Generalized anticipated backward stochastic differential equations driven by Brownian motion and continuous increasing process

DOI10.1080/03610918.2017.1291966MaRDI QIDQ5084745OpenAlexFDO

Authors Wu Hao, Wang Weifeng, Guo Zhongkai

Publication date 28 June 2022

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918.2017.1291966

zbMATH Keywords

comparison theoremdualityincreasing processGABSDEs

Mathematics Subject Classification ID

Stochastic integrals (60H05) Stochastic integral equations (60H20)

Cites work

• Adapted solution of a backward stochastic differential equation
• Anticipated BSDEs driven by time-changed Lévy noises
• Anticipated backward stochastic differential equations
• Anticipated backward stochastic differential equations on Markov chains
• BSDEs driven by time-changed Lévy noises and optimal control
• BSDEs of counterparty risk
• Ergodic BSDEs and related PDEs with Neumann boundary conditions under weak dissipative assumptions
• Generalized BSDE with 2-reflecting barriers and stochastic quadratic growth
• Generalized BSDEs and nonlinear Neumann boundary value problems
• Generalized BSDEs driven by fractional Brownian motion
• Generalized Reflected BSDE and an Obstacle Problem for PDEs with a Nonlinear Neumann Boundary Condition
• Generalized backward doubly stochastic differential equations and SPDEs with nonlinear Neumann boundary conditions
• Linear Quadratic Optimal Stochastic Control with Random Coefficients
• Mean-field backward stochastic differential equations and related partial differential equations
• Mixed boundary value problems of semilinear elliptic PDEs and BSDEs with singular coefficients
• Reflected solutions of backward SDE's, and related obstacle problems for PDE's

Cited in

(1)

• Reflected solutions of generalized anticipated BSDEs and application to reflected BSDEs with functional barrier

This page was built for publication: Generalized anticipated backward stochastic differential equations driven by Brownian motion and continuous increasing process

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5084745)