COMPUTING ANTICIPATORY PROPERTY IN STOCHASTIC DIFFERENTIAL SYSTEMS

DOI10.1080/01969720590944258zbMATH Open1085.60038OpenAlexW2156515056MaRDI QIDQ3375360FDOQ3375360

Authors Yasushi Endow

Publication date 8 March 2006

Published in Cybernetics and Systems (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/01969720590944258

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integral equations (60H20)

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Cites work

• A Course in Financial Calculus
• A New Representation for Stochastic Integrals and Equations
• Adapted solution of a backward stochastic differential equation
• Backward Stochastic Differential Equations in Finance
• Conjugate convex functions in optimal stochastic control
• Numerical method for backward stochastic differential equations
• Space-time approach to non-relativistic quantum mechanics
• Stochastic integral
• The pricing of options and corporate liabilities

Cited in

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