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Some existence results for advanced backward stochastic differential equations with a jump time

Abstract : In this paper, we are interested by advanced backward stochastic differential equations (ABSDE), in a probability space equipped with a Brownian motion and a single jump process. The solution of the ABSDE is a triple (Y, Z, U) where Y is a semimartingale, Z is the diffusion coefficient and U the size of the jump. We allow the generator to depend on the future paths of the solution.
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https://hal.archives-ouvertes.fr/hal-01387610
Contributor : Thomas Lim <>
Submitted on : Tuesday, October 25, 2016 - 6:09:17 PM
Last modification on : Saturday, February 6, 2021 - 3:27:30 AM

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Monique Jeanblanc, Thomas Lim, Nacira Agram. Some existence results for advanced backward stochastic differential equations with a jump time. 2016. ⟨hal-01387610⟩

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