Existence and Comparisons for BSDEs in general spaces
By Samuel N. Cohen, Robert J. R. Elliott. 2010
51 citations recorded by the source corpus.
We present a theory of Backward Stochastic Differential Equations in continuous time with an arbitrary filtered probability space. No assumptions are made regarding the continuity of the filtration, or of the predictable quadratic variations of martingales in this space. We present conditions for existence and uniqueness of square-integrable solutions, using Lipschitz continuity of the driver. These conditions unite the requirements for existence in continuous and discrete time, and allow discrete processes to be embedded with continuous ones. We also present conditions for a comparison theorem, and hence construct time consistent nonlinear expectations in these general spaces. MSC Classification: 60H20, 60H10, 91B16
Subfields: Applied Mathematics, Finance, Management Science and Operations Research
View Paper: https://www.semanticscholar.org/paper/c06282bdde0e9a9ec447ee9c1c71925f2109339b
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Applied Mathematics
In Finance
In Management Science and Operations Research
Citations in the corpus
- Reflected BSDEs on filtered probability spaces (2014, methodology): “Moreover, if the generator is independent of z, we consider Lp data for p ∈ [1, 2).”