Backward stochastic differential equations in finance

Mathematical Finance

Volumn 7, Issue 1, 1997, Pages 1-71

  Karoui, N El ^a   Peng, S ^b   Quenez, M C ^c  

^a University of Paris VII LPSM partially supported by ERC Starting Grant 680275 MALIG   (France)

^b SHANDONG UNIVERSITY   (China)

^c UNIVERSITÉ GUSTAVE EIFFEL   (France)

Author keywords

Backward stochastic equation; Mathematical finance; Pricing, hedging portfolios, incomplete market, constrained portfolio, recursive utility, stochastic control, viscosity solution of pde, malliavin derivative

Indexed keywords

EID: 0031542653     PISSN: 09601627     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9965.00022     Document Type: Article

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