3 citations · 8 across the 12 of their papers we have counts for
4 papers · 1 filter
Stochastic Gronwall's inequality in random time horizon and its application to BSDE
Hun O, Mun-Chol Kim, Chol-Gyu Pak
In this paper, we introduce and prove a stochastic Gronwall's inequality in (unbounded) random time horizon. As an application, we prove a comparison theorem for backward stochasti…
Uniqueness, Comparison and Stability for Scalar BSDEs with {Lexp(μsqrt(2log(1+L)))}-integrable terminal values and monotonic generators
Hun O, Mun-Chol Kim, Chol-Gyu Pak
This paper considers a class of scalar backward stochastic differential equations (BSDEs) with -integrable terminal values. We associate these BSDEs with…
A Framework of BSDEs with Stochastic Lipschtz Coefficients through Time Change
Hun O, Mun-chol Kim, Chol-kyu Pak
In this paper, we suggest a useful technique based on time change to be effective for dealing with the backward stochastic differential equations. We show the relation between the…
Backward stochastic differential equations with stopping time as time horizon
Mun-Chol Kim, Chol-Kyu Pak
In this paper, we introduce a new method for study on backward stochastic differential equations with stopping time as time horizon. And using this, we show that some results on ba…