Non-linear pricing theory and backward stochastic differential equations
作者： Bruno Biais , Thomas Björk , Jakša Cvitanić , Nicole El Karoui , Elyés Jouini
DOI: 10.1007/BFB0092001
关键词: Incomplete markets 、 Stochastic differential equation 、 Arbitrage pricing theory 、 Mathematical economics 、 Applied mathematics 、 Nonlinear system 、 Mathematics 、 Mathematical finance 、 Kolmogorov equations (Markov jump process) 、 Backward differentiation formula 、 Stochastic partial differential equation
摘要: … In general, an attainable contingent claim may be replicated by an infinite number of self-financing strategies 5. Using the theory of backward stochastic differential equations, we will …
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