BSDE with jumps when mean reflection is nonlinear
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Publication:6657780
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Cites work
- A BSDE-based approach for the optimal reinsurance problem under partial information
- Adapted solution of a backward stochastic differential equation
- BSDEs with mean reflection
- BSDEs with weak terminal condition
- Backward Stochastic Differential Equations Driven By Càdlàg Martingales
- Backward Stochastic Differential Equations in Finance
- Backward stochastic differential equations and partial differential equations with quadratic growth.
- Backward stochastic differential equations with jumps and their actuarial and financial applications. BSDEs with jumps
- Conjugate convex functions in optimal stochastic control
- Continuous-time stochastic control and optimization with financial applications
- Hedging and utility valuation of a defaultable claim driven by Hawkes processes
- Recursive backward scheme for the solution of a BSDE with a non Lipschitz generator
- Reflected BSDEs and robust optimal stopping for dynamic risk measures with jumps
- Reflected backward SDEs with general jumps
- The Burkholder-Davis-Gundy inequality for enhanced martingales
- UTILITY MAXIMIZATION WITH INTERMEDIATE CONSUMPTION UNDER RESTRICTED INFORMATION FOR JUMP MARKET MODELS
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