کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
4616759 1339358 2013 11 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
BSDEs with polynomial growth generators in a defaultable market
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آنالیز ریاضی
پیش نمایش صفحه اول مقاله
BSDEs with polynomial growth generators in a defaultable market
چکیده انگلیسی
In this paper we study a backward stochastic differential equation (BSDE for short) driven by a Brownian motion and a jump martingale in a defaultable setting, with a polynomial growth generator. This kind of BSDE has important applications to the defaultable market. To demonstrate this in a strict way, we first prove the existence, uniqueness and uniform p(p≥2) estimate of its solution. Then two examples are given to illustrate its applications to recursive utility and contingent claim hedging.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Mathematical Analysis and Applications - Volume 404, Issue 2, 15 August 2013, Pages 459-469
نویسندگان
, , ,