Applications of anticipated BSDEs driven by time-changing Lévy noises

DOI10.1186/S13660-016-1230-XzbMATH Open1352.60084OpenAlexW2552488093WikidataQ59468567 ScholiaQ59468567MaRDI QIDQ343547FDOQ343547

Authors: Youxin Liu 

Publication date: 28 November 2016

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

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

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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)

Cites Work

• Anticipated backward stochastic differential equations
• On viscosity solutions of path dependent PDEs
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• A nonlinear Kolmogorov equation for stochastic functional delay differential equations with jumps
• BSDEs driven by time-changed Lévy noises and optimal control
• Anticipated BSDEs driven by time-changed Lévy noises
• Anticipated backward stochastic differential equations on Markov chains
• Maximum principle for anticipated recursive stochastic optimal control problem with delay and Lévy processes
• Backward stochastic differential equations approach to hedging, option pricing, and insurance problems
• A BSDE with delayed generator approach to pricing under counterparty risk and collateralization

Cited In (5)

• BSDEs driven by time-changed Lévy noises with non-Lipschitz generators
• Title not available (Why is that?)
• 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

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