Predictable representation for time inhomogeneous Lévy processes and BSDEs

Author:

Jamali Mohamed El,Otmani Mohamed El

Publisher

Springer Science and Business Media LLC

Subject

General Mathematics

Reference23 articles.

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2. Bahlali, K., Eddahbi, M., Essaky, E.: BSDE associated with Lévy processes and application to PDIE. J. Appl. Math. Stochas. Anal. 16(1), 1–17 (2003)

3. Barles, G., Buckdahn, R., Pardoux, E.: Backward stochastic differential equations and integral-partial differential equations. Stochas. Int. J. Probab. Stochas. Process. 60(1), 57–83 (1997)

4. Bismut, J.M.: Conjugate convex functions in optimal stochastic control. J. Math. Anal. Appl. 44(2), 384–404 (1973)

5. Cont, R., Tankov, P.: Financial Modelling with Jump Processes. Chapman and Hall/CRC, Boca Raton (2003)

Cited by 2 articles. 订阅此论文施引文献 订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献

1. Lp -solution for BSDEs driven by a Lévy process;Random Operators and Stochastic Equations;2023-02-28

2. Reflected BSDEs driven by inhomogeneous simple Lévy processes with RCLL barrier;Journal of Integral Equations and Applications;2022-06-01

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