Back to Search
Start Over
Backward Stochastic Differential Equations for a Single Jump Process.
- Source :
-
Stochastic Analysis & Applications . Jul/Aug2011, Vol. 29 Issue 4, p654-673. 20p. - Publication Year :
- 2011
-
Abstract
- We consider backward stochastic differential equations (BSDEs) related to a finite continuous time single jump process. We prove the existence and uniqueness of solutions when the coefficients satisfy Lipschitz continuity conditions. A comparison theorem for these solutions is also given. Applications to the theory of nonlinear expectations are then investigated. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 07362994
- Volume :
- 29
- Issue :
- 4
- Database :
- Academic Search Index
- Journal :
- Stochastic Analysis & Applications
- Publication Type :
- Academic Journal
- Accession number :
- 62667217
- Full Text :
- https://doi.org/10.1080/07362994.2011.581098