BSDEs driven by cylindrical martingales with application to approximate hedging in bond markets
Author:
Funder
Japan Society for the Promotion of Science
Publisher
Springer Science and Business Media LLC
Subject
Applied Mathematics,General Engineering
Link
https://link.springer.com/content/pdf/10.1007/s13160-020-00442-y.pdf
Reference19 articles.
1. Björk, T., Di Masi, G., Kabanov, Y., Runggaldier, W.: Towards a general theory of bond markets. Financ. Stoch. 1(2), 141–174 (1997). https://doi.org/10.1007/s007800050020
2. Buckdahn, R.: Backward stochastic differential equations. Option hedging under additional cost. In: Seminar on Stochastic Analysis, Random Fields and Applications (Ascona, 1993), Progr. Probab., vol. 36, pp. 307–318. Birkhäuser, Basel (1995)
3. Carbone, R., Ferrario, B., Santacroce, M.: Backward stochastic differential equations driven by càdlàg martingales. Teor. Veroyatn. Primen. 52(2), 375–385 (2007). https://doi.org/10.1137/S0040585X97983055
4. Carmona, R.A., Tehranchi, M.R.: Interest Rate Models: An Infinite Dimensional Stochastic Analysis Perspective. Springer, Berlin (2006)
5. Da Prato, G., Zabczyk, J.: Stochastic Equations in Infinite Dimensions, Encyclopedia of Mathematics and Its Applications, vol. 152, 2nd edn. Cambridge University Press, Cambridge (2014). https://doi.org/10.1017/CBO9781107295513
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