A class of stochastic Fredholm-algebraic equations and applications in finance

DOI10.3934/DCDSB.2020267MaRDI QIDQ2033771zbMATH OpenOpenAlexFDO

Authors Zheng Liu, Tianxiao Wang

Publication date 17 June 2021

Published in Discrete and Continuous Dynamical Systems. Series B (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3934/dcdsb.2020267

zbMATH Keywords

backward stochastic differential equationsrisk indifference pricingrisk minimization problemsstochastic Fredholm-algebraic equations

Mathematics Subject Classification ID

Stochastic integral equations (60H20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80)

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Cites work

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Cited in

(1)

• Algebraic structure of vector fields in financial diffusion models and its applications

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