Differentiability of quadratic BSDEs generated by continuous martingales

DOI10.1214/11-AAP769zbMath1254.60058arXiv0907.0941MaRDI QIDQ2428052

Anja Richter, Anthony Réveillac, Peter Imkeller

Publication date: 20 April 2012

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

Full work available at URL: https://arxiv.org/abs/0907.0941

zbMATH Keywords

sensitivity analysisMarkov propertystochastic calculus of variationsquadratic growthutility indifferenceBMO martingalehedging and pricingdelta hedgeforward-backward stochastic differential equation driven by continuous martingale

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44)

Related Items

Utility indifference valuation for non-smooth payoffs with an application to power derivatives ⋮ Density analysis of BSDEs ⋮ Necessary and Sufficient Conditions of Optimalcontrol for Infinite Dimensional SDEs ⋮ Stability of backward stochastic differential equations: the general Lipschitz case ⋮ Pseudo linear pricing rule for utility indifference valuation ⋮ Existence and uniqueness results for BSDE with jumps: the whole nine yards ⋮ Locally Lipschitz BSDE driven by a continuous martingale a path-derivative approach ⋮ Cross hedging with stochastic correlation

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