Differentiability of quadratic BSDEs generated by continuous martingales

DOI10.1214/11-AAP769zbMath1254.60058arXiv0907.0941MaRDI QIDQ2428052

Peter Imkeller, Anthony Réveillac, Anja Richter

Publication date: 20 April 2012

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

Full work available at URL: https://arxiv.org/abs/0907.0941

zbMATH Keywords

sensitivity analysis; Markov property; stochastic calculus of variations; quadratic growth; utility indifference; BMO martingale; hedging and pricing; delta hedge; forward-backward stochastic differential equation driven by continuous martingale

Mathematics Subject Classification ID

60J25: Continuous-time Markov processes on general state spaces

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60G44: Martingales with continuous parameter

Related Items

Utility indifference valuation for non-smooth payoffs with an application to power derivatives, Density analysis of BSDEs, Pseudo linear pricing rule for utility indifference valuation, Cross hedging with stochastic correlation

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