Non-linear time-advanced backward stochastic partial differential equations with jumps

DOI10.1080/07362994.2015.1036166zbMATH Open1325.60110OpenAlexW1499394438MaRDI QIDQ3448335FDOQ3448335

Authors: Olivier Menoukeu-Pamen 

Publication date: 23 October 2015

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: http://urn.nb.no/URN:NBN:no-29768

Recommendations

• Some existence results for advanced backward stochastic differential equations with a jump time
• On solutions of backward stochastic differential equations with jumps and applications
• Anticipated backward stochastic differential equations with jumps under the non-Lipschitz condition
• On solutions of backward stochastic differential equations with jumps in Hilbert spaces. II
• NON-LIPSCHITZ BACKWARD STOCHASTIC VOLTERRA TYPE EQUATIONS WITH JUMPS

zbMATH Keywords

stochastic evolution equationsLévy processstochastic generalized porous medium equationstime-advanced backward SPDE

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Stochastic integrals (60H05)

Cites Work

• On linear, degenerate backward stochastic partial differential equations
• Solving forward-backward stochastic differential equations explicitly -- a four step scheme
• Anticipated backward stochastic differential equations
• \(L^p\) solutions of backward stochastic differential equations.
• Optimal control for stochastic delay systems under model uncertainty: a stochastic differential game approach
• Optimal control of stochastic delay equations and time-advanced backward stochastic differential equations
• Maximum principle for semilinear stochastic evolution control systems
• On stochastic evolution equations with non-Lipschitz coefficients
• Maximum principle and dynamic programming approaches of the optimal control of partially observed diffusions
• Adapted solution of a backward semilinear stochastic evolution equation
• Stochastic Differential Utility
• Backward Stochastic Differential Equations in Finance
• Adapted solution of a backward stochastic differential equation
• Maximum principle for the stochastic optimal control problem with delay and application
• A concise course on stochastic partial differential equations
• Stochastic functional partial differential equations: Existence, uniqueness and asymptotic decay property
• Backward stochastic differential equations and integral-partial differential equations
• Stochastic Partial Differential Equations with Levy Noise
• Stochastic partial differential equations and filtering of diffusion processes
• Backward stochastic partial differential equations with jumps and application to optimal control of random jump fields
• On backward stochastic evolution equations in Hilbert spaces and optimal control
• Existence, uniqueness and space regularity of the adapted solutions of a backward spde
• On solutions of backward stochastic differential equations with jumps and applications
• Infinite dimensional BSDE with jumps

Cited In (3)

• Backward stochastic differential equations with jumps and related nonlinear expectations
• Some existence results for advanced backward stochastic differential equations with a jump time
• Well-posedness for anticipated backward stochastic Schrödinger equations

This page was built for publication: Non-linear time-advanced backward stochastic partial differential equations with jumps

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3448335)