Backward stochastic dynamics on a filtered probability space
We demonstrate that backward stochastic differential equations (BSDE) may be reformulated as ordinary functional differential equations on certain path spaces. In this framework, neither It\^{o}'s integrals nor martingale representation formulate are needed. This approach provides new tools for...
| Main Authors: | , , |
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| Format: | Journal article |
| Language: | English |
| Published: |
2009
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