dc.date.accessioned | 2018-09-18T10:55:20Z | |
dc.date.available | 2018-09-18T10:55:20Z | |
dc.date.created | 2018-01-31T21:49:58Z | |
dc.date.issued | 2017 | |
dc.identifier.citation | Jeanblanc, Monique Agram, Nacira Lim, Thomas . Some existence results for advanced backward stochastic differential equations with a jump time. ESAIM: Proceedings and Surveys. 2017, 56, 88-110 | |
dc.identifier.uri | http://hdl.handle.net/10852/64792 | |
dc.description.abstract | In this paper, we are interested by advanced backward stochastic differential equations (ABSDEs), in a probability space equipped with a Brownian motion and a single jump process, with a jump at time τ. ABSDEs are BSDEs where the driver depends on the future paths of the solution. We show, that under immersion hypothesis between the Brownian filtration and its progressive enlargement with τ, assuming that the conditional law of τ is equivalent to the unconditional law of τ, and a Lipschitz condition on the driver, the ABSDE has a solution. | en_US |
dc.language | EN | |
dc.rights | Attribution 4.0 International | |
dc.rights.uri | https://creativecommons.org/licenses/by/4.0/ | |
dc.title | Some existence results for advanced backward stochastic differential equations with a jump time | en_US |
dc.type | Journal article | en_US |
dc.creator.author | Jeanblanc, Monique | |
dc.creator.author | Agram, Nacira | |
dc.creator.author | Lim, Thomas | |
cristin.unitcode | 185,15,13,35 | |
cristin.unitname | Stokastisk analyse, finans, forsikring og risiko | |
cristin.ispublished | true | |
cristin.fulltext | original | |
dc.identifier.cristin | 1559838 | |
dc.identifier.bibliographiccitation | info:ofi/fmt:kev:mtx:ctx&ctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.jtitle=ESAIM: Proceedings and Surveys&rft.volume=56&rft.spage=88&rft.date=2017 | |
dc.identifier.jtitle | ESAIM: Proceedings and Surveys | |
dc.identifier.volume | 56 | |
dc.identifier.startpage | 88 | |
dc.identifier.endpage | 110 | |
dc.identifier.doi | http://dx.doi.org/10.1051/proc/201756088 | |
dc.identifier.urn | URN:NBN:no-67328 | |
dc.subject.nvi | VDP::Anvendt matematikk: 413 | |
dc.type.document | Tidsskriftartikkel | en_US |
dc.type.peerreviewed | Peer reviewed | |
dc.source.issn | 2267-3059 | |
dc.identifier.fulltext | Fulltext https://www.duo.uio.no/bitstream/handle/10852/64792/4/proc175605.pdf | |
dc.type.version | PublishedVersion | |