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Stochastic Differentiation – A Generalized Approach

✍ Scribed by Mylan Redfern


Book ID
110294969
Publisher
Springer Netherlands
Year
2000
Tongue
English
Weight
102 KB
Volume
63
Category
Article
ISSN
0167-8019

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Backward stochastic differential equatio
✍ Chikvinidze, Besik 📂 Article 📅 2012 🏛 Walter de Gruyter GmbH & Co. KG 🌐 English ⚖ 340 KB

Backward stochastic differential equations (BSDEs) with convex generators of quadratic growth are considered. The existence of a solution is proved for such equations driven by a continuous martingale with unbounded characteristic. A suitable optimization problem is formulated and it is shown that t