Backward stochastic differential equations with constraints on the gains-process

• 成果类型: Article
• 署名作者: Cvitanic, J; Karatzas, I; Soner, HM
• 署名单位: Columbia University; Columbia University; Bogazici University
• 刊物名称: ANNALS OF PROBABILITY
• ISSN/ISSBN: 0091-1798
• 发表日期: 1998
• 页码: 1522-1551
• 关键词: games

摘要

We consider backward stochastic differential equations with convex constraints on the gains (or intensity-of-noise) process. Existence and uniqueness of a minimal solution are established in the case of a drift coefficient which is Lipschitz continuous in the state and gains processes and convex in the gains process. It is also shown that the minimal solution can be characterized as the unique solution of a functional stochastic control-type equation. This representation is related to the penalization method for constructing solutions of stochastic differential equations, involves change of measure techniques, and employs notions and results from convex analysis, such as the support function of the convex set of constraints and its various properties.