Backward Stochastic Differential Equations in Finance
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Publication:4372051
DOI10.1111/1467-9965.00022zbMath0884.90035OpenAlexW2157883119WikidataQ56565475 ScholiaQ56565475MaRDI QIDQ4372051
Shige Peng, Marie-Claire Quenez, Nicole El Karoui
Publication date: 5 April 1998
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/1467-9965.00022
incomplete marketstochastic controlmathematical financepricingrecursive utilityMalliavin derivativebackward stochastic equationhedging portfoliosconstrained portfolioviscosity solution of PDE
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Economic growth models (91B62) Financial applications of other theories (91G80)
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