Singular forward-backward stochastic differential equations and emissions derivatives

DOI10.1214/12-AAP865zbMath1276.60070arXiv1210.5773MaRDI QIDQ1950264

Nizar Touzi, François Delarue, Gilles-Edouard Espinosa, René A. Carmona

Publication date: 10 May 2013

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1210.5773

zbMATH Keywords

forward-backward stochastic differential equationsstochastic analysisemissions derivatives

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

Coupled FBSDEs with measurable coefficients and its application to parabolic PDEs, Control of McKean-Vlasov dynamics versus mean field games, Numerical approximation of singular forward-backward SDEs, Optimal dynamic regulation of carbon emissions market, Model and numerical methods for pricing renewable energy certificate derivatives, Forward-backward SDEs with discontinuous coefficients, Numerical solution of a nonlinear PDE model for pricing renewable energy certificates (RECs), Optimal Investment Timing for Carbon Emission Reduction Technology with a Jump-Diffusion Process, Backward SDEs for control with partial information, A non-zero-sum reinsurance-investment game with delay and asymmetric information, Risk-Neutral Pricing of Financial Instruments in Emission Markets: A Structural Approach, A pricing option approach based on backward stochastic differential equation theory

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Weak existence and uniqueness for forward-backward SDEs
• Dynamic behavior of CO\(_2\) spot prices
• Continuous-time stochastic control and optimization with financial applications
• Forward-backward stochastic differential equations and their applications
• On the existence and uniqueness of solutions to FBSDEs in a non-degenerate case.
• Risk-Neutral Models for Emission Allowance Prices and Option Valuation
• Optimal Stochastic Control and Carbon Price Formation
• Market Design for Emission Trading Schemes
• Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control
• The Endogenous Price Dynamics of Emission Allowances and an Application to CO₂Option Pricing