Backward Stochastic Differential Equations in Finance

N. El Karoui, S. Peng, M. C. Quenez

Source record

Source: Crossref

Published: Jan 1, 1997

DOI: 10.1111/1467-9965.00022

Open original source ↗

Source abstract

We are concerned with different properties of backward stochastic differential equations and their applications to finance. These equations, first introduced by Pardoux and Peng (1990), are useful for the theory of contingent claim valuation, especially cases with constraints and for the theory of recursive utilities, introduced by Duffie and Epstein (1992a, 1992b).

Evidence graph

No public relationships recorded yet.

Integrity note: This page is a factual metadata record created by deterministic ingestion. It is not a claim that the work moves a mathematical frontier or has been independently verified.