Thomas Kruse

activity

20142024

most citedBSDEs with monotone generator driven by Brownian and Poisson noises in a general filtration

2 citations · 2 across the 5 of their papers we have counts for

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math.PR2016

Backward Stochastic Differential Equations with Nonmarkovian Singular Terminal Values

Ali Devin Sezer, Thomas Kruse, Alexandre Popier

We solve a class of BSDE with a power function $f (y) = y^{q}$ , $q > 1$ , driving its drift and with the terminal boundary condition $ξ = \infty \cdot 1_{B (m, r)^{c}}$ (for which…

math.PR2014★ 2 cited

BSDEs with monotone generator driven by Brownian and Poisson noises in a general filtration

T. Kruse, A. Popier

We analyze multidimensional BSDEs in a filtration that supports a Brownian motion and a Poisson random measure. Under a monotonicity assumption on the driver, the paper extends sev…