Backward Stochastic Differential Equations in Finance

N. El Karoui,  S. Peng & M. C. Quenez

很有名的一篇综述文章，共71页。

Abstract
We are concerned with different properties of backward stochastic differential equations and their applications to finance. These equations, first introduced by Pardoux and Peng (1990), are useful for the theory of contingent claim valuation, especially cases with constraints and for the theory of recursive utilities, introduced by Duffie and Epstein (1992a, 1992b).

Keywords: backward stochastic equation, mathematical finance, pricing, hedging portfolios, incomplete market, constrained portfolio, recursive utility, stochastic control, viscosity solution of PDE, Malliavin derivative

能下到的同学自己去http://www.blackwell-synergy.com/loi/mafi下吧。下不到的就买下面的吧。连5块钱都没有的，把email留下面，我回头发给你们。

[此贴子已经被作者于2008-5-25 1:09:37编辑过]