| dc.date.accessioned | 2014-12-16T08:27:49Z | |
| dc.date.available | 2014-12-16T08:27:49Z | |
| dc.date.created | 2013-01-29T09:05:35Z | |
| dc.date.issued | 2012 | |
| dc.identifier.citation | Øksendal, Bernt Zhang, Tusheng . Backward stochastic differential equations with respect to general filtrations and applications to insider finance. Communications on Stochastic Analysis. 2012, 6(4), 703-722 | |
| dc.identifier.uri | http://hdl.handle.net/10852/41731 | |
| dc.description.abstract | In this paper, we study backward stochastic differential equations (BSDEs) with respect to general filtrations. We prove existence and uniqueness theorems for such BSDEs and we establish a comparison theorem. Reflected BSDEs with general filtration are also studied. The results are used to find the optimal consumption rate for an insider from a cash flow modeled as a generalized geometric Itˆo-L´evy process.
Communications on Stochastic Analysis 2012 ;Volum 6.(4) s. 703-722 https://www.math.lsu.edu/cosa/ Posted here with permission. | en_US |
| dc.language | EN | |
| dc.language.iso | en | en_US |
| dc.title | Backward stochastic differential equations with respect to general filtrations and applications to insider finance | en_US |
| dc.type | Journal article | en_US |
| dc.creator.author | Øksendal, Bernt | |
| dc.creator.author | Zhang, Tusheng | |
| cristin.unitcode | 185,15,13,0 | |
| cristin.unitname | Matematisk institutt | |
| cristin.ispublished | true | |
| cristin.fulltext | postprint | |
| cristin.qualitycode | 1 | |
| dc.identifier.cristin | 999540 | |
| dc.identifier.bibliographiccitation | info:ofi/fmt:kev:mtx:ctx&ctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.jtitle=Communications on Stochastic Analysis&rft.volume=6&rft.spage=703&rft.date=2012 | |
| dc.identifier.jtitle | Communications on Stochastic Analysis | |
| dc.identifier.volume | 6 | |
| dc.identifier.issue | 4 | |
| dc.identifier.startpage | 703 | |
| dc.identifier.endpage | 722 | |
| dc.identifier.urn | URN:NBN:no-46182 | |
| dc.type.document | Tidsskriftartikkel | en_US |
| dc.type.peerreviewed | Peer reviewed | |
| dc.source.issn | 0973-9599 | |
| dc.identifier.fulltext | Fulltext https://www.duo.uio.no/bitstream/handle/10852/41731/1/186%5B%C3%98Z%5DBSDE%2C3Sept2009.pdf | |
| dc.type.version | AcceptedVersion | |