Anticipated BSDEs driven by time-changed Lévy noises

DOI10.1016/j.jkss.2014.12.001zbMath1321.60126OpenAlexW2020567371MaRDI QIDQ2515854

Yong Ren, Youxin Liu

Publication date: 7 August 2015

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jkss.2014.12.001

zbMATH Keywords

comparison theoremdualityanticipated backward stochastic differential equationstime-changed Lévy processstochastic differential delay equations

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items

Mean-field anticipated BSDEs driven by time-changed Lévy noises, Applications of anticipated BSDEs driven by time-changing Lévy noises, Generalized anticipated backward stochastic differential equations driven by Brownian motion and continuous increasing process, L^p solutions of anticipated BSDEs with weak monotonicity and general growth generators

Cites Work

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• Necessary and sufficient condition for the comparison theorem of multidimensional anticipated backward stochastic differential equations
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• Solutions of Backward Stochastic Differential Equations on Markov Chains
• Ergodic BSDEs Driven by Markov Chains
• Backward Stochastic Differential Equations in Finance