Backward stochastic differential equations (BSDEs) arise in many financial problems. Although there exists a growing number of papers considering general financial markets, the theory of BSDEs has been developed just in the Brownian setting. We consider BSDEs driven by an R(d)-valued cadlag martingale and we study the properties of the solutions in the case of a, possibly nonuniform, Lipschitz generator.
Backward Stochastic Differential Equations driven by càdlàg martingales
CARBONE, RAFFAELLA;FERRARIO, BENEDETTA;
2008-01-01
Abstract
Backward stochastic differential equations (BSDEs) arise in many financial problems. Although there exists a growing number of papers considering general financial markets, the theory of BSDEs has been developed just in the Brownian setting. We consider BSDEs driven by an R(d)-valued cadlag martingale and we study the properties of the solutions in the case of a, possibly nonuniform, Lipschitz generator.File in questo prodotto:
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