Smallest \(g\)-supersolution with constraint

DOI10.1007/s11766-000-0053-0zbMath0973.60065OpenAlexW84266789MaRDI QIDQ1589807

Qing Quan Lin

Publication date: 18 November 2001

Published in: Applied Mathematics. Series B (English Edition) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11766-000-0053-0

zbMATH Keywords

comparison theorembackward stochastic differential equationsconstraintsLipschitz condition

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Generalizations of martingales (60G48) Financial applications of other theories (91G80)

Cites Work

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• Martingales and arbitrage in multiperiod securities markets
• Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob-Meyer's type
• Hedging contingent claims with constrained portfolios
• Adapted solutions of backward stochastic differential equations with non- Lipschitz coefficients
• Optimization Problems in the Theory of Continuous Trading
• A Martingale Representation Result and an Application to Incomplete Financial Markets
• Backward Stochastic Differential Equations in Finance

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