Integrability of exponential process and its application to backward stochastic differential equations

Gashi, Bujar and Li, Jiajie (2019) Integrability of exponential process and its application to backward stochastic differential equations. IMA JOURNAL OF MANAGEMENT MATHEMATICS, 30 (4). pp. 335-365.

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Official URL: http://dx.doi.org/10.1093/imaman/dpy008

Abstract

<jats:title>Abstract</jats:title> <jats:p>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.</jats:p>

Item Type:	Article
Additional Information:	## TULIP Type: Articles/Papers (Journal) ##
Uncontrolled Keywords:	exponential process, unbounded coefficients, linear and Riccati BSDEs, market completeness, optimal investment
Depositing User:	Symplectic Admin
Date Deposited:	04 Jun 2018 09:48
Last Modified:	19 Jan 2023 01:32
DOI:	10.1093/imaman/dpy008
Related URLs:	Author Publisher
URI:	https://livrepository.liverpool.ac.uk/id/eprint/3022139