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Backward stochastic differential equations in finance. (English) Zbl 0884.90035

We are concerned with backward stochastic differential equations (BSDE) and with their applications to finance. These equations were introduced by Bismut (1973) for the linear case and by Pardoux and Peng (1990) in the general case. According to these authors, the solution of a BSDE consists of a pair of adapted processes (Y,Z) satisfying

-dY t =f(t,Y t ,Z t )dt-Z t * dW t ;Y T =ξ,

where f is the generator and ξ is the terminal condition. Actually, this type of equation appears in numerous problems in finance (as pointed out in Quenez’s doctorate 1993).


MSC:
91B28Finance etc. (MSC2000)
60H10Stochastic ordinary differential equations
91B62Growth models in economics