Journal
STOCHASTIC PROCESSES AND THEIR APPLICATIONS
Volume 116, Issue 10, Pages 1358-1376Publisher
ELSEVIER SCIENCE BV
DOI: 10.1016/j.spa.2006.02.009
Keywords
backward stochastic differential equations; jumps; non-linear expectation; Doob-Meyer decomposition
Categories
Ask authors/readers for more resources
In this paper, we are interested in real-valued backward stochastic differential equations with jumps together with their applications to non-linear expectations. The notion of non-linear expectations has been studied only when the underlying filtration is given by a Brownian motion and in this work the filtration will be generated by both a Brownian motion and a Poisson random measure. We study at first backward stochastic differential equations driven by a Brownian motion and a Poisson random measure and then introduce the notions of f -expectations and of non-linear expectations in this set-up. (C) 2006 Elsevier B.V. All rights reserved.
Authors
I am an author on this paper
Click your name to claim this paper and add it to your profile.
Reviews
Recommended
No Data Available