Backward stochastic differential equations with non-Lipschitz time delayed generators

DOI10.1002/ASJC.2192MaRDI QIDQ6570429zbMATH OpenFDO

Authors Harouna Coulibaly, Auguste Aman

Publication date 10 July 2024

Published in Asian Journal of Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/ASJC.2192

zbMATH Keywords

backward stochastic differential equationsnon Lipschitz conditiontime delayed generators

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Systems theory; control (93-XX)

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Cites work

• Adapted solution of a backward stochastic differential equation
• Applications of time-delayed backward stochastic differential equations to pricing, hedging and portfolio management in insurance and finance
• Backward equations, stochastic control and zero-sum stochastic differential games
• Backward Stochastic Differential Equations in Finance
• Backward stochastic differential equations with time delayed generators -- results and counterexamples
• BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations.
• BSDEs with time-delayed generators of a moving average type with applications to non-monotone preferences
• Dynamic programming principle for stochastic recursive optimal control problem with delayed systems
• Existence-uniqueness and continuation theorems for stochastic functional differential equations
• FBDEs with time delayed generators: \(L^{p}\)-solutions, differentiability, representation formulas and path regularity
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• Zero-sum stochastic differential games and backward equations

Cited in

(6)

• Time-delayed generalized BSDEs
• Caputo fractional backward stochastic differential equations driven by fractional Brownian motion with delayed generator
• Backward stochastic Volterra integral equations with time delayed generators
• L ^p -solutions of backward doubly stochastic differential equations with time delayed generators
• Backward stochastic differential equations with time-delayed generators and integrable parameters
• L ^p -solutions of backward stochastic differential equations with time-delayed generators

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