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

DOI10.1016/j.na.2005.02.035zbMath1224.91169OpenAlexW1994984848MaRDI QIDQ1000013

Jiong-min 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

completenessbackward stochastic differential equationsexponential super-martingle

Mathematics Subject Classification ID

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

Cites Work

• Adapted solution of a backward stochastic differential equation
• Forward-backward stochastic differential equations and their applications
• Continuous exponential martingales and BMO
• Backward stochastic differential equations and partial differential equations with quadratic growth.
• European-Type Contingent Claims in an Incomplete Market with Constrained Wealth and Portfolio
• Backward Stochastic Differential Equations in Finance
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