Representation theorems for generators of backward stochastic differential equations and their applications
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Publication:2575812
DOI10.1016/j.spa.2005.06.008zbMath1078.60043MaRDI QIDQ2575812
Publication date: 7 December 2005
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spa.2005.06.008
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
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Cites Work
- Adapted solution of a backward stochastic differential equation
- Forward-backward stochastic differential equations and their applications
- Jensen's inequality for \(g\)-expectation. I
- Jensen's inequality for \(g\)-expectation. II
- A converse comparison theorem for BSDEs and related properties of \(g\)-expectation
- Some results on the uniqueness of generators of backward stochastic differential equations
- A general converse comparison theorem for backward stochastic differential equations
- A property of backward stochastic differential equations
- Backward Stochastic Differential Equations in Finance
