BSDE associated with Lévy processes and application to PDIE.
Bahlali, K., Eddahbi, M., Essaky, E. (2003)
Journal of Applied Mathematics and Stochastic Analysis
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Displaying similar documents to “Generalized BSDE driven by a Lévy process.”
BSDE associated with Lévy processes and application to PDIE.
Backward stochastic differential equations with stochastic monotone coefficients.
Bahlali, K., Elouaflin, A., N'zi, M. (2004)
Journal of Applied Mathematics and Stochastic Analysis
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A hull and white formula for a general stochastic volatility jump-diffusion model with applications to the study of the short-time behavior of the implied volatility.
Alòs, Elisa, León, Jorge A., Pontier, Monique, Vives, Josep (2008)
Journal of Applied Mathematics and Stochastic Analysis
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solutions of BSDEs with stochastic Lipschitz condition.
Wang, Jiajie, Ran, Qikang, Chen, Qihong (2007)
Journal of Applied Mathematics and Stochastic Analysis
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Absorption in stochastic epidemics
Josef Štěpán, Jakub Staněk (2009)
Kybernetika
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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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Reflected backward stochastic differential equations with two RCLL barriers
Jean-Pierre Lepeltier, Mingyu Xu (2007)
ESAIM: Probability and Statistics
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In this paper we consider BSDEs with Lipschitz coefficient reflected on two discontinuous (RCLL) barriers. In this case, we prove first the existence and uniqueness of the solution, then we also prove the convergence of the solutions of the penalized equations to the solution of the RBSDE. Since the method used in the case of continuous barriers (see Cvitanic and Karatzas, (1996) 2024–2056 and Lepeltier and San Martín, (2004) 162–175) does not work,...