Time-delayed generalized BSDEs

DOI10.1016/J.SPA.2023.104277MaRDI QIDQ6123263zbMATH OpenOpenAlexFDO

Authors Luca Di Persio, Matteo Garbelli, Lucian Maticiuc, Adrian Zalinescu

Publication date 4 March 2024

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

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://arxiv.org/abs/2012.00798

zbMATH Keywords

generalized backward stochastic differential equationsparameter dependenceStieltjes integraltime-delayed generators

Mathematics Subject Classification ID

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

Abstract: We prove the existence and uniqueness of the solution of a BSDE with time-delayed generators in the small delay setting (or equivalently small Lipschitz constant), which employs the Stieltjes integral with respect to an increasing continuous stochastic process. Moreover, we obtain a result of continuity of the solution with regard to the increasing process, assuming only uniform convergence, but not in variation. We also prove the existence in the case of an arbitrary delay by imposing monotonicity and linearity on generators. Lastly, we provide an application of the theoretical framework within an insurance based example.

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Cited in

(1)

• Backward stochastic differential equations with non-Lipschitz time delayed generators

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