On the orthogonal component of BSDEs in a Markovian setting

DOI10.1016/j.spl.2011.09.015zbMath1231.60075arXiv0907.1071OpenAlexW1992678142MaRDI QIDQ654493

Anthony Réveillac

Publication date: 28 December 2011

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0907.1071

zbMATH Keywords

Markov processesbackward stochastic differential equationmartingale representation propertyquadratic growth

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (1)

Existence and uniqueness results for BSDE with jumps: the whole nine yards

Cites Work

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• Adapted solution of a backward stochastic differential equation
• Conjugate convex functions in optimal stochastic control
• Explicit form and robustness of martingale representations.
• Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem
• Semimartingales and Markov processes
• Backward Stochastic Differential Equations in Finance

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