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

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