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

页码：335 / 365

页数：31

共 50 条

[21] Backward stochastic differential equations and backward stochastic Volterra integral equations with anticipating generators
Hanxiao Wang
Jiongmin Yong
Chao Zhou
Probability,Uncertainty and Quantitative Risk, 2022, (04) : 301 - 332
[22] Backward stochastic differential equations and backward stochastic Volterra integral equations with anticipating generators
Wang, Hanxiao
Yong, Jiongmin
Zhou, Chao
PROBABILITY UNCERTAINTY AND QUANTITATIVE RISK, 2022, 7 (04) : 301 - 332
[23] On the robustness of backward stochastic differential equations
Briand, P
Delyon, B
Mémin, J
STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2002, 97 (02) : 229 - 253
[24] Perturbed backward stochastic differential equations
Jankovic, Svetlana
Jovanovic, Miljana
Djordjevic, Jasmina
MATHEMATICAL AND COMPUTER MODELLING, 2012, 55 (5-6) : 1734 - 1745
[25] Backward stochastic differential equations in finance
El Karoui, N
Peng, S
Quenez, MC
MATHEMATICAL FINANCE, 1997, 7 (01) : 1 - 71
[26] Backward stochastic differential equations on manifolds
Blache, F
PROBABILITY THEORY AND RELATED FIELDS, 2005, 132 (03) : 391 - 437
[27] On the estimation of backward stochastic differential equations
Ananev, B. I.
TRUDY INSTITUTA MATEMATIKI I MEKHANIKI URO RAN, 2014, 20 (04): : 17 - 28
[28] A property of backward stochastic differential equations
Comptes Rendus L'Acad Sci Ser I Math, 4 (483):
[29] Backward stochastic differential equations on manifolds
Fabrice Blache
Probability Theory and Related Fields, 2005, 132 : 391 - 437
[30] Stability of backward stochastic differential equations
Antonelli, F
STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 1996, 62 (01) : 103 - 114

← 1 2 3 4 5 →