Publication:4357646
From MaRDI portal
zbMath0904.90010MaRDI QIDQ4357646
Nicole El Karoui, Marie-Claire Quenez
Publication date: 25 November 1997
backward stochastic differential equations; arbitrage pricing; financial mathematics; hedging portfolio
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
91B24: Microeconomic theory (price theory and economic markets)
91B62: Economic growth models
60H30: Applications of stochastic analysis (to PDEs, etc.)
49L25: Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games
Related Items
Probabilistic methods for semilinear partial differential equations. Applications to finance, Doubly reflected BSDEs driven by a Lévy process, Reflected backward stochastic differential equations with time delayed generators, Reflected backward stochastic differential equations in an orthant, A necessary and sufficient condition for probability measures dominated by \(g\)-expectation, Defaultable game options in a hazard process model, A property of \(g\)-expectation, Numerical method for backward stochastic differential equations, Free lunch and arbitrage possibilities in a financial market model with an insider., Jensen's inequality for \(g\)-convex function under \(g\)-expectation, BSDEs driven by Lévy process with enlarged filtration and applications in finance, Generalized reflected BSDEs driven by a Lévy process and an obstacle problem for PDIEs with a nonlinear Neumann boundary condition
