✦ LIBER ✦

solutions to backward stochastic differential equations with discontinuous generators

✍ Scribed by Dejian Tian; Long Jiang; Xuejun Shi

Book ID: 119373123
Publisher: Elsevier Science
Year: 2013
Tongue: English
Weight: 234 KB
Volume: 83
Category: Article
ISSN: 0167-7152
DOI: 10.1016/j.spl.2012.10.026

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Reflected backward stochastic differenti

Reflected backward stochastic differential equations with time delayed generators

✍ Qing Zhou; Yong Ren 📂 Article 📅 2012 🏛 Elsevier Science 🌐 English ⚖ 254 KB

Solutions to general forward-backward do

Solutions to general forward-backward doubly stochastic differential equations

✍ Qing-feng Zhu; Yu-feng Shi; Xian-jun Gong 📂 Article 📅 2009 🏛 Springer 🌐 English ⚖ 206 KB

A class of backward stochastic different

A class of backward stochastic differential equations with discontinuous coefficients

✍ Guangyan Jia 📂 Article 📅 2008 🏛 Elsevier Science 🌐 English ⚖ 165 KB

Weak Solutions of Stochastic Differentia

Weak Solutions of Stochastic Differential Equations with Discontinuous Coefficients

✍ A. A. Levakov 📂 Article 📅 2001 🏛 Springer 🌐 English ⚖ 164 KB

Backward stochastic differential equatio

Backward stochastic differential equations with a convex generator

✍ Chikvinidze, Besik 📂 Article 📅 2012 🏛 Walter de Gruyter GmbH & Co. KG 🌐 English ⚖ 340 KB

Backward stochastic differential equatio

Backward stochastic differential equations with a convex generator

✍ Chikvinidze, Besik 📂 Article 📅 2012 🏛 Walter de Gruyter GmbH & Co. KG 🌐 English ⚖ 340 KB

Backward stochastic differential equations (BSDEs) with convex generators of quadratic growth are considered. The existence of a solution is proved for such equations driven by a continuous martingale with unbounded characteristic. A suitable optimization problem is formulated and it is shown that t