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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…