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A maximum principle for forward-backward stochastic Volterra integral equations and applications in finance
Forward-backward stochastic Volterra integral equations Adapted
2010/10/20
This paper formulates and studies a stochastic maximum principle for forward-backward stochastic Volterra integral equations (FBSVIEs in short), while the control area is assumed to be convex. Then a ...
Applications of time-delayed backward stochastic differential equations to pricing, hedging and management of financial and insurance risks
backward stochastic differential equations participating contracts
2010/10/20
In this paper we investigate novel applications of a new class of equations which we call time-delayed backward stochastic differential equations. Time-delayed BSDEs may arise when we want to find a ...
Reflected Backward Stochastic Difference Equations with Finite State and their applications
BSDE RBSDE Comparison Theorem g-martingale
2010/10/18
In this paper, we first establish the reflected backward stochastic difference equations with finite state (FS-RBSDEs for short). Then we explore the Existence and Uniqueness Theorem as well as the Co...
Reflected backward stochastic differential equations and a class of non linear dynamic pricing rule
stochastic differential equations non linear dynamic pricing rule
2010/12/13
In that paper, we provide a new characterization of the solutions of specific reflected backward stochastic differential equations (or RBSDEs) whose driver $g$ is convex and has quadratic growth in i...
Backward Stochastic PDEs related to the utility maximization problem
Backward Stochastic PDEs utility maximization problem
2010/12/20
We study utility maximization problem for general utility functions using dynamic programming approach. We consider an incomplete financial market model, where the dynamics of asset prices are descri...