A framework of BSDEs with stochastic Lipschitz coefficients

DOI10.1051/ps/2020016zbMath1461.60041OpenAlexW3018389883MaRDI QIDQ5140340

Hun O, Chol-Kyu Pak, Mun-Chol Kim

Publication date: 15 December 2020

Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1051/ps/2020016

zbMATH Keywords

backward stochastic differential equationsMarkov chaintime-changerandom terminal timestochastic Lipschitz coefficient

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic integral equations (60H20)

Related Items (1)

A general comparison theorem for reflected BSDEs

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