Completeness of security markets and backward stochastic differential equations with unbounded coefficients

DOI10.1016/J.NA.2005.02.035MaRDI QIDQ1000013zbMATH OpenOpenAlexFDO

Authors Jiongmin Yong

Publication date 4 February 2009

Published in Nonlinear Analysis. Theory, Methods \& Applications. Series A: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.na.2005.02.035

zbMATH Keywords

backward stochastic differential equationscompletenessexponential super-martingle

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Microeconomic theory (price theory and economic markets) (91B24)

Recommendations

• Completeness of security markets and solvability of linear backward stochastic differential equations
• scientific article; zbMATH DE number 1069626
• Market completion with derivative securities
• On incompleteness of bond markets with infinite number of random factors
• Some problems related to the Black-Scholes type security markets

Cites work

• scientific article; zbMATH DE number 3789604 (Why is no real title available?)
• scientific article; zbMATH DE number 192908 (Why is no real title available?)
• scientific article; zbMATH DE number 1325009 (Why is no real title available?)
• scientific article; zbMATH DE number 1055921 (Why is no real title available?)
• Adapted solution of a backward stochastic differential equation
• Backward Stochastic Differential Equations in Finance
• Backward stochastic differential equations and partial differential equations with quadratic growth.
• Continuous exponential martingales and BMO
• European-type contingent claims in an incomplete market with constrained wealth and portfolio
• Forward-backward stochastic differential equations and their applications

Cited in

(4)

• A Characterization of Complete Security Markets On A Brownian Filtration¹
• Some problems related to the Black-Scholes type security markets
• Completeness of securities market models -- an operator point of view
• Completeness of security markets and solvability of linear backward stochastic differential equations

This page was built for publication: Completeness of security markets and backward stochastic differential equations with unbounded coefficients

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1000013)