Backward stochastic differential equation on hedging American contingent claims (Q629606)
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scientific article; zbMATH DE number 5863407
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Backward stochastic differential equation on hedging American contingent claims |
scientific article; zbMATH DE number 5863407 |
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Backward stochastic differential equation on hedging American contingent claims (English)
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9 March 2011
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The authors consider a general wealth process with a drift coefficient which is a function of the wealth process and the portfolio process with convex constraint. Existence and uniqueness of a minimal solution are established.
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American contingent claim
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backward stochastic differential equation
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