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...
| Hoofdauteurs: | , , |
|---|---|
| Formaat: | Journal article |
| Taal: | English |
| Gepubliceerd in: |
2009
|