Backward stochastic differential equations with jumps and related nonlinear expectations

From MaRDI portal

Publication:855683

Jump to:navigation, search

DOI10.1016/j.spa.2006.02.009zbMath1110.60062OpenAlexW2060171102MaRDI QIDQ855683

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

monotonicity decomposition theorems comparison theorems additivity inverse theorems martingale properties

Mathematics Subject Classification ID

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

Related Items (only showing first 100 items - show all)

Convergence of BS\(\operatorname{\Delta}\)Es driven by random walks to BSDEs: the case of (in)finite activity jumps with general driver ⋮ Long time asymptotics for fully nonlinear Bellman equations: a backward SDE approach ⋮ On the Monotone Stability Approach to BSDEs with Jumps: Extensions, Concrete Criteria and Examples ⋮ BSDEs and Enlargement of Filtration ⋮ Reflected and doubly reflected BSDEs driven by RCLL martingales ⋮ Numerical approximation of doubly reflected BSDEs with jumps and RCLL obstacles ⋮ The existence and uniqueness of mild solutions to stochastic differential equations with Lévy noise ⋮ Reflected BSDE driven by a Lévy process ⋮ A representation for filtration-consistent nonlinear expectations and its application ⋮ Solutions of BSDE's with jumps and quadratic/locally Lipschitz generator ⋮ Reflected backward stochastic differential equation with jumps and RCLL obstacle ⋮ A functional Itô's calculus approach to convex risk measures with jump diffusion ⋮ A new existence result for quadratic BSDEs with jumps with application to the utility maximization problem ⋮ Generalized reflected BSDEs driven by a Lévy process and an obstacle problem for PDIEs with a nonlinear Neumann boundary condition ⋮ A note on representation of BSDE-based dynamic risk measures and dynamic capital allocations ⋮ The adapted solutions and comparison theorem for anticipated backward stochastic differential equations with Poisson jumps under the weak conditions ⋮ Asymptotic expansion for forward-backward SDEs with jumps ⋮ On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation ⋮ Existence, uniqueness and strict comparison theorems for BSDEs driven by RCLL martingales ⋮ Mean-field risk sensitive control and zero-sum games for Markov chains ⋮ Optimal stopping for dynamic risk measures with jumps and obstacle problems ⋮ Unnamed Item ⋮ Limit behaviour of BSDE with jumps and with singular terminal condition ⋮ The stochastic Leibniz formula for Volterra integrals under enlarged filtrations ⋮ A Stochastic HJB Equation for Optimal Control of Forward-Backward SDEs ⋮ Anticipated backward stochastic Volterra integral equations with jumps and applications to dynamic risk measures ⋮ Reflected backward stochastic differential equations associated to jump Markov processes and application to partial differential equations ⋮ A converse comparison theorem for backward stochastic differential equations with jumps ⋮ Probabilistic interpretation of a coupled system of Hamilton-Jacobi-Bellman equations ⋮ Representing filtration consistent nonlinear expectations as \(g\)-expectations in general probability spaces ⋮ Doubly reflected BSDEs driven by a Lévy process ⋮ Multidimensional BSDE with Poisson jumps of Osgood type ⋮ On the strict value of the non-linear optimal stopping problem ⋮ Backward nonlinear expectation equations ⋮ On dynamic deviation measures and continuous-time portfolio optimization ⋮ Backward stochastic differential equations associated to jump Markov processes and applications ⋮ Ong−evaluations with domains under jump filtration ⋮ BSDEs driven by time-changed Lévy noises and optimal control ⋮ Prediction-Correction Scheme for Decoupled Forward Backward Stochastic Differential Equations with Jumps ⋮ Near optimality conditions in stochastic control of jump diffusion processes ⋮ Risk Measures and Progressive Enlargement of Filtration: A BSDE Approach ⋮ BSDEs with jumps, optimization and applications to dynamic risk measures ⋮ Existence and uniqueness results for BSDE with jumps: the whole nine yards ⋮ Anticipated backward SDEs with jumps and quadratic-exponential growth drivers ⋮ The adapted solution and comparison theorem for backward stochastic differential equations with Poisson jumps and applications ⋮ Jump-filtration consistent nonlinear expectations with \(\mathbb{L}^p\) domains ⋮ Risk minimization in financial markets modeled by Itô-Lévy processes ⋮ On the representation for dynamically consistent nonlinear evaluations: uniformly continuous case ⋮ Risk-based optimal investment and proportional reinsurance of an insurer with hidden regime switching ⋮ Forward-backward stochastic differential games and stochastic control under model uncertainty ⋮ Dynamic robust duality in utility maximization ⋮ TIME‐CONSISTENT AND MARKET‐CONSISTENT EVALUATIONS ⋮ Reflected and doubly reflected BSDEs with jumps: a priori estimates and comparison ⋮ \(\mathbb{L}^p\) \((p\geq 2)\)-solutions of generalized BSDEs with jumps and monotone generator in a general filtration ⋮ Optimal control of semi-Markov processes with a backward stochastic differential equations approach ⋮ \(L^p\) solution of backward stochastic differential equations driven by a marked point process ⋮ Existence, uniqueness and comparisons for BSDEs in general spaces ⋮ A note on the doubly reflected backward stochastic differential equations driven by a Lévy process ⋮ Undiscounted Markov Chain BSDEs to Stopping Times ⋮ On solutions of backward stochastic Volterra integral equations with jumps in Hilbert spaces ⋮ Comparison theorem for Brownian multidimensional BSDEs via jump processes ⋮ Backward SDEs with constrained jumps and quasi-variational inequalities ⋮ BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART II: CVA ⋮ Probabilistic representation and approximation for coupled systems of variational inequalities ⋮ On Malliavin's differentiability of BSDEs with time delayed generators driven by Brownian motions and Poisson random measures ⋮ A penalty scheme and policy iteration for nonlocal HJB variational inequalities with monotone nonlinearities ⋮ A general comparison theorem for backward stochastic differential equations ⋮ A neural network-based policy iteration algorithm with global \(H^2\)-superlinear convergence for stochastic games on domains ⋮ Utility maximization in a jump market model ⋮ Reflected BSDEs with nonpositive jumps, and controller-and-stopper games ⋮ BSDEs with monotone generator driven by Brownian and Poisson noises in a general filtration ⋮ Approximation schemes for mixed optimal stopping and control problems with nonlinear expectations and jumps ⋮ OPTIMALITY AND STATE PRICING IN CONSTRAINED FINANCIAL MARKETS WITH RECURSIVE UTILITY UNDER CONTINUOUS AND DISCONTINUOUS INFORMATION ⋮ Reflected BSDEs and robust optimal stopping for dynamic risk measures with jumps ⋮ Existence, uniqueness and comparison results for BSDEs with Lévy jumps in an extended monotonic generator setting ⋮ Quadratic BSDEs with jumps: Related nonlinear expectations ⋮ Nash equilibrium payoffs for stochastic differential games with jumps and coupled nonlinear cost functionals ⋮ Jensen's inequality under nonlinear expectation generated by BSDE with jumps ⋮ Second-order BSDEs with jumps: formulation and uniqueness ⋮ Bank monitoring incentives under moral hazard and adverse selection ⋮ Representation theorems for generators of BSDEs and the extended \(g\)-expectations in probability spaces with general filtration ⋮ On a Class of Quadratic Growth RBSDE with Jumps and Its Application ⋮ Limits of random walks with distributionally robust transition probabilities ⋮ Instantaneous Mean-Variance Hedging and Sharpe Ratio Pricing in a Regime-Switching Financial Model ⋮ \(\mathbb{L}^2\)-solutions for reflected BSDEs with jumps under monotonicity and general growth conditions: a penalization method ⋮ Lenglart domination inequalities for \(g\)-expectations ⋮ The obstacle problem for semilinear parabolic partial integro-differential equations ⋮ Probabilistic interpretation of a system of coupled Hamilton-Jacobi-Bellman-Isaacs equations ⋮ High dimensional Markovian trading of a single stock ⋮ Robust Portfolio Choice and Indifference Valuation ⋮ A Fourier Cosine Method for an Efficient Computation of Solutions to BSDEs ⋮ AN ERGODIC BSDE RISK REPRESENTATION IN A JUMP-DIFFUSION FRAMEWORK ⋮ A new representation for second order stochastic integral-differential operators and its applications ⋮ Portfolio optimization under model uncertainty and BSDE games ⋮ Reflected BSDEs when the obstacle is predictable and nonlinear optimal stopping problem ⋮ Backward stochastic differential equations with Markov switching driven by Brownian motion and Poisson random measure ⋮ Feynman-Kac representation for Hamilton-Jacobi-Bellman IPDE ⋮ \(L^p\)-solutions and comparison results for Lévy-driven backward stochastic differential equations in a monotonic, general growth setting ⋮ Maximum principles for jump diffusion processes with infinite horizon ⋮ PDEs FOR REFLECTED BSDENMs APPLIED TO AMERICAN OPTIONS

Cites Work

This page was built for publication: Backward stochastic differential equations with jumps and related nonlinear expectations

Retrieved from "https://portal.mardi4nfdi.de/w/index.php?title=Publication:855683&oldid=12796874"