๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

Completeness of security markets and backward stochastic differential equations with unbounded coefficients

โœ Scribed by J. Yong


Publisher
Elsevier Science
Year
2005
Tongue
English
Weight
147 KB
Volume
63
Category
Article
ISSN
0362-546X

No coin nor oath required. For personal study only.


๐Ÿ“œ SIMILAR VOLUMES


A Stochastic Differential Equation with
โœ B.V.R. Bhat; K.B. Sinha ๐Ÿ“‚ Article ๐Ÿ“… 1993 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 511 KB

Unitary solutions of a class of stochastic equations (SDE) in Fock space with time-dependent unbounded operator coefficients are constructed as a limit of a random Trotter Kato product. Some special cases of quantum stochastic differential equations are studied as an application. 1993 Academic Press

Comparison theorem for solutions of back
โœ Jicheng Liu; Jiagang Ren ๐Ÿ“‚ Article ๐Ÿ“… 2002 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 106 KB

Comparison theorems for solutions of one-dimensional backward stochastic di erential equations were established by Peng and Cao-Yan, where the coe cients were, respectively, required to be Lipschitz and Dini continuous. In this work, we generalize the comparison theorem to the case where the coe cie

On solutions of backward stochastic diff
โœ Rong Situ ๐Ÿ“‚ Article ๐Ÿ“… 2002 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 141 KB

Existence and uniqueness is established for solutions to backward stochastic di erential equations with jumps and non-Lipschitzian coe cients in Hilbert space. The results are used to solve some special types of optimal stochastic control problems with respect to certain BSDEs with jumps in Hilbert