scientific article; zbMATH DE number 1066313

zbMATH Open0887.60064MaRDI QIDQ4357500FDOQ4357500

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Publication date: 25 September 1997

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zbMATH Keywords

existence and uniqueness of solution for backward stochastic differential equationsnon-uniform Lipschitz conditions

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cited In (only showing first 100 items - show all)

• Existence and uniqueness results for BSDE with jumps: the whole nine yards
• BSDEs under partial information and financial applications
• Monotone stability of quadratic semimartingales with applications to unbounded general quadratic BSDEs
• Arbitrage-free pricing of derivatives in nonlinear market models
• Backward doubly stochastic differential equations with discontinuous coefficients
• A BSDE approach to stochastic differential games with incomplete information
• BSDEs with stochastic Lipschitz condition: a general result
• Symmetrical martingale solutions of backward doubly stochastic Volterra integral equations
• Second order backward SDE with random terminal time
• Harmonic analysis of stochastic equations and backward stochastic differential equations
• Stochastic optimal control of finite ensembles of nanomagnets
• \(\mathbb L^p\) solutions of backward stochastic differential equations with jumps
• Backward stochastic difference equations with finite states
• Representing filtration consistent nonlinear expectations as \(g\)-expectations in general probability spaces
• Backward stochastic differential equations with unbounded generators
• On measure solutions of backward stochastic differential equations
• BSDEs, càdlàg martingale problems, and orthogonalization under basis risk
• Stochastic control for a class of nonlinear kernels and applications
• A unified approach to a priori estimates for supersolutions of BSDEs in general filtrations
• Some results on general quadratic reflected BSDEs driven by a continuous martingale
• Solvability and numerical simulation of BSDEs related to BSPDEs with applications to utility maximization
• Representation theorems for generators of BSDEs and the extended \(g\)-expectations in probability spaces with general filtration
• GKW representation theorem under restricted information. An application to risk-minimization
• Backward stochastic differential equation driven by a marked point process: an elementary approach with an application to optimal control
• On the robustness of backward stochastic differential equations.
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• Second order backward stochastic differential equations with quadratic growth
• Optimal Design of Dynamic Default Risk Measures
• Viscosity solutions of path-dependent integro-differential equations
• Existence and uniqueness result for a backward stochastic differential equation whose generator is Lipschitz continuous in \(y\) and uniformly continuous in \(z\)
• Backward doubly stochastic differential equations with weak assumptions on the coefficients
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• A generalized existence theorem of backward doubly stochastic differential equations
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• Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem
• \(L^p (p > 1)\) solutions of BSDEs with generators satisfying some non-uniform conditions in \(t\) and \(\omega\)
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• Solvability of backward stochastic differential equations with quadratic growth
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• Nonlinear equity valuation using conic finance and its regulatory implications
• Stochastic zero-sum differential games and backward stochastic differential equations
• A general theory of finite state backward stochastic difference equations
• Optimal management under stochastic interest rates: the case of a protected defined contribution pension fund
• Forward backward SDEs in weak formulation
• BSDEs driven by multidimensional martingales and their applications to markets with funding costs
• Elliptic PDEs with distributional drift and backward SDEs driven by a càdlàg martingale with random terminal time
• Differentiability of quadratic BSDEs generated by continuous martingales
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• Existence, uniqueness and comparisons for BSDEs in general spaces
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• Double barrier reflected BSDEs with stochastic Lipschitz coefficient
• The general relaxed control problem of fully coupled forward-backward doubly system
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• Valuation and Hedging of Contracts with Funding Costs and Collateralization
• A general non-existence result for linear BSDEs driven by Gaussian processes
• Probabilistic methods for semilinear partial differential equations. Applications to finance
• A stochastic Fubini theorem: BSDE method
• BSDEs with jumps and two completely separated irregular barriers in a general filtration
• Generalized backward stochastic differential equations with jumps in a general filtration
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• BSDEs and enlargement of filtration
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• Reflected generalized BSDE with jumps under stochastic conditions and an obstacle problem for integral-partial differential equations with nonlinear Neumann boundary conditions
• Mean reflected BSDE driven by a marked point process and application in insurance risk management
• Relationship between maximum principle and dynamic programming principle for stochastic recursive optimal control problem under volatility uncertainty
• Locally Lipschitz BSDE driven by a continuous martingale a path-derivative approach
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• Bounded solutions for general time interval BSDEs with quadratic growth coefficients and stochastic conditions
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• Predictable solution for reflected BSDEs when the obstacle is not right-continuous
• Optimal stopping of marked point processes and reflected backward stochastic differential equations
• American options in nonlinear markets
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• Existence, uniqueness and strict comparison theorems for BSDEs driven by RCLL martingales
• General time interval multidimensional BSDEs with generators satisfying a weak stochastic-monotonicity condition
• Stochastic maximum principle for systems driven by local martingales with spatial parameters
• BSDEs driven by normal martingale
• Reflected BSDEs when the obstacle is predictable and nonlinear optimal stopping problem
• Two fixed point theorems in complete random normed modules and their applications to backward stochastic equations
• Generalized BSDEs driven by RCLL martingales with stochastic monotone coefficients
• Necessary condition for optimality of forward-backward doubly system
• A framework of BSDEs with stochastic Lipschitz coefficients
• Doubly reflected BSDEs driven by RCLL martingales under stochastic Lipschitz coefficient
• Reflected backward doubly stochastic differential equations driven by a Lévy process with stochastic Lipschitz condition
• Reflections on BSDEs

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