Integrability of exonential process and its application to backward stochastic differential equations
Bujar Gashi, Jiajie Li
| Year of publication: |
2019
|
|---|---|
| Authors: | Gashi, Bujar ; Li, Jiajie |
| Published in: |
IMA journal of management mathematics. - Oxford : Univ. Press, ISSN 1471-6798, ZDB-ID 2045093-X. - Vol. 30.2019, 4, p. 335-365
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| Subject: | exponential process | unbounded coefficients | linear and Riccati BSDEs | market completeness | optimal investment | Stochastischer Prozess | Stochastic process | Analysis | Mathematical analysis | Portfolio-Management | Portfolio selection | Optionspreistheorie | Option pricing theory | Hedging |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/imaman/dpy008 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012101337