Backward stochastic differential equations with jumps and related nonlinear expectations

DOI10.1016/J.SPA.2006.02.009zbMATH Open1110.60062OpenAlexW2060171102MaRDI QIDQ855683FDOQ855683

Manuela Royer

Publication date: 7 December 2006

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2006.02.009

zbMATH Keywords

additivitymonotonicitycomparison theoremsdecomposition theoremsinverse theoremsmartingale properties

Mathematics Subject Classification ID

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

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Cited In (only showing first 100 items - show all)

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• Quadratic BSDEs with jumps: related nonlinear expectations
• The adapted solution and comparison theorem for backward stochastic differential equations with Poisson jumps and applications
• A Fourier Cosine Method for an Efficient Computation of Solutions to BSDEs
• Bank monitoring incentives under moral hazard and adverse selection
• Second-order BSDEs with jumps: formulation and uniqueness
• Comparison theorem for Brownian multidimensional BSDEs via jump processes
• Convergence of BS\(\operatorname{\Delta}\)Es driven by random walks to BSDEs: the case of (in)finite activity jumps with general driver
• Numerical approximation of doubly reflected BSDEs with jumps and RCLL obstacles
• Robust Portfolio Choice and Indifference Valuation
• Some Results on Nonlinear Backward Stochastic Evolution Equations
• TIME‐CONSISTENT AND MARKET‐CONSISTENT EVALUATIONS
• Jump-filtration consistent nonlinear expectations with \(\mathbb{L}^p\) domains
• Long time asymptotics for fully nonlinear Bellman equations: a backward SDE approach
• BSDEs with monotone generator driven by Brownian and Poisson noises in a general filtration
• A note on the doubly reflected backward stochastic differential equations driven by a Lévy process
• Anticipated backward SDEs with jumps and quadratic-exponential growth drivers
• Backward stochastic differential equations with jumps involving a subdifferential operator
• On Malliavin's differentiability of BSDEs with time delayed generators driven by Brownian motions and Poisson random measures
• Probabilistic interpretation of a coupled system of Hamilton-Jacobi-Bellman equations
• Representing filtration consistent nonlinear expectations as \(g\)-expectations in general probability spaces
• Nonlinear BSDEs on a general filtration with drivers depending on the martingale part of the solution
• Reflected BSDE driven by a Lévy process
• A Stochastic HJB Equation for Optimal Control of Forward-Backward SDEs
• Reflected BSDEs and robust optimal stopping for dynamic risk measures with jumps
• Risk minimization in financial markets modeled by Itô-Lévy processes
• Representation theorems for generators of BSDEs and the extended \(g\)-expectations in probability spaces with general filtration
• Optimal stopping for dynamic risk measures with jumps and obstacle problems
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• Backward stochastic differential equations with Markov switching driven by Brownian motion and Poisson random measure
• Reflected and doubly reflected BSDEs driven by RCLL martingales
• On a Class of Quadratic Growth RBSDE with Jumps and Its Application
• Lenglart domination inequalities for \(g\)-expectations
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• A general comparison theorem for backward stochastic differential equations
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• Feynman-Kac representation for Hamilton-Jacobi-Bellman IPDE
• The obstacle problem for semilinear parabolic partial integro-differential equations
• Portfolio optimization under model uncertainty and BSDE games
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• \(L^p\) solution of backward stochastic differential equations driven by a marked point process
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• Existence, uniqueness and comparisons for BSDEs in general spaces
• Utility maximization in a jump market model
• A functional Itô's calculus approach to convex risk measures with jump diffusion
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• Reflected BSDEs with nonpositive jumps, and controller-and-stopper games
• OPTIMALITY AND STATE PRICING IN CONSTRAINED FINANCIAL MARKETS WITH RECURSIVE UTILITY UNDER CONTINUOUS AND DISCONTINUOUS INFORMATION
• Nonlinear Doob-Meyer decomposition with jumps.
• Backward stochastic differential equations associated to jump Markov processes and applications
• BSDEs driven by time-changed Lévy noises and optimal control
• Probabilistic representation and approximation for coupled systems of variational inequalities
• Maximum principles for jump diffusion processes with infinite horizon
• On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation
• Risk-based optimal investment and proportional reinsurance of an insurer with hidden regime switching
• Dynamic robust duality in utility maximization
• Near optimality conditions in stochastic control of jump diffusion processes
• Existence, uniqueness and comparison results for BSDEs with Lévy jumps in an extended monotonic generator setting
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• Existence and uniqueness results for BSDE with jumps: the whole nine yards
• Ong−evaluations with domains under jump filtration
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• AN ERGODIC BSDE RISK REPRESENTATION IN A JUMP-DIFFUSION FRAMEWORK
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