Backward Stochastic Differential Equations in Finance

5 January 1997

journal article
Published by Wiley in Mathematical Finance

Vol. 7 (1) , 1-71
https://doi.org/10.1111/1467-9965.00022

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).

Keywords

BACKWARD STOCHASTIC EQUATION
MATHEMATICAL FINANCE
PRICING
HEDGING PORTFOLIOS
INCOMPLETE MARKET
CONSTRAINED PORTFOLIO
RECURSIVE UTILITY
STOCHASTIC CONTROL
VISCOSITY SOLUTION OF PDE
MALLIAVIN DERIVATIVE

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