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A pathwise approach to backward and forward stochastic differential equations on the poisson space.
- Source :
-
Stochastic Analysis & Applications . Sep2001, Vol. 19 Issue 5, p0. 1p. - Publication Year :
- 2001
-
Abstract
- We study the existence and uniqueness of pathwise solutions to backward and forward stochastic differential equations on the Poisson space. We obtain the structure of these pathwise solutions to give the relationship between them. Also, in the bilinear case, we calculate the explicit form of their chaos decompositions. [ABSTRACT FROM AUTHOR]
- Subjects :
- *STOCHASTIC differential equations
*POISSON processes
Subjects
Details
- Language :
- English
- ISSN :
- 07362994
- Volume :
- 19
- Issue :
- 5
- Database :
- Academic Search Index
- Journal :
- Stochastic Analysis & Applications
- Publication Type :
- Academic Journal
- Accession number :
- 8700156
- Full Text :
- https://doi.org/10.1081/SAP-120000223