BACKWARD STOCHASTIC VIABILITY AND RELATED PROPERTIES ON Z FOR BSDES WITH APPLICATIONS

Zhen WU , Zhiyong YU

系统科学与复杂性(英文) ›› 2012, Vol. 25 ›› Issue (4) : 675-690.

PDF(249 KB)
PDF(249 KB)
系统科学与复杂性(英文) ›› 2012, Vol. 25 ›› Issue (4) : 675-690. DOI: 10.1007/s11424-012-0083-8

BACKWARD STOCHASTIC VIABILITY AND RELATED PROPERTIES ON Z FOR BSDES WITH APPLICATIONS

    Zhen WU1 , Zhiyong YU2
作者信息 +

BACKWARD STOCHASTIC VIABILITY AND RELATED PROPERTIES ON Z FOR BSDES WITH APPLICATIONS

    Zhen WU1 , Zhiyong YU2
Author information +
文章历史 +

Abstract

This paper investigates some important properties of Z, the martingale integrant of the backward stochastic differential equations, which is the second  rocess of the solution. These include the backward stochastic viability property, bounded property and the comparison theorem. To explain the theoretical results, the authors apply them to study a financial contingent claim pricing problem. The replication portfolio process can be characterized clearly.

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Zhen WU , Zhiyong YU. BACKWARD STOCHASTIC VIABILITY AND RELATED PROPERTIES ON Z FOR BSDES WITH APPLICATIONS. 系统科学与复杂性(英文), 2012, 25(4): 675-690 https://doi.org/10.1007/s11424-012-0083-8
Zhen WU , Zhiyong YU. BACKWARD STOCHASTIC VIABILITY AND RELATED PROPERTIES ON Z FOR BSDES WITH APPLICATIONS. Journal of Systems Science and Complexity, 2012, 25(4): 675-690 https://doi.org/10.1007/s11424-012-0083-8
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