Explicit solutions for a class of nonlinear BSDEs and their nodal sets

IF 1 2区数学 Q3 STATISTICS & PROBABILITY

Probability Uncertainty and Quantitative Risk Pub Date : 2020-05-30 DOI:10.3934/puqr.2022017

Zengjing Chen, Shuhui Liu, Z. Qian, Xingcheng Xu

引用次数: 4

Abstract

In this paper, we investigate a class of nonlinear backward stochastic differential equations (BSDEs) arising from financial economics, and give specific information about the nodal sets of the related solutions. As applications, we are able to obtain the explicit solutions to an interesting class of nonlinear BSDEs including the k-ignorance BSDE arising from the modeling of ambiguity of asset pricing.

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一类非线性BSDEs及其节点集的显式解

本文研究了金融经济学中出现的一类非线性后向随机微分方程(BSDEs)，给出了相关解的节点集的具体信息。作为应用，我们能够得到一类有趣的非线性BSDE的显式解，其中包括由资产定价模糊性建模引起的k-无知BSDE。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Probability Uncertainty and Quantitative Risk STATISTICS & PROBABILITY-

CiteScore

1.60

自引率

13.30%

发文量

审稿时长

12 weeks

期刊介绍： Probability, Uncertainty and Quantitative Risk (PUQR) is a quarterly academic journal under the supervision of the Ministry of Education of the People's Republic of China and hosted by Shandong University, which is open to the public at home and abroad (ISSN 2095-9672; CN 37-1505/O1). Probability, Uncertainty and Quantitative Risk (PUQR) mainly reports on the major developments in modern probability theory, covering stochastic analysis and statistics, stochastic processes, dynamical analysis and control theory, and their applications in the fields of finance, economics, biology, and computer science. The journal is currently indexed in ESCI, Scopus, Mathematical Reviews, zbMATH Open and other databases.