Generalized BSDE driven by a Lévy process.

A two dimensional stochastic differential equation is suggested as a stochastic model for the Kermack–McKendrick epidemics. Its strong (weak) existence and uniqueness and absorption properties are investigated. The examples presented in Section 5 are meant to illustrate possible different asymptotics of a solution to the equation.

Classical and variational differentiability of BSDEs with quadratic growth.

Ankirchner, Stefan, Imkeller, Peter, Dos Reis, Gonçalo J.N. (2007)

Electronic Journal of Probability [electronic only]

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Reflected backward stochastic differential equation with jumps and random obstacle.

Hamadéne, S., Ouknine, Y. (2003)

Electronic Journal of Probability [electronic only]

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