Backward stochastic dynamics on a filtered probability space

DOI10.1214/10-AOP588zbMath1238.60064arXiv0904.0377OpenAlexW3103347805MaRDI QIDQ717884

Zhongmin Qian, Gechun Liang, Terence J. Lyons

Publication date: 10 October 2011

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0904.0377

zbMATH Keywords

Brownian motionmartingale representationBSDEnonlinear Feynman-Kac formulasemimartingale decompositionfunctional SDE

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Probabilistic potential theory (60J45)

Related Items (15)

\(\mathbb L^p\) solutions of backward stochastic differential equations with jumps ⋮ Backward stochastic dynamics with a subdifferential operator and non-local parabolic variational inequalities ⋮ Nonlinear BSDEs on a general filtration with drivers depending on the martingale part of the solution ⋮ Ong−evaluations with domains under jump filtration ⋮ Backward stochastic differential equations with rough drivers ⋮ Pseudo linear pricing rule for utility indifference valuation ⋮ Reflected BSDEs on filtered probability spaces ⋮ Delay geometric Brownian motion in financial option valuation ⋮ BSDEs with monotone generator driven by Brownian and Poisson noises in a general filtration ⋮ Backward stochastic differential equations with no driving martingale, Markov processes and associated pseudo-partial differential equations. II: Decoupled mild solutions and examples ⋮ Representation theorems for generators of BSDEs and the extended \(g\)-expectations in probability spaces with general filtration ⋮ Decoupled mild solutions of path-dependent PDEs and integro PDEs represented by BSDEs driven by cadlag martingales ⋮ Mean Field Stackelberg Games: Aggregation of Delayed Instructions ⋮ Fully coupled forward–backward stochastic dynamics and functional differential systems ⋮ Forward-backward stochastic equations: a functional fixed point approach

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