BSDEs driven by normal martingale
DOI10.1080/00036811.2020.1783535zbMATH Open1492.60201OpenAlexW3036417326MaRDI QIDQ5071309FDOQ5071309
Authors: Mohamed El Otmani, Mohamed Marzougue 
Publication date: 21 April 2022
Published in: Applicable Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00036811.2020.1783535
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backward stochastic differential equationviscosity solutionnormal martingalestochastic Lipschitz coefficient
Applications of stochastic analysis (to PDEs, etc.) (60H30) Numerical solutions to stochastic differential and integral equations (65C30) Stochastic integral equations (60H20)
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Cited In (8)
- Non-linear Dynkin games over split stopping times
- Backward Stochastic Differential Equations Driven By Càdlàg Martingales
- Nonlinear BSDEs on a general filtration with drivers depending on the martingale part of the solution
- BSDENMs: enlargement of filtration and insider trading
- Predictable solution for reflected BSDEs when the obstacle is not right-continuous
- Penalization method for reflected BDSDEs with two-sided jumps and driven by Lévy process
- PDEs FOR REFLECTED BSDENMs APPLIED TO AMERICAN OPTIONS
- Martingale driven BSDEs, PDEs and other related deterministic problems
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