Existence and uniqueness of stochastic equations of optional semimartingales under monotonicity condition

backward stochastic differential equations comparison theorem stochastic differential equations Gronwall lemma stochastic integral equations Picard approximation optional semimartingales non-Lipschitz conditions ladlag processes stochastic particles collision

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integral equations (60H20)

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A comparison theorem for stochastic equations of optional semimartingales
Adapted solution of a backward stochastic differential equation
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Conjugate convex functions in optimal stochastic control
Consumption-investment optimization with Epstein-Zin utility in incomplete markets
DECOMPOSITION OF OPTIONAL SUPERMARTINGALES
Existence and Uniqueness of a Solution for Stochastic Equations with Respect to Semimartingales
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Optional supermartingales and the andersen-jessen theorem
Stochastic Differential Utility
Stochastic Integrals with Respect to Optional Semimartingales and Random Measures
Stochastic differential equations: singularity of coefficients, regression models, and stochastic approximation
Stochastic process measurability conditions
Th�orie des processus stochastiques g�n�raux applications aux surmartingales

Cited in

(10)

Parameter estimation in optional semimartingale regression models
Existence and uniqueness of martingale solutions to option pricing equations with noise
SDEs with two reflecting barriers driven by optional processes with regulated trajectories
On reflection with two-sided jumps
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On linear stochastic equations of optional semimartingales and their applications
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On reflected stochastic differential equations driven by regulated semimartingales

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