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Quadratic Semimartingale BSDEs Under an Exponential Moments Condition · Study

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ChapterQuadratic Semimartingale BSDEs Under an Exponential Moments Condition

Markus Mocha2012

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Chaptergreen2012

Quadratic Semimartingale BSDEs Under an Exponential Moments Condition

Markus Mocha · Nicholas Westray

26 citations·0/0 files stored·Lecture notes in mathematics

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Stochastic processes and financial applications Nonlinear Differential Equations Analysis Fuzzy Systems and Optimization

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References

2005Stochastic Integration and Differential Equations 1990Adapted solution of a backward stochastic differential equation 2003Limit Theorems for Stochastic Processes 1997Backward Stochastic Differential Equations in Finance 2000Backward stochastic differential equations and partial differential equations with quadratic growth 2000Pricing Via Utility Maximization and Entropy 2005Utility maximization in incomplete markets 1994Continuous Exponential Martingales and BMO

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Details

Year2012

Typechapter

Published2012-01-01

VenueLecture notes in mathematics

ISSN-L0075-8434

Languageen

Citations26

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/978-3-642-27461-9_5

openalex_workW1537667986

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