Backward Stochastic Differential Equations in Finance

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). Copyright Blackwell Publishers Inc. 1997.

Optimal Consumption and Portfolio Selection with Stochastic Differential Utility

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