标题:Backward stochastic differential equations in finance
作者:El Karoui, N; Peng, S; Quenez, MC
作者机构:[El Karoui, N]Univ Paris 06, CNRS URA 224, Probabil Lab, Paris, France.;[ Peng, S] Shandong Univ, Math Inst, Jinan 250100, Peoples R China.;[ Qu 更多
通讯作者:El Karoui, N
通讯作者地址:[El Karoui, N]Univ Paris 06, CNRS URA 224, Probabil Lab, Paris, France.
来源:MATHEMATICAL FINANCE
出版年:1997
卷:7
期:1
页码:1-71
DOI:10.1111/1467-9965.00022
关键词:backward stochastic equation; mathematical finance; pricing; hedging; portfolios; incomplete market; constrained portfolio; recursive utility;; stochastic control; viscosity solution of PDE; Malliavin derivative
摘要:We are concerned with different properties of backward stochastic differential equations and their applications to finance. These equations, first introduced by Pardoux and Peng (1990), are useful for the theory of contingent claim valuation, especially cases with constraints and for the theory of recursive utilities, introduced by Duffie and Epstein (1992a, 1992b).
收录类别:SCOPUS;SCIE;SSCI
WOS核心被引频次:899
Scopus被引频次:990
资源类型:期刊论文
原文链接:https://www.scopus.com/inward/record.uri?eid=2-s2.0-0031542653&partnerID=40&md5=2f969462ab13839147373578e987957a
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