کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
4624338 1339542 2006 24 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Completeness of security markets and solvability of linear backward stochastic differential equations
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آنالیز ریاضی
پیش نمایش صفحه اول مقاله
Completeness of security markets and solvability of linear backward stochastic differential equations
چکیده انگلیسی

For a standard Black–Scholes type security market, completeness is equivalent to the solvability of a linear backward stochastic differential equation (BSDE, for short). An ideal case is that the interest rate is bounded, there exists a bounded risk premium process, and the volatility matrix has certain surjectivity. In this case the corresponding BSDE has bounded coefficients and it is solvable leading to the completeness of the market. However, in general, the risk premium process and/or the interest rate could be unbounded. Then the corresponding BSDE will have unbounded coefficients. For this case, do we still have completeness of the market? The purpose of this paper is to discuss the solvability of BSDEs with possibly unbounded coefficients, which will result in the completeness of the corresponding market.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Mathematical Analysis and Applications - Volume 319, Issue 1, 1 July 2006, Pages 333-356