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Backward stochastic dynamics on a filtered probability space

Abstract:

We demonstrate that backward stochastic differential equations (BSDE) may be reformulated as ordinary functional differential equations on certain path spaces. In this framework, neither It\^{o}'s integrals nor martingale representation formulate are needed. This approach provides new tools for the study of BSDE, and is particularly useful for the study of BSDE with partial information. The approach allows us to study the following type of backward stochastic differential equations: \[dY_t^j=...

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Publication status:
Published

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Publisher copy:
10.1214/10-AOP588

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More by this author
Institution:
University of Oxford
Division:
SSD
Department:
Divisional Administration
Sub department:
Oxford-Man Institute
Role:
Author
More by this author
Institution:
University of Oxford
Division:
MPLS
Department:
Mathematical Institute
Role:
Author
Journal:
Annals of Probability
Volume:
39
Issue:
4
Pages:
1422-1448
Publication date:
2009-04-02
DOI:
ISSN:
0091-1798
Source identifiers:
179400
Language:
English
Keywords:
Pubs id:
pubs:179400
UUID:
uuid:5ca9e176-3c5e-4003-bb8c-fa631107847f
Local pid:
pubs:179400
Deposit date:
2012-12-19

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