Some existence results for advanced backward stochastic differential equations with a jump time

DOI10.1051/PROC/201756088MaRDI QIDQ4606386zbMATH OpenOpenAlexFDO

Authors Thomas Lim, N. Agram, Monique Jeanblanc

Publication date 7 March 2018

Published in ESAIM: Proceedings and Surveys (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial 4.0 International

Full work available at URL https://doi.org/10.1051/proc/201756088

zbMATH Keywords

Brownian motionbackward stochastic differential equationsBrownian filtrationsingle jump process

Mathematics Subject Classification ID

Brownian motion (60J65) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cites work

• Anticipated backward stochastic differential equations
• BSDEs with default jump
• Backward Stochastic Differential Equations in Finance
• Changes of filtrations and of probability measures
• Enlargement of filtrations with finance in view
• Mean-variance hedging on uncertain time horizon in a market with a jump
• Optimal control of stochastic delay equations and time-advanced backward stochastic differential equations
• Optional splitting formula in a progressively enlarged filtration
• Progressive enlargement of filtrations and backward stochastic differential equations with jumps
• Semi-martingales et grossissement d'une filtration
• Stochastic control under progressive enlargement of filtrations and applications to multiple defaults risk management
• What happens after a default: the conditional density approach

Cited in

(4)

• Singular control optimal stopping of memory mean-field processes
• Anticipated backward SDEs with jumps and quadratic-exponential growth drivers
• Stochastic control of memory mean-field processes
• Non-linear time-advanced backward stochastic partial differential equations with jumps

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