Backward stochastic differential equations with time delayed generators -- results and counterexamples

DOI10.1214/09-AAP663zbMath1202.34144arXiv1005.4701WikidataQ124840340 ScholiaQ124840340MaRDI QIDQ990389

Peter Imkeller, Łukasz Delong

Publication date: 1 September 2010

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

Full work available at URL: https://arxiv.org/abs/1005.4701

zbMATH Keywords

comparison principle; backward stochastic differential equation; time delayed generator; measure solution; BMO martingale; contraction inequality

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

34K50: Stochastic functional-differential equations

60H20: Stochastic integral equations

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