BSE's, BSDE's and fixed-point problems
From MaRDI portal
Publication:682248
DOI10.1214/16-AOP1149zbMath1425.60054arXiv1410.1247OpenAlexW2606675745MaRDI QIDQ682248
Publication date: 14 February 2018
Published in: The Annals of Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1410.1247
backward stochastic differential equationanticipating equationsbackward stochastic equationcoefficients of superlinear growthMcKean-Vlasov-type equationspath-dependent coefficients
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Fixed-point theorems (47H10)
Related Items (12)
A characterization of solutions of quadratic BSDEs and a new approach to existence ⋮ BSDEs and SDEs with time-advanced and -delayed coefficients ⋮ Nonlinear BSDEs on a general filtration with drivers depending on the martingale part of the solution ⋮ Mean-field type quadratic BSDEs ⋮ Anticipated backward stochastic differential equations with quadratic growth ⋮ A Feynman-Kac result via Markov BSDEs with generalised drivers ⋮ Two fixed point theorems in complete random normed modules and their applications to backward stochastic equations ⋮ Arbitrage-free pricing of derivatives in nonlinear market models ⋮ Numerical approximations of McKean anticipative backward stochastic differential equations arising in initial margin requirements ⋮ A stochastic approach to path-dependent nonlinear Kolmogorov equations via BSDEs with time-delayed generators and applications to finance ⋮ Nonlinear reserving and multiple contract modifications in life insurance ⋮ Forward-backward stochastic equations: a functional fixed point approach
This page was built for publication: BSE's, BSDE's and fixed-point problems
