Backward Stochastic Differential Equations in Finance

作者：Nicole El Karoui, Shigē Péng, M.C. Quenez · 发表于：Mathematical Finance · 年份：1997 · DOI：10.1111/1467-9965.00022 · 被引用次数：2377 · 研究领域：Stochastic processes and financial applications、Insurance, Mortality, Demography, Risk Management、Credit Risk and Financial Regulations

We are concerned with different properties of backward stochastic differential equations and their applications to finance. These equations, first introduced by Pardoux and Peng (1990), are useful for the theory of contingent claim valuation, especially cases with constraints and for the theory of recursive utilities, introduced by Duffie and Epstein (1992a, 1992b).