44th seminar on probability. Including papers from the `Journées de Probabilités', Dijon, France, June 2010

DOI10.1007/978-3-642-27461-9zbMath1244.60005arXiv1101.2582MaRDI QIDQ660368

Nicholas Westray, Markus Mocha

Publication date: 1 February 2012

Published in: Lecture Notes in Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1101.2582

zbMATH Keywords

convex generators; exponential moments; quadratic semimartingale BSDEs

Mathematics Subject Classification ID

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

00B25: Proceedings of conferences of miscellaneous specific interest

60-06: Proceedings, conferences, collections, etc. pertaining to probability theory

60J65: Brownian motion

60J10: Markov chains (discrete-time Markov processes on discrete state spaces)

46L54: Free probability and free operator algebras

60G44: Martingales with continuous parameter

60J60: Diffusion processes

Related Items

Backward stochastic differential equations with unbounded generators, Stability results for martingale representations: The general case, Monotone stability of quadratic semimartingales with applications to unbounded general quadratic BSDEs, BSDEs in utility maximization with BMO market price of risk, Pseudo linear pricing rule for utility indifference valuation, New proofs of some results on bounded mean oscillation martingales using backward stochastic differential equations, Existence and uniqueness results for BSDE with jumps: the whole nine yards, BSDEs Driven by Multidimensional Martingales and Their Applications to Markets with Funding Costs

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