KTH Mathematics

Backward stochastic differential equation driven by a marked point process: An elementary approach with an application to optimal control F Confortola, M Fuhrman, J Jacod projecteuclid Summary: A novel approach to show existence and uniqueness. Based on analysis of sequences of ODEs. Allows for L1-theory. List of papers Front page

Published by: Alexander Aurell Updated: 01-03-2018