Existence, uniqueness and comparisons for BSDEs in general spaces
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Publication:690880
DOI10.1214/11-AOP679zbMath1260.60128arXiv1001.0439MaRDI QIDQ690880
Robert J. Elliott, Samuel N. Cohen
Publication date: 29 November 2012
Published in: The Annals of Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1001.0439
evaluationcomparison theoremGronwall inequalitynonlinear expectationBSDEgeneral filtrationseparable probability space
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Utility theory (91B16) Stochastic integral equations (60H20)
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Cites Work
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- Representation theorems for quadratic \(\mathcal F\)-consistent nonlinear expectations
- A general theory of finite state backward stochastic difference equations
- The multiplicity of an increasing family of \(\sigma\)-fields
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- Comparisons for backward stochastic differential equations on Markov chains and related no-arbitrage conditions
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