A Functional Approach to FBSDEs and Its Application in Optimal Portfolios

Mathematics – Probability

Scientific paper

Rate now

  [ 0.00 ] – not rated yet Voters 0   Comments 0

Details

26 pages

Scientific paper

In Liang et al (2009), the current authors demonstrated that BSDEs can be reformulated as functional differential equations, and as an application, they solved BSDEs on general filtered probability spaces. In this paper the authors continue the study of functional differential equations and demonstrate how such approach can be used to solve FBSDEs. By this approach the equations can be solved in one direction altogether rather than in a forward and backward way. The solutions of FBSDEs are then employed to construct the weak solutions to a class of BSDE systems (not necessarily scalar) with quadratic growth, by a nonlinear version of Girsanov's transformation. As the solving procedure is constructive, the authors not only obtain the existence and uniqueness theorem, but also really work out the solutions to such class of BSDE systems with quadratic growth. Finally an optimal portfolio problem in incomplete markets is solved based on the functional differential equation approach and the nonlinear Girsanov's transformation.

No associations

LandOfFree

Say what you really think

Search LandOfFree.com for scientists and scientific papers. Rate them and share your experience with other people.

Rating

A Functional Approach to FBSDEs and Its Application in Optimal Portfolios does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with A Functional Approach to FBSDEs and Its Application in Optimal Portfolios, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and A Functional Approach to FBSDEs and Its Application in Optimal Portfolios will most certainly appreciate the feedback.

Rate now

     

Profile ID: LFWR-SCP-O-117910

All data on this website is collected from public sources. Our data reflects the most accurate information available at the time of publication.