Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: On the Solution of Locally Lipschitz BSDE Associated to Jump Markov
  Process   In this study, we consider a class of backward SDE driven by jump Markov
process. An existence and uniqueness result to this kind of equations is
obtained in a locally Lipschitz case. We essentially approximate the initial
problem by constructing a convenient sequence of globally Lipschitz BSDEs
having the existence and the uniqueness propriety. Then, we show, by passing to
the limits, the existence, and uniqueness of a solution to the initial problem.
After that, a stability theorem is also proved in the local Lipschitz setting.
Applying the aforementioned result, we give an application to European option
pricing with constraint.

9
The categories of this paper are: nlin
33
The categories of this paper are: plasm-ph
35
The categories of this paper are: mtrl-th
14
The categories of this paper are: math-ph
27
The categories of this paper are: comp-gas
20
The categories of this paper are: acc-phys
28
The categories of this paper are: alg-geom
10
The categories of this paper are: q-bio
3
The categories of this paper are: physics
7
The categories of this paper are: hep-th
19
The categories of this paper are: eess
17
The categories of this paper are: q-fin
12
The categories of this paper are: nucl-th
32
The categories of this paper are: atom-ph
4
The categories of this paper are: cond-mat
31
The categories of this paper are: ao-sci