Representation theorems for backward stochastic differential equations

DOI10.1214/AOAP/1037125868zbMath1017.60067OpenAlexW1975076156MaRDI QIDQ1872357

Jianfeng Zhang, Jin Ma

Publication date: 6 May 2003

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aoap/1037125868

zbMATH Keywords

viscosity solutionMalliavin calculusbackward stochastic differential equationspath regularity

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Microeconomic theory (price theory and economic markets) (91B24) Ordinary differential equations and systems with randomness (34F05)

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Cites Work

• Adapted solution of a backward stochastic differential equation
• Potential kernels associated with a filtration and forward-backward SDEs
• Forward-backward stochastic differential equations and their applications
• Solving forward-backward stochastic differential equations explicitly -- a four step scheme
• Backward stochastic differential equations: The locally Lipschitz case
• Backward stochastic differential equations with continuous coefficient
• Forward-backward stochastic differential equations with nonsmooth coefficients.
• Applications of Malliavin calculus to Monte Carlo methods in finance
• Backward Stochastic Differential Equations in Finance
• Hedging Options: The Malliavin Calculus Approach versus the Delta-Hedging Approach
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