Integrability of exponential process and its application to backward stochastic differential equations

DOI10.1093/IMAMAN/DPY008OpenAlexW2809178204WikidataQ115539141 ScholiaQ115539141MaRDI QIDQ4960885

Bujar Gashi, Jiajie Li

Publication date: 24 April 2020

Published in: IMA Journal of Management Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/imaman/dpy008

zbMATH Keywords

unbounded coefficientsmarket completenessoptimal investmentexponential processlinear and Riccati BSDEs

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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