53 citations · 56 across the 3 of their papers we have counts for
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math.PR2021
Generalized BSDEs with random time horizon in a progressively enlarged filtration
Anna Aksamit, Libo Li, Marek Rutkowski
We study generalized backward stochastic differential equations (BSDEs) up to a random time horizon , which is not a stopping time, under minimal assumptions regarding t…
math.PR2021★ 2 cited
Reflected BSDEs and doubly reflected BSDEs driven by RCLL martingales
Tianyang Nie, Marek Rutkowski
We prove some new results on reflected BSDEs and doubly reflected BSDEs driven by a multi-dimensional RCLL martingale. The goal is to develop a general multi-asset framework encomp…
math.PR2021★ 1 cited
Existence, uniqueness and strict comparison theorems for backward stochastic differential equations driven by RCLL martingales
Tianyang Nie, Marek Rutkowski
Results on the existence, uniqueness and strict comparison for solutions to a BSDE driven by a multi-dimensional RCLL martingale are established. The goal is to develop a general m…