to backward stochastic partial differential equations for Lévy processes, A general comparison theorem for backward stochastic differential equations
Cites Work
- Adapted solution of a backward stochastic differential equation
- On solutions of backward stochastic differential equations with jumps and applications
- Nonlinear Doob-Meyer decomposition with jumps.
- On Lévy processes, Malliavin calculus and market models with jumps
- Chaotic and predictable representations for Lévy processes.
- Adapted solutions of backward stochastic differential equations with non- Lipschitz coefficients
- Reflected backward stochastic differential equations with jumps
- Backward stochastic differential equations and Feynman-Kac formula for Lévy processes, with applications in finance
