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Explicit solutions for a class of nonlinear backward stochastic differential equations and their nodal sets
- Publication Year :
- 2020
-
Abstract
- In this paper, we investigate a class of nonlinear backward stochastic differential equations (BSDEs) arising from financial economics, and give specific information about the nodal sets of the related solutions. As applications, we are able to obtain the explicit solutions to an interesting class of nonlinear BSDEs including the k-ignorance BSDE arising from the modeling of ambiguity of asset pricing.
- Subjects :
- Mathematics - Probability
Subjects
Details
- Database :
- arXiv
- Publication Type :
- Report
- Accession number :
- edsarx.2006.00222
- Document Type :
- Working Paper
- Full Text :
- https://doi.org/10.3934/puqr.2022017