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Second order backward SDE with random terminal time

hal.structure.identifierCentre de Mathématiques Appliquées - Ecole Polytechnique [CMAP]
dc.contributor.authorLin, Yiqing
hal.structure.identifierCEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
dc.contributor.authorRen, Zhenjie
hal.structure.identifierCentre de Mathématiques Appliquées - Ecole Polytechnique [CMAP]
dc.contributor.authorTouzi, Nizar
hal.structure.identifierFakultät für Mathematik und Geoinformation [Wien] [TU Wien]
dc.contributor.authorYang, Junjian
dc.date.accessioned2019-09-20T12:15:29Z
dc.date.available2019-09-20T12:15:29Z
dc.date.issued2020
dc.identifier.issn1083-6489
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/19862
dc.language.isoenen
dc.subjectBackward SDE
dc.subjectsecond order backward SDE
dc.subjectquasi-sure stochastic analysis
dc.subjectrandom horizon
dc.subject.ddc519en
dc.titleSecond order backward SDE with random terminal time
dc.typeArticle accepté pour publication ou publié
dc.contributor.editoruniversityotherShanghai Jiao Tong University
dc.contributor.editoruniversityotherEcole Polytechnique
dc.contributor.editoruniversityotherTU Wien
dc.description.abstractenBackward stochastic differential equations extend the martingale representation theorem to the nonlinear setting. This can be seen as path-dependent counterpart of the extension from the heat equation to fully nonlinear parabolic equations in the Markov setting. This paper extends such a nonlinear representation to the context where the random variable of interest is measurable with respect to the information at a finite stopping time. We provide a complete wellposedness theory which covers the semilinear case (backward SDE), the semilinear case with obstacle (reflected backward SDE), and the fully nonlinear case (second order backward SDE).
dc.publisher.cityParisen
dc.relation.isversionofjnlnameElectronic Journal of Probability
dc.relation.isversionofjnlvol25
dc.relation.isversionofjnldate2020
dc.relation.isversionofjnlpages1-43
dc.relation.isversionofdoi10.1214/20-EJP498
dc.contributor.countryeditoruniversityotherCHINA
dc.contributor.countryeditoruniversityotherFRANCE
dc.contributor.countryeditoruniversityotherAUSTRIA
dc.relation.isversionofjnlpublisherInstitute of Mathematical Statistics
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.description.ssrncandidatenon
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dc.description.audienceInternational
dc.relation.Isversionofjnlpeerreviewedoui
dc.date.updated2023-02-21T13:09:25Z
hal.identifierhal-02293001*
hal.version1*
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