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Teoriya Veroyatnostei i ee Primeneniya, 2007, Volume 52, Issue 2, Pages 375–385
DOI: https://doi.org/10.4213/tvp181 (Mi tvp181) 		 
This article is cited in 58 scientific papers (total in 58 papers)

Short Communications

Backward stochastic differential equations driven by càdlàg martingales

R. Carbonea, B. Ferrarioa, M. Santacroceb

a Dipartimento di Matematica dell'Università di Pavia
b Polytechnic University of Turin
Full-text PDF (1276 kB) Citations (58)
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DOI: https://doi.org/10.4213/tvp181
Abstract: Backward stochastic differential equations (BSDEs) arise in many financial problems. Although there exists a growing number of papers considering general financial markets, the theory of BSDEs has been developed just in the Brownian setting. We consider BSDEs driven by an $\mathbf{R}^d$-valued càdlàg martingale and we study the properties of the solutions in the case of a, possibly nonuniform, Lipschitz generator.
Keywords: backward semimartingales equations, regularity and stability of solutions, Lipschitz generators, stochastic calculus.
Received: 03.07.2005
Revised: 05.06.2006
English version:
Theory of Probability and its Applications, 2008, Volume 52, Issue 2, Pages 304–314
DOI: https://doi.org/10.1137/S0040585X97983055
Bibliographic databases:
Document Type: Article
Language: English
Citation: R. Carbone, B. Ferrario, M. Santacroce, “Backward stochastic differential equations driven by càdlàg martingales”, Teor. Veroyatnost. i Primenen., 52:2 (2007), 375–385; Theory Probab. Appl., 52:2 (2008), 304–314
Citation in format AMSBIB
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  • https://www.mathnet.ru/eng/tvp/v52/i2/p375
    • This publication is cited in the following 58 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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