Backward Stochastic Differential Equations in Finance

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). Copyright Blackwell Publishers Inc. 1997.

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Year of publication:	1997
Authors:	Karoui, N. El ; Peng, S. ; Quenez, M. C.
Published in:	Mathematical Finance. - Wiley Blackwell, ISSN 0960-1627. - Vol. 7.1997, 1, p. 1-71
Publisher:	Wiley Blackwell

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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