A framework of BSDEs with stochastic Lipschitz coefficients
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Publication:5140340
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
backward stochastic differential equationsMarkov chaintime-changerandom terminal timestochastic Lipschitz coefficient
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic integral equations (60H20)
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Cites Work
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