Explicit solutions for a class of nonlinear BSDEs and their nodal sets  

作　　者：Zengjing Chen Shuhui Liu Zhongmin Qian Xingcheng Xu 

机构地区：[1]School of Mathematics,Shandong University,Jinan 250100,China [2]Mathematical Institute,University of Oxford,Oxford OX26GG,United Kingdom [3]School of Mathematical Sciences,Peking University,Beijing 100871,China [4]Shanghai AI Laboratory,Shanghai 200032,China

出　　处：《Probability, Uncertainty and Quantitative Risk》2022年第4期283-300,共18页概率、不确定性与定量风险（英文）

基　　金：This paper was originally exhibited in 2020(arXiv:2006.00222)。

摘　　要：In this paper,we investigate a class of nonlinear backward stochastic differential equations(BSDEs)arising from financial economics,and give the sign of corresponding solution.Furthermore,we are able to obtain explicit solutions to an interesting class of nonlinear BSDEs,including the k-ignorance BSDE arising from the modeling of ambiguity of asset pricing.Moreover,we show its applications in PDEs and contingent pricing in an incomplete market.

关 键 词：Explicit solution Feynman-Kac formula Girsanov’s formula Nodal set Nonlinear BSDE Parabolic equation Tanaka’s formula. 

分 类 号：O175[理学—数学] F83[理学—基础数学]