Backward stochastic differential equations with jumps and related non-linear expectations
Backward stochastic differential equations with jumps and related non-linear expectations
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DOI：
10.1016/j.spa.2006.02.009
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发表时间：
2006-10-01
影响因子：
1.4
通讯作者：
Royer, Manuela
中科院分区：
文献类型：
--
作者：
Royer, Manuela
本文研究了带跳的实值倒向随机微分方程及其在非线性期望中的应用。非线性期望的概念已被研究，只有当底层的过滤是由布朗运动，并在这项工作中的过滤将产生的布朗运动和泊松随机措施。我们首先研究了由布朗运动和泊松随机测度驱动的倒向随机微分方程，然后在此设置中引入了f -期望和非线性期望的概念。(C)2006 Elsevier B. V.保留所有权利。
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.