Backward Stochastic Differential Equations in Finance (Q4372051)
From MaRDI portal
scientific article; zbMATH DE number 1106734
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Backward Stochastic Differential Equations in Finance |
scientific article; zbMATH DE number 1106734 |
Statements
Backward Stochastic Differential Equations in Finance (English)
0 references
5 April 1998
0 references
backward stochastic equation
0 references
mathematical finance
0 references
pricing
0 references
hedging portfolios
0 references
incomplete market
0 references
constrained portfolio
0 references
recursive utility
0 references
stochastic control
0 references
viscosity solution of PDE
0 references
Malliavin derivative
0 references
