Explicit solutions for a class of nonlinear backward stochastic differential equations and their nodal sets

Zengjing Chen; Shuhui Liu; Zhongmin Qian; Xingcheng Xu

doi:10.3934/puqr.2022017

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arXiv · 2006.00222

Explicit solutions for a class of nonlinear backward stochastic differential equations and their nodal sets

Zengjing Chen·Shuhui Liu·Zhongmin Qian·Xingcheng Xu

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Abstract

In this paper, we investigate a class of nonlinear backward stochastic differential equations (BSDEs) arising from financial economics, and give specific information about the nodal sets of the related solutions. As applications, we are able to obtain the explicit solutions to an interesting class of nonlinear BSDEs including the k-ignorance BSDE arising from the modeling of ambiguity of asset pricing.

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Zengjing Chen, Shuhui Liu, Zhongmin Qian, Xingcheng Xu. 2020-05-30. Explicit solutions for a class of nonlinear backward stochastic differential equations and their nodal sets. https://doi.org/10.3934/puqr.2022017

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