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 R(d)-valued cadlag martingale and we study the properties of the solutions in the case of a, possibly nonuniform, Lipschitz generator.

Backward Stochastic Differential Equations driven by càdlàg martingales

CARBONE, RAFFAELLA;FERRARIO, BENEDETTA;
2008-01-01

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 R(d)-valued cadlag martingale and we study the properties of the solutions in the case of a, possibly nonuniform, Lipschitz generator.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11571/107753
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