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On the Comparison and Uniqueness for Solutions of BSDEs with Continuous Coefficients
Backward stochastic differential equation comparison theorem uniqueness
2011/11/5
As we known that there may be more than one solution for backward stochastic differential equation with continuous coefficients and the comparison theorem for any solutions of two BSDEs does not hold ...
Necessary and Sufficient Conditions for Positive and Negative Solutions of BSDEs with Continuous Coefficients
Backward stochastic differential equation positive solution continuous coefficients
2011/11/5
As we know that, in stochastic finance, each pricing mechanism corresponds to a well-defined BSDE. The behaviors of g exert an influence to this mechanism. In some circumstances, to regulate or to des...
BSDEs in Utility Maximization with BMO Market Price of Risk
Quadratic BSDEs BMO Market Price of Risk Power Utility Maximization Dynamic Exponential Moments
2011/8/22
Abstract: This article studies quadratic semimartingale BSDEs arising in power utility maximization when the market price of risk is of BMO type. In a Brownian setting we provide a necessary and suffi...