Integrability of exponential process and its application to backward stochastic differential equations

被引：8
|
作者：
Gashi, Bujar [1 ]
Li, Jiajie [1 ]
机构：
[1] Univ Liverpool, Dept Math Sci, Liverpool L69 7ZL, Merseyside, England
来源：
IMA JOURNAL OF MANAGEMENT MATHEMATICS | 2019年 / 30卷 / 04期
关键词：
exponential process; unbounded coefficients; linear and Riccati BSDEs; market completeness; optimal investment; VARIANCE PORTFOLIO SELECTION; OPTIMAL INVESTMENT; MARKET; MODEL; RISK; CONSUMPTION;
D O I：
10.1093/imaman/dpy008
中图分类号：
C93 [管理学];
学科分类号：
12 ; 1201 ; 1202 ; 120202 ;
摘要：
We consider the integrability problem of an exponential process with unbounded coefficients. The integrability is established under weaker conditions of Kazamaki type, which complements the results of Yong obtained under a Novikov type condition. As applications, we consider the solvability of linear backward stochastic differential equations (BSDEs) and market completeness, the solvability of a Riccati BSDE and optimal investment, all in the setting of unbounded coefficients.
引用
收藏
页码：335 / 365
页数：31
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