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

DOI10.1051/proc/201756088zbMath1383.60047OpenAlexW2590080906MaRDI QIDQ4606386

Thomas Lim, Nacira Agram, Monique Jeanblanc-Picqué

Publication date: 7 March 2018

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

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

Related Items (3)

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

Cites Work

• Progressive enlargement of filtrations and backward stochastic differential equations with jumps
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• Stochastic control under progressive enlargement of filtrations and applications to multiple defaults risk management
• Semi-martingales et grossissement d'une filtration
• BSDEs with default jump
• Anticipated backward stochastic differential equations
• 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
• Changes of filtrations and of probability measures
• Enlargement of Filtration with Finance in View
• Backward Stochastic Differential Equations in Finance
• Optional splitting formula in a progressively enlarged filtration

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