A property of backward stochastic differential equations;Une propriété des équations différentielles stochastiques rétrogrades

Comptes Rendus de l'Academie des Sciences - Series I: Mathematics

Volumn 326, Issue 4, 1998, Pages 483-488

  Chen, Zengjing ^a  

^a SHANDONG UNIVERSITY   (China)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0013296544     PISSN: 07644442     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0764-4442(97)89796-0     Document Type: Article

References (4)

1. El Karoui N., Peng S., Quenez M.C., Backward stochastic differential equations in finance, Math. Finance (1997) (to appear).
2. Hu Ying, Peng S., Adapted solution of backward stochastic evolution equations, Stoch. Analy. Appl. 9 (1991) 445-459.
3. Peng S., BSDE and related g-expectation, in: Pitman Research Notes in Math. Series 364, "Backward stochastic differential equations", El Karoui N., Mazliak L. (Eds.), 1997, pp. 141-160.
4. Pardoux E., Peng S., Adapted solution of a backward stochastic differential equation, Syst. Control Lett. 14 (1990) 55-61.