Results 281 to 290 of about 61,087 (328)

Backward Stochastic Differential Equations in Finance

Mathematical Finance, 1997
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 ...
El Karoui, N., Peng, S., Quenez, M. C.
openaire   +4 more sources

Backward stochastic differential equations and integral-partial differential equations

Stochastics and Stochastic Reports, 1997
We consider a backward stochastic differential equation, whose data (the final condition and the coefficient) are given functions of a jump-diffusion process. We prove that under mild conditions the solution of the BSDE provides a viscosity solution of a system of parabolic integral-partial differential equations.
Guy Barles, Rainer Buckdahn, Etienne Pardoux   +2 more
openaire   +3 more sources

General Mean Reflected Backward Stochastic Differential Equations

Journal of Theoretical Probability, 2023
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Hu, Ying, Moreau, Remi, Wang, Falei
openaire   +2 more sources

MULTIVALUED STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS VIA BACKWARD DOUBLY STOCHASTIC DIFFERENTIAL EQUATIONS

Stochastics and Dynamics, 2008
In this paper, we establish by means of Yosida approximation, the existence and uniqueness of the solution of a backward doubly stochastic differential equation whose coefficient contains the subdifferential of a convex function. We will use this result to prove the existence of stochastic viscosity solution for some multivalued parabolic stochastic ...
Boufoussi, B., Mrhardy, N.
openaire   +2 more sources

Backward Stochastic Differential Equations

2013
We saw in Chap. 4 that the problem of pricing and hedging financial derivatives can be modeled in terms of (possibly reflected) backward stochastic differential equations (BSDEs) or, equivalently in the Markovian setup, by partial integro-differential equations or variational inequalities (PIDEs or PDEs for short). Also, Chaps.
openaire   +2 more sources

Backward Stochastic Differential Equations

2014
In this chapter we discuss so-called “backward stochastic differential equations”, BSDEs for short. Linear BSDEs first appeared a long time ago, both as the equations for the adjoint process in stochastic control, as well as the model behind the Black and Scholes formula for the pricing and hedging of options in mathematical finance. These linear BSDEs
Etienne Pardoux, Aurel Răşcanu
openaire   +1 more source

Backward Stochastic Differential Equations

1999
In Chapter 3, in order to derive the stochastic maximum principle as a set of necessary conditions for optimal controls, we encountered the problem of finding adapted solutions to the adjoint equations. Those are terminal value problems of (linear) stochastic differential equations involving the Ito stochastic integral. We call them backward stochastic
Jiongmin Yong, Xun Yu Zhou
openaire   +1 more source