Applications of forward-backward stochastic differential equations to financial modelling

在金融模型中，假设唯一可用于决策的信息是现在和过去的信息。否则，投资者将能够以正概率获得无风险利润。金融市场的数学模型通常被认为是不适定的，如果它们考虑了无风险利润的正概率。然而，我们认识到，关于某些衍生证券价格未来行为的一些信息对所有市场参与者都是可用的，必须被视为一条最新信息。最简单的例子是，债券的赎回价值在发行时是已知的。

In financial modelling it is assumed that the only information which can be used in decision making is present and past information. Otherwise, investors would be able to make riskless profits with positive probability. Mathematical models of financial markets are usually considered ill-posed if they allow for riskless profits with positive probability. Nevertheless, we recognize that some information about the future behaviour of certain derivative security prices is available to all market participants and must be regarded as a piece of current information. The simplest example is that the redemption value of a bond is known at issue.