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Some existence results for advanced backward stochastic differential equations with a jump time
University of Evry, France.
Ecole Nationale Supérieure d'Informatique pour l'Industrie et l'Entreprise, France.
University of Oslo, Norway. (Stochastic analysis and stochastic processes)
2017 (English)In: Enlargement of filtrations: Paris, FRANCE ; Zurich, SWITZERLAND, May 2-3, September 8-9, 2016 / [ed] Stéphane Crépey, Monique Jeanblanc and Ashkan Nikeghbali, EDP Sciences, 2017, Vol. 56, p. 88-110Conference paper, Published paper (Refereed)
Abstract [en]

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.

Place, publisher, year, edition, pages
EDP Sciences, 2017. Vol. 56, p. 88-110
Series
ESAIM: Proceedings and Surveys, E-ISSN 2267-3059 ; 56
National Category
Other Mathematics
Research subject
Mathematics, Mathematics
Identifiers
URN: urn:nbn:se:lnu:diva-82295DOI: 10.1051/proc/201756088OAI: oai:DiVA.org:lnu-82295DiVA, id: diva2:1307454
Conference
Enlargement of filtrations;Paris, FRANCE ; Zurich, SWITZERLAND, May 2-3, September 8-9, 2016
Available from: 2019-04-26 Created: 2019-04-26 Last updated: 2019-05-06Bibliographically approved

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