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dc.contributor.authorLin, Yiqing
dc.contributor.authorRen, Zhenjie
dc.contributor.authorTouzi, Nizar
dc.contributor.authorYang, Junjian
dc.date.accessioned2019-09-20T12:15:29Z
dc.date.available2019-09-20T12:15:29Z
dc.date.issued2018-02
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/19862
dc.language.isoenen
dc.subjectBackward SDEen
dc.subjectsecond order backward SDEen
dc.subjectquasi-sure stochastic analysisen
dc.subjectrandom horizonen
dc.subject.ddc519en
dc.titleSecond order backward SDE with random terminal timeen
dc.typeDocument de travail / Working paper
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).en
dc.publisher.nameCahier de recherche CEREMADE, Université Paris-Dauphineen
dc.publisher.cityParisen
dc.identifier.citationpages36en
dc.relation.ispartofseriestitleCahier de recherche CEREMADE, Université Paris-Dauphineen
dc.contributor.countryeditoruniversityotherCHINA
dc.contributor.countryeditoruniversityotherAUSTRIA
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.identifier.citationdate2018-02
dc.description.ssrncandidatenonen
dc.description.halcandidateouien
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.date.updated2019-09-20T12:05:12Z
hal.person.labIds89626
hal.person.labIds60
hal.person.labIds89626
hal.person.labIds441966
hal.identifierhal-02293001*


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