Completeness of security markets and solvability of linear backward stochastic differential equations
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Publication:2488814
DOI10.1016/j.jmaa.2005.07.065zbMath1092.60025OpenAlexW2088328546MaRDI QIDQ2488814
Publication date: 16 May 2006
Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmaa.2005.07.065
unbounded coefficientsEuropean contingent claimexponential processBlack-Scholes market modelcompleteness of market
Financial applications of other theories (91G80) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)
Related Items (4)
Backward stochastic differential equations with unbounded generators ⋮ Representation of Itô integrals by Lebesgue/Bochner integrals ⋮ Optimal stochastic regulators with state-dependent weights ⋮ Time-consistent longevity hedging with long-range dependence
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