Backward stochastic differential equations with jumps and related nonlinear expectations
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- Adapted solution of a backward stochastic differential equation
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- Reflected solutions of backward SDE's, and related obstacle problems for PDE's
Cited in
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- Maximum principles for jump diffusion processes with infinite horizon
- Dynamic robust duality in utility maximization
- Bilateral counterparty risk under funding constraints. II: CVA
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- On the monotone stability approach to BSDEs with jumps: extensions, concrete criteria and examples
- Reflections on BSDEs
- Existence, uniqueness and comparison results for BSDEs with Lévy jumps in an extended monotonic generator setting
- \(\mathbb{L}^p\) \((p\geq 2)\)-solutions of generalized BSDEs with jumps and monotone generator in a general filtration
- An ergodic BSDE risk representation in a jump-diffusion framework
- The adapted solution and comparison theorem for backward stochastic differential equations with Poisson jumps and applications
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- Convergence of BS\(\operatorname{\Delta}\)Es driven by random walks to BSDEs: the case of (in)finite activity jumps with general driver
- Comparison theorem for Brownian multidimensional BSDEs via jump processes
- Numerical approximation of doubly reflected BSDEs with jumps and RCLL obstacles
- BSDEs and enlargement of filtration
- Some Results on Nonlinear Backward Stochastic Evolution Equations
- Jump-filtration consistent nonlinear expectations with \(\mathbb{L}^p\) domains
- Long time asymptotics for fully nonlinear Bellman equations: a backward SDE approach
- TIME‐CONSISTENT AND MARKET‐CONSISTENT EVALUATIONS
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- A note on the doubly reflected backward stochastic differential equations driven by a Lévy process
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- Multidimensional BSDE with Poisson jumps of Osgood type
- Mean reflected BSDE driven by a marked point process and application in insurance risk management
- On the representation for dynamically consistent nonlinear evaluations: uniformly continuous case
- Probabilistic interpretation of a coupled system of Hamilton-Jacobi-Bellman equations
- Representing filtration consistent nonlinear expectations as \(g\)-expectations in general probability spaces
- On Malliavin's differentiability of BSDEs with time delayed generators driven by Brownian motions and Poisson random measures
- The existence and uniqueness of mild solutions to stochastic differential equations with Lévy noise
- Backward stochastic differential equations with jumps involving a subdifferential operator
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- Nonlinear BSDEs on a general filtration with drivers depending on the martingale part of the solution
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- Risk measures and progressive enlargement of filtration: a BSDE approach
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- Risk minimization in financial markets modeled by Itô-Lévy processes
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- Optimal stopping for dynamic risk measures with jumps and obstacle problems
- Representation theorems for generators of BSDEs and the extended \(g\)-expectations in probability spaces with general filtration
- Reflected and doubly reflected BSDEs with jumps: a priori estimates and comparison
- Probabilistic interpretation of a system of coupled Hamilton-Jacobi-Bellman-Isaacs equations
- Mean-field risk sensitive control and zero-sum games for Markov chains
- A Fourier cosine method for an efficient computation of solutions to BSDEs
- Lenglart domination inequalities for \(g\)-expectations
- Anticipated backward stochastic Volterra integral equations with jumps and applications to dynamic risk measures
- A penalty scheme and policy iteration for nonlocal HJB variational inequalities with monotone nonlinearities
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- Solutions of BSDE's with jumps and quadratic/locally Lipschitz generator
- Doubly reflected BSDEs driven by a Lévy process
- Backward SDEs with constrained jumps and quasi-variational inequalities
- Generalized reflected BSDEs driven by a Lévy process and an obstacle problem for PDIEs with a nonlinear Neumann boundary condition
- On solutions of backward stochastic Volterra integral equations with jumps in Hilbert spaces
- Forward-backward stochastic differential games and stochastic control under model uncertainty
- Bounds on mean variance hedging in jump diffusion
- Nash equilibrium payoffs for stochastic differential games with jumps and coupled nonlinear cost functionals
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- Constrained mean-variance investment-reinsurance under the Cramér-Lundberg model with random coefficients
- A converse comparison theorem for backward stochastic differential equations with jumps
- A general comparison theorem for backward stochastic differential equations
- On the strict value of the non-linear optimal stopping problem
- A new existence result for quadratic BSDEs with jumps with application to the utility maximization problem
- On \(g\)-evaluations with \(\mathbb{L}^p\) domains under jump filtration
- On \(g\)-expectations and filtration-consistent nonlinear expectations
- Feynman-Kac representation for Hamilton-Jacobi-Bellman IPDE
- Existence, uniqueness and strict comparison theorems for BSDEs driven by RCLL martingales
- A note on representation of BSDE-based dynamic risk measures and dynamic capital allocations
- The obstacle problem for semilinear parabolic partial integro-differential equations
- Portfolio optimization under model uncertainty and BSDE games
- Some existence results for advanced backward stochastic differential equations with a jump time
- \(L^p\) solution of backward stochastic differential equations driven by a marked point process
- Reflected backward stochastic differential equation with jumps and RCLL obstacle
- BSDEs with jumps, optimization and applications to dynamic risk measures
- The stochastic Leibniz formula for Volterra integrals under enlarged filtrations
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