论文信息 - Backward stochastic viability and related properties on Z for BSDEs with applications

Backward stochastic viability and related properties on Z for BSDEs with applications

This paper investigates some important properties of Z, the martingale integrant of the backward stochastic differential equations, which is the second process of the solution. These include the backward stochastic viability property, bounded property and the comparison theorem. To explain the theoretical results, the authors apply them to study a financial contingent claim pricing problem. The replication portfolio process can be characterized clearly.

Zhen Wu | Zhiyong Yu

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