Backward stochastic differential equations with stopping time as time horizon
Probability
2013-08-30 v1 Statistics Theory
Statistics Theory
Abstract
In this paper, we introduce a new method for study on backward stochastic differential equations with stopping time as time horizon. And using this, we show that some results on backward stochastic differential equations with constant time horizon are generalized to the case of random time horizon.
Keywords
Cite
@article{arxiv.1308.6379,
title = {Backward stochastic differential equations with stopping time as time horizon},
author = {Mun-Chol Kim and Chol-Kyu Pak},
journal= {arXiv preprint arXiv:1308.6379},
year = {2013}
}
Comments
9 pages