Geodesic
Some existence results for advanced backward stochastic differential equations with a jump time
Monique Jeanblanc1 ; Thomas Lim2 ; Nacira Agram3
1 LaMME, University of Evry
2 LaMME, Ecole Nationale Supérieure d'Informatique pour l'Industrie et l'Entreprise
3 Department of Mathematics, University of Oslo
ESAIM. Proceedings, Tome 56 (2017), pp. 88-110 Cet article a éte moissonné depuis la source EDP Sciences

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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.
DOI : 10.1051/proc/201756088

Monique Jeanblanc 1 ; Thomas Lim 2 ; Nacira Agram 3

1 LaMME, University of Evry
2 LaMME, Ecole Nationale Supérieure d'Informatique pour l'Industrie et l'Entreprise
3 Department of Mathematics, University of Oslo 
@article{EP_2017_56_a5,
     author = {Monique Jeanblanc and Thomas Lim and Nacira Agram},
     title = {Some existence results for advanced backward stochastic differential equations with a jump time},
     journal = {ESAIM. Proceedings},
     pages = {88--110},
     year = {2017},
     volume = {56},
     doi = {10.1051/proc/201756088},
     language = {en},
     url = {http://geodesic.mathdoc.fr/articles/10.1051/proc/201756088/}
}
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Monique Jeanblanc; Thomas Lim; Nacira Agram. Some existence results for advanced backward stochastic differential equations with a jump time. ESAIM. Proceedings, Tome 56 (2017), pp. 88-110. doi: 10.1051/proc/201756088

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