RCLL鞅驱动的BSDEs的存在唯一性及严格比较定理

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY

Accounts of Chemical Research Pub Date : 2021-01-01 DOI:10.3934/puqr.2021016

Tianyang Nie, M. Rutkowski

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引用次数: 1

摘要

给出了由多维RCLL鞅驱动的BSDE解的存在性、唯一性和严格比较性。目标是开发一个通用的多资产框架，包括广泛的具有跳跃的非线性金融模型，包括彭和徐[27,28]和Dumitrescu等人[7]研究的设置，他们处理由一维布朗运动和具有单跳的纯不连续鞅驱动的BSDEs。

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Existence, uniqueness and strict comparison theorems for BSDEs driven by RCLL martingales

The existence, uniqueness, and strict comparison for solutions to a BSDE driven by a multi-dimensional RCLL martingale are developed. The goal is to develop a general multi-asset framework encompassing a wide spectrum of non-linear financial models with jumps, including as particular cases, the setups studied by Peng and Xu [27, 28] and Dumitrescu et al. [7] who dealt with BSDEs driven by a one-dimensional Brownian motion and a purely discontinuous martingale with a single jump.

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来源期刊

Accounts of Chemical Research 化学-化学综合

CiteScore

31.40

自引率

1.10%

发文量

312

审稿时长

2 months

期刊介绍： Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.