Path-dependent backward stochastic Volterra integral equations with jumps, differentiability and duality principle-Reference-Cited by-同舟云学术

Path-dependent backward stochastic Volterra integral equations with jumps, differentiability and duality principle

Published:2018-06-05 Issue:1 Volume:3 Page:
ISSN:2367-0126
Container-title:Probability, Uncertainty and Quantitative Risk
language:en
Short-container-title:Probab Uncertain Quant Risk

Author:

Overbeck Ludger,Röder Jasmin A. L.^ORCID

Publisher

American Institute of Mathematical Sciences (AIMS)

Subject

General Medicine

Link

http://link.springer.com/content/pdf/10.1186/s41546-018-0030-2.pdf

Reference37 articles.

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3. Ankirchner, S, Imkeller, P, Dos Reis, G: Classical and variational differentiability of BSDEs with quadratic growth. Electron. J. Probab. 12, 1418–1453 (2007).

4. Barles, G, Buckdahn, R, Pardoux, E: Backward stochastic differential equations and integral-partial differential equations. Stochastics Stochastics Rep. 60, 57–83 (1997).

5. Becherer, D: Bounded solutions to bsdes with jumps for utility optimization and indifference hedging. Ann. Appl. Probab. 16, 2027–2054 (2006).

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