Backward stochastic differential equations in finance
Backward stochastic differential equations in finance
复制标题
DOI：
10.1111/1467-9965.00022
复制
发表时间：
1997-01-01
影响因子：
1.6
通讯作者：
Quenez, MC
中科院分区：
文献类型：
--
作者：
El Karoui, N;Peng, S;Quenez, MC
我们关注倒向随机微分方程的不同性质及其在金融中的应用。这些方程是由Pardoux和Peng(1990)首先提出的，对于未定理赔估价理论，特别是有约束的情形和Duffie和Epstein(1992a，1992b)提出的递归效用理论是有用的。
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).