BSDE with jumps when mean reflection is nonlinear

DOI10.1155/2024/9963889MaRDI QIDQ6657780FDOQ6657780

Authors: Winfrida Felix Mwigilwa, Farai Julius Mhlanga 

Publication date: 6 January 2025

Published in: International Journal of Mathematics and Mathematical Sciences (Search for Journal in Brave)

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Mathematics Subject Classification ID

Probability theory and stochastic processes (60-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

• Continuous-time stochastic control and optimization with financial applications
• Conjugate convex functions in optimal stochastic control
• Backward stochastic differential equations and partial differential equations with quadratic growth.
• Backward Stochastic Differential Equations in Finance
• Adapted solution of a backward stochastic differential equation
• Backward stochastic differential equations with jumps and their actuarial and financial applications. BSDEs with jumps
• Reflected backward SDEs with general jumps
• Reflected BSDEs and robust optimal stopping for dynamic risk measures with jumps
• Backward Stochastic Differential Equations Driven By Càdlàg Martingales
• UTILITY MAXIMIZATION WITH INTERMEDIATE CONSUMPTION UNDER RESTRICTED INFORMATION FOR JUMP MARKET MODELS
• The Burkholder-Davis-Gundy inequality for enhanced martingales
• BSDEs with mean reflection
• BSDEs with weak terminal condition
• A BSDE-based approach for the optimal reinsurance problem under partial information
• Recursive backward scheme for the solution of a BSDE with a non Lipschitz generator
• Hedging and utility valuation of a defaultable claim driven by Hawkes processes

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