Backward Stochatic Differential Equations II

2005/12/07 by Fabrice Blache, F. Blache, Blache, Fabrice
Economics, Econometrics and Finance · Mathematics · #FOS: Mathematics #Geometric Analysis and Curvature Flows #MSC (2000) 58J65 34F05 60G48 #Probability (math.PR) #Stochastic processes and financial applications #math.PR #msc:34F05 #msc:58J65 #msc:60G48

paper · pdf · doi:10.48550/arxiv.math/0512145

29 pages, to appear in "Probability Theory and Related Fields"

arxiv created 2005/12/07 · openalex publication_date 2005/12/07 · arxiv updated 2009/12/01 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

In a preceding article, we have studied a generalization of the problem of finding a martingale on a manifold whose terminal value is known. This article completes the results obtained in the first article by providing uniqueness and existence theorems in a general framework (in particular if positive curvatures are allowed), still using differential geometry tools.

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