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Backward stochastic differential equations for a single jump process
- Publication Year :
- 2011
- Publisher :
- US : Taylor & Francis, 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. Refereed/Peer-reviewed
- Subjects :
- Statistics and Probability
Comparison theorem
nonlinear expectation
Stochastic process
Applied Mathematics
Mathematical analysis
backward stochastic differential equation
dynamic risk measure
Lipschitz continuity
Stochastic partial differential equation
single jump process
Stochastic differential equation
Nonlinear system
Statistics, Probability and Uncertainty
comparison theorem
Nonlinear expectation
Jump process
Mathematics
Subjects
Details
- Language :
- English
- Database :
- OpenAIRE
- Accession number :
- edsair.doi.dedup.....96a3accc1532c282113ac09210f036d0