most citedApplications of time-delayed backward stochastic differential equations to pricing, hedging and portfolio management

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math.PR2010★ 1 cited

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…

math.PR2010

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…