A stochastic Fubini theorem: BSDE method

DOI10.1186/S13660-017-1358-3MaRDI QIDQ523887zbMATHOpenAlexWikidataFDO

Authors Yanqing Wang

Publication date 24 April 2017

Published in Journal of Inequalities and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1186/s13660-017-1358-3

zbMATH Keywords

backward stochastic differential equationrandom jumpsstochastic Fubini theorem

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05)

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Cites work

• scientific article; zbMATH DE number 3637053 (Why is no real title available?)
• scientific article; zbMATH DE number 1066313 (Why is no real title available?)
• scientific article; zbMATH DE number 3085434 (Why is no real title available?)
• Adapted solution of a backward stochastic differential equation
• Adapted solution of a backward stochastic nonlinear Volterra integral equation
• BSDEs with general filtration driven by Lévy processes, and an application in stochastic controllability
• Backward Stochastic Differential Equations in Finance
• Backward stochastic differential equations and integral-partial differential equations
• Conjugate convex functions in optimal stochastic control
• Forward-backward stochastic differential equations with Brownian motion and Poisson process
• Fully coupled forward-backward stochastic differential equations with general martingale
• Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
• On The Stochastic Fubini Theorem
• On the stochastic Fubini theorem in infinite dimensions
• Stochastic Fubini Theorem for Semimartingales in Hilbert Space
• The Norm Optimal Control Problem for Stochastic Linear Control Systems
• Well-posedness and regularity of backward stochastic Volterra integral equations

Cited in

(5)

• Terminal-Dependent Statistical Inferences for FBSDE
• Existence, uniqueness, and collocation solutions using the shifted Legendre spectral method for the Hilfer fractional stochastic integro-differential equations regarding stochastic Brownian motion
• Stochastic Bihari inequality and applications to BSDE
• Terminal-dependent statistical inference for the integral form of FBSDE
• A stochastic Fubini theorem for \(\alpha\)-stable process

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