Backward Stochastic Differential Equations and Optimal Control of Marked Point Processes
Work
Year: 2013
Type: article
Abstract: We study a class of backward stochastic differential equations (BSDEs) driven by a random measure or, equivalently, by a marked point process. Under appropriate assumptions we prove well-posedness and... more
Authors Fulvia Confortola, Marco Fuhrman
Institution Politecnico di Milano
Cites: 17
Cited by: 30
Related to: 10
FWCI: 4.28
Citation percentile (by year/subfield): 97.31
Subfield: Finance
Domain: Social Sciences
Open Access status: green