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Backward stochastic differential equations with jumps and related non-linear expectations · Study

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ArticleBackward stochastic differential equations with jumps and related non-linear expectations

Manuela Royer‐Carenzi2006

OA

Articlebronze2006

Backward stochastic differential equations with jumps and related non-linear expectations

Manuela Royer‐Carenzi

259 citations·0/0 files stored·Stochastic Processes and their Applications

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Stochastic processes and financial applications Nonlinear Differential Equations Analysis Fuzzy Systems and Optimization

Abstract

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Citations in this library

Stored only when both papers are in the corpus — 259 citations exist upstream.

References

1990Adapted solution of a backward stochastic differential equation 2003Limit Theorems for Stochastic Processes 1997Backward Stochastic Differential Equations in Finance 1997Reflected solutions of backward SDE's, and related obstacle problems for PDE's 1986Stochastic Calculus and Applications.1997Backward stochastic differential equations and integral-partial differential equations 1994Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps 1991Probabilistic interpretation for systems of quasilinear parabolic partial differential equations

Cited by

2012BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART II: CVA 2013BSDEs with jumps, optimization and applications to dynamic risk measures 2008Reflected and doubly reflected BSDEs with jumps: A priori estimates and comparison 2015BSDEs with monotone generator driven by Brownian and Poisson noises in a general filtration 2008Reflected backward stochastic differential equation with jumps and RCLL obstacle 2017Reflected BSDEs when the obstacle is not right-continuous and optimal stopping 2015A Fourier Cosine Method for an Efficient Computation of Solutions to BSDEs 2012Forward–Backward Stochastic Differential Games and Stochastic Control under Model Uncertainty

Details

Year2006

Typearticle

Published2006-03-24

VenueStochastic Processes and their Applications

ISSN-L0304-4149

Languageen

Citations259

Files0 public / 0

ShelfStochastic processes and financial applications

Identifiers

doi10.1016/j.spa.2006.02.009

openalex_workW2060171102

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