Backward stochastic differential equations with jumps and related non-linear expectations

Manuela Royer

Stochastic Processes and their Applications, 2006, vol. 116, issue 10, 1358-1376

Abstract: In this paper, we are interested in real-valued backward stochastic differential equations with jumps together with their applications to non-linear expectations. The notion of non-linear expectations has been studied only when the underlying filtration is given by a Brownian motion and in this work the filtration will be generated by both a Brownian motion and a Poisson random measure. We study at first backward stochastic differential equations driven by a Brownian motion and a Poisson random measure and then introduce the notions of f-expectations and of non-linear expectations in this set-up.

Keywords: Backward; stochastic; differential; equations; Jumps; Non-linear; expectation; Doob-Meyer; decomposition (search for similar items in EconPapers)
Date: 2006
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