Affiliation:
1. Department of Mathematical Sciences, The University of Liverpool, Liverpool, UK
Abstract
Abstract
We consider the integrability problem of an exponential process with unbounded coefficients. The integrability is established under weaker conditions of Kazamaki type, which complements the results of Yong obtained under a Novikov type condition. As applications, we consider the solvability of linear backward stochastic differential equations (BSDEs) and market completeness, the solvability of a Riccati BSDE and optimal investment, all in the setting of unbounded coefficients.
Publisher
Oxford University Press (OUP)
Subject
Applied Mathematics,Management Science and Operations Research,Strategy and Management,General Economics, Econometrics and Finance,Modelling and Simulation,Management Information Systems
Cited by
8 articles.
订阅此论文施引文献
订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. Optimal Investment in a Market with Borrowing, Unbounded Random Coefficients, and a Random Time-Horizon;2024 UKACC 14th International Conference on Control (CONTROL);2024-04-10
2. Optimal Financial Benchmark Tracking in a Market with Unbounded Random Coefficients;2023 9th International Conference on Control, Decision and Information Technologies (CoDIT);2023-07-03
3. Optimal Investment in a Market with Borrowing and a Combined Interest Rate Model;2023 9th International Conference on Control, Decision and Information Technologies (CoDIT);2023-07-03
4. Optimal investment in a market with borrowing, unbounded random coefficients, and a combined interest rate model;2023 European Control Conference (ECC);2023-06-13
5. Robust risk‐sensitive control;International Journal of Robust and Nonlinear Control;2023-02-28