A study on a new class of backward stochastic differential equation

DOI10.1155/2020/1518723MaRDI QIDQ6534674zbMATH OpenFDO

Authors Ping He, Yong Ren, Defei Zhang

Publication date 14 May 2021

Published in Mathematical Problems in Engineering (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1155/2020/1518723

Mathematics Subject Classification ID

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

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Cites work

• Adapted solution of a backward stochastic differential equation
• Adapted solutions of backward stochastic differential equations with non- Lipschitz coefficients
• Ambiguity, Risk, and Asset Returns in Continuous Time
• Anticipated backward stochastic differential equations
• Backward stochastic differential equations and partial differential equations with quadratic growth.
• Backward Stochastic Differential Equations in Finance
• Backward stochastic differential equations with time delayed generators -- results and counterexamples
• Filtration-consistent nonlinear expectations and related g-expectations
• Finite and infinite time interval BSDEs with non-Lipschitz coefficients
• Limit theorem and uniqueness theorem of backward stochastic differential equations
• On Malliavin's differentiability of BSDEs with time delayed generators driven by Brownian motions and Poisson random measures
• One-dimensional backward stochastic differential equations whose coefficient is monotonic in \(y\) and non-Lipschitz in \(z\)
• Quadratic BSDEs with convex generators and unbounded terminal conditions
• Representation theorems for generators of backward stochastic differential equations and their applications
• Smallest g-supersolution with constraint

Cited in

(1)

• A study of backward stochastic differential equation on a Riemannian manifold

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