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

DOI10.1051/PROC/201756088zbMATH Open1383.60047OpenAlexW2590080906MaRDI QIDQ4606386FDOQ4606386

Monique Jeanblanc, Thomas Lim, N. Agram

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

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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)

Cites Work

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

Cited In (3)

• Anticipated backward SDEs with jumps and quadratic-exponential growth drivers
• Stochastic control of memory mean-field processes
• Singular Control Optimal Stopping of Memory Mean-Field Processes

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