Backward stochastic differential equations with jumps and related nonlinear expectations

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

Authors: 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

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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 stochastic HJB equation for optimal control of forward-backward SDEs
• 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
• 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
• Backward stochastic difference equations for a single jump process
• Reflected BSDE driven by a Lévy process
• Reflected BSDEs and robust optimal stopping for dynamic risk measures with jumps
• Risk minimization in financial markets modeled by Itô-Lévy processes
• Backward stochastic differential equations with regime-switching and sublinear expectations
• 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
• Reflected and doubly reflected BSDEs with jumps: a priori estimates and comparison
• A Fourier cosine method for an efficient computation of solutions to BSDEs
• Backward stochastic differential equations with Markov switching driven by Brownian motion and Poisson random measure
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• On a Class of Quadratic Growth RBSDE with Jumps and Its Application
• Robust portfolio choice and indifference valuation
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• Portfolio optimization under model uncertainty and BSDE games
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• Backward stochastic differential equations for a single jump process
• BSDEs with jumps, optimization and applications to dynamic risk measures
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• Utility maximization in a jump market model
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• BSDEs driven by time-changed Lévy noises and optimal control
• Bilateral counterparty risk under funding constraints. II: CVA
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• On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation
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• 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
• \(\mathbb{L}^p\) \((p\geq 2)\)-solutions of generalized BSDEs with jumps and monotone generator in a general filtration
• \(L^p\)-solutions and comparison results for Lévy-driven backward stochastic differential equations in a monotonic, general growth setting
• BSDEs with jumps and two completely separated irregular barriers in a general filtration
• Bank monitoring incentives under moral hazard and adverse selection
• \(\mathbb{L}^2\)-solutions for reflected BSDEs with jumps under monotonicity and general growth conditions: a penalization method
• Existence and uniqueness results for BSDE with jumps: the whole nine yards
• BSDEs and enlargement of filtration
• Reflected generalized discontinuous BSDEs with rcll barrier and an obstacle problem of IPDE with nonlinear Neumann boundary conditions
• Asymptotic expansion for forward-backward SDEs with jumps
• Mean reflected BSDE driven by a marked point process and application in insurance risk management
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• Constrained mean-variance investment-reinsurance under the Cramér-Lundberg model with random coefficients
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• Undiscounted Markov chain BSDEs to stopping times

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