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https://hdl.handle.net/2440/70187
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Type: | Journal article |
Title: | Backward stochastic differential equations for a single jump process |
Author: | Shen, L. Elliott, R. |
Citation: | Stochastic Analysis and Applications, 2011; 29(4):654-673 |
Publisher: | Marcel Dekker Inc |
Issue Date: | 2011 |
ISSN: | 0736-2994 1532-9356 |
Statement of Responsibility: | Leo Shen and Robert J. Elliott |
Abstract: | We consider backward stochastic differential equations (BSDEs) related to a finite continuous time single jump process. We prove the existence and uniqueness of solutions when the coefficients satisfy Lipschitz continuity conditions. A comparison theorem for these solutions is also given. Applications to the theory of nonlinear expectations are then investigated. |
Keywords: | Backward stochastic differential equation Comparison theorem Dynamic risk measure Nonlinear expectation Single jump process. |
Rights: | Copyright © Taylor & Francis Group, LLC |
DOI: | 10.1080/07362994.2011.581098 |
Grant ID: | ARC |
Published version: | http://dx.doi.org/10.1080/07362994.2011.581098 |
Appears in Collections: | Aurora harvest 5 Mathematical Sciences publications |
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