One-dimensional BSDEs with finite and infinite time horizons

DOI10.1016/J.SPA.2010.11.008zbMATH Open1219.60059OpenAlexW2000345319MaRDI QIDQ550145FDOQ550145

Authors: Long Jiang, Shengjun Fan, Dejian Tian 

Publication date: 8 July 2011

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2010.11.008

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zbMATH Keywords

backward stochastic differential equationcomparison theoremexistence and uniquenessuniformly continuous generatormonotonic generator

Mathematics Subject Classification ID

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

Cites Work

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• Backward Stochastic Differential Equations in Finance
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Cited In (22)

• Title not available (Why is that?)
• Bounded solutions, \(L^p\) \((p > 1)\) solutions and \(L^1\) solutions for one dimensional BSDEs under general assumptions
• One dimensional BSDEs with critical integrable terminal values and infinite time horizon
• L^p solutions of general time interval BSDEs with generators satisfying a p-order weak stochastic-monotonicity condition
• L^p (p ≥ 1) solutions of multidimensional BSDEs with monotone generators in general time intervals
• A class of stochastic Gronwall's inequality and its application
• A generalized comparison theorem for BSDEs and its applications
• Existence, uniqueness and stability of \(L^1\) solutions for multidimensional backward stochastic differential equations with generators of one-sided Osgood type
• Multidimensional BSDEs with weak monotonicity and general growth generators
• General time interval BSDEs under the weak monotonicity condition and nonlinear decomposition for general g-supermartingales
• One-dimensional BSDEs with left-continuous, lower semi-continuous and linear-growth generators
• Strategic trading with information acquisition and long-memory stochastic liquidity
• \(L^p (p > 1)\) solutions of BSDEs with generators satisfying some non-uniform conditions in \(t\) and \(\omega\)
• Discontinuous backward doubly stochastic differential equations with Poisson jumps
• \(L^p\)-solutions of multi-dimensional oblique reflected BSDEs and optimal switching problem on finite or infinite time horizon
• \(L^{p}\) solutions of infinite time interval backward doubly stochastic differential equations under monotonicity and general increasing conditions
• \(L^p\) solutions of multidimensional BSDEs with weak monotonicity and general growth generators
• Backward stochastic differential equations driven by \(G\)-Brownian motion with uniformly continuous generators
• Representation of filtration-consistent nonlinear expectation by g-expectation in general framework
• BSDEs driven by \(G\)-Brownian motion with time-varying Lipschitz condition
• One-dimensional reflected backward stochastic differential equations with finite or infinite time horizons and continuous generators
• Title not available (Why is that?)

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