Nonlinear BSDEs on a general filtration with drivers depending on the martingale part of the solution

DOI10.1016/j.spa.2023.04.011zbMath1523.60118arXiv2103.07536OpenAlexW3138689265MaRDI QIDQ6157008

Tomasz Klimsiak, Maurycy Rzymowski

Publication date: 19 June 2023

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

Full work available at URL: https://arxiv.org/abs/2103.07536

zbMATH Keywords

backward stochastic differential equationsglobal solutionsgeneral filtration

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic integral equations (60H20)

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