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

DOI10.1016/J.NA.2005.02.035zbMATH Open1224.91169OpenAlexW1994984848MaRDI QIDQ1000013FDOQ1000013

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

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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)

Cites Work

• Title not available (Why is that?)
• Forward-backward stochastic differential equations and their applications
• Backward stochastic differential equations and partial differential equations with quadratic growth.
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• Backward Stochastic Differential Equations in Finance
• Adapted solution of a backward stochastic differential equation
• Continuous exponential martingales and BMO
• Title not available (Why is that?)
• European-type contingent claims in an incomplete market with constrained wealth and portfolio
• Title not available (Why is that?)

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

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