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Original Articles

Backward Stochastic Differential Equations for a Single Jump Process

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Pages 654-673 | Received 09 Jun 2010, Accepted 09 Jul 2010, Published online: 21 Jun 2011

References

  • Cohen , S.N. , and Elliott , R.J. 2008 . Solutions of backward stochastic differential equations on Markov chains . Communications on Stochastic Analysis 2 ( 2 ): 251 – 262 .
  • Cohen , S.N. , and Elliott , R.J. 2010 . A general theory of finite state backward stochastic difference equations . Stochastic Processes and Their Applications 120 ( 4 ): 442 – 466 .
  • Cohen , S.N. , and Elliott , R.J. 2010 . Comparisons for backward stochastic differential equations on Markov chains and related no-arbitrage conditions . Annals of Probability 20 ( 1 ): 267 – 311 .
  • Davis , M.H.A. 1976 . The representation of martingales of jump processes . SIAM J. Control Optim. 14 ( 4 ): 623 – 638 .
  • Elliott , R.J. 1982 . Stochastic Calculus and Applications . Springer , Berlin .
  • Föllmer , H. , and Schied , A. 2004 . Stochastic Finance: A Introduction in Discrete Time () , 2nd ed. , Walter de Gruyter , Berlin .
  • Peng , S. 2004 . Nonlinear Expectations, Nonlinear Evaluations and Risk Measures, Stochastic Methods in Finance, Lecture Notes in Mathematics , Springer , Berlin , pp. 165 – 253 .
  • Rosazza Gianin , E. 2006 . Risk measures via g-expectations . Insurance: Mathematics and Economics 39 ( 1 ): 19 – 34 .

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