17 citations · 18 across the 4 of their papers we have counts for
4 papers
BSDEs with time-delayed generators of a moving average type with applications to non-monotone preferences
Łukasz Delong
In this paper we consider backward stochastic differential equations with time-delayed generators of a moving average type. The classical framework with linear generators depending…
On Malliavin's differentiability of BSDE with time delayed generators driven by Brownian motions and Poisson random measures
Łukasz Delong, Peter Imkeller
We investigate solutions of backward stochastic differential equations (BSDE) with time delayed generators driven by Brownian motions and Poisson random measures, that constitute t…
Backward stochastic differential equations with time delayed generators - results and counterexamples
Łukasz Delong, Peter Imkeller
We deal with backward stochastic differential equations with time delayed generators. In this new type of equations, a generator at time t can depend on the values of a solution in…
Applications of time-delayed backward stochastic differential equations to pricing, hedging and portfolio management
Lukasz Delong
In this paper we investigate novel applications of a new class of equations which we call time-delayed backward stochastic differential equations. Time-delayed BSDEs may arise in f…