Author
Liang, G
Lyons, T
Qian, Z
Journal title
Annals of Probability
DOI
10.1214/10-AOP588
Issue
4
Volume
39
Last updated
2023-12-18T00:53:38.943+00:00
Page
1422-1448
Abstract
We demonstrate that backward stochastic differential equations (BSDE) may be reformulated as ordinary functional differential equations on certain path spaces. In this framework, neither Itô's integrals nor martingale representation formulate are needed. This approach provides new tools for the study of BSDE, and is particularly useful for the study of BSDE with partial information. The approach allows us to study the following type of backward stochastic differential equations. © 2011 Institute of Mathematical Statistics.
Symplectic ID
179400
Favourite
On
Publication type
Journal Article
Publication date
01 Jul 2011
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