Applications of anticipated BSDEs driven by time-changing Lévy noises

DOI10.1186/S13660-016-1230-XMaRDI QIDQ343547zbMATH OpenOpenAlexWikidataFDO

Authors Youxin Liu

Publication date 28 November 2016

Published in Journal of Inequalities and Applications (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1186/s13660-016-1230-x

zbMATH Keywords

comparison theoremquasilinear PDEanticipated backward stochastic differential equationsnonlinear Feynman-Kac formulaLévy noise

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cites work

• scientific article; zbMATH DE number 1121854 (Why is no real title available?)
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• Anticipated BSDEs driven by time-changed Lévy noises
• Anticipated backward stochastic differential equations
• Anticipated backward stochastic differential equations on Markov chains
• BSDEs driven by time-changed Lévy noises and optimal control
• Backward Stochastic Differential Equations in Finance
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• Backward stochastic differential equations with time delayed generators -- results and counterexamples
• Chaotic and predictable representations for Lévy processes.
• Maximum principle for anticipated recursive stochastic optimal control problem with delay and Lévy processes
• On viscosity solutions of path dependent PDEs
• Solutions of backward stochastic differential equations on Markov chains
• Stochastic systems with memory and jumps
• Wellposedness of second order backward SDEs

Cited in

(5)

• BSDEs driven by time-changed Lévy noises with non-Lipschitz generators
• Mean-field anticipated BSDEs driven by time-changed Lévy noises
• Predictable representation for time inhomogeneous Lévy processes and BSDEs
• Anticipated BSDEs driven by time-changed Lévy noises
• scientific article; zbMATH DE number 1981810 (Why is no real title available?)

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