{"title":"Explicit solutions for a class of nonlinear BSDEs and their nodal sets","authors":"Zengjing Chen, Shuhui Liu, Z. Qian, Xingcheng Xu","doi":"10.3934/puqr.2022017","DOIUrl":null,"url":null,"abstract":"In this paper, we investigate a class of nonlinear backward stochastic differential equations (BSDEs) arising from financial economics, and give specific information about the nodal sets of the related solutions. As applications, we are able to obtain the explicit solutions to an interesting class of nonlinear BSDEs including the k-ignorance BSDE arising from the modeling of ambiguity of asset pricing.","PeriodicalId":42330,"journal":{"name":"Probability Uncertainty and Quantitative Risk","volume":"8 1","pages":""},"PeriodicalIF":1.0000,"publicationDate":"2020-05-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"4","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Probability Uncertainty and Quantitative Risk","FirstCategoryId":"100","ListUrlMain":"https://doi.org/10.3934/puqr.2022017","RegionNum":2,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"STATISTICS & PROBABILITY","Score":null,"Total":0}
引用次数: 4
Abstract
In this paper, we investigate a class of nonlinear backward stochastic differential equations (BSDEs) arising from financial economics, and give specific information about the nodal sets of the related solutions. As applications, we are able to obtain the explicit solutions to an interesting class of nonlinear BSDEs including the k-ignorance BSDE arising from the modeling of ambiguity of asset pricing.
期刊介绍：
Probability, Uncertainty and Quantitative Risk (PUQR) is a quarterly academic journal under the supervision of the Ministry of Education of the People's Republic of China and hosted by Shandong University, which is open to the public at home and abroad (ISSN 2095-9672; CN 37-1505/O1).
Probability, Uncertainty and Quantitative Risk (PUQR) mainly reports on the major developments in modern probability theory, covering stochastic analysis and statistics, stochastic processes, dynamical analysis and control theory, and their applications in the fields of finance, economics, biology, and computer science. The journal is currently indexed in ESCI, Scopus, Mathematical Reviews, zbMATH Open and other databases.
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