Backward stochastic differential equations in finance

被引：1612

作者：

El Karoui, N ^{[1
]}

Peng, S

Quenez, MC

机构：

[1] Univ Paris 06, CNRS URA 224, Probabil Lab, Paris, France

[2] Shandong Univ, Math Inst, Jinan 250100, Peoples R China

[3] Univ Marne Vallee, Equipe Math, Noisy Le Grand, France

来源：

MATHEMATICAL FINANCE | 1997年 / 7卷 / 01期

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;

D O I：

10.1111/1467-9965.00022

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

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).

引用

页码：1 / 71

页数：71

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