Backward stochastic difference equations on lattices with application to market equilibrium analysis
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arXiv
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| Auteurs principaux: | , , |
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| Format: | Preprint |
| Publié: |
2023
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| _version_ | 1866918286681178112 |
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| author | Fukasawa, Masaaki Sato, Takashi Sekine, Jun |
| author_facet | Fukasawa, Masaaki Sato, Takashi Sekine, Jun |
| contents | We study backward stochastic difference equations (BSΔE) driven by a d-dimensional stochastic process on a lattice whose increments have only d + 1 possible values that generates the lattice. Regarding the driving process as a d dimensional asset price process, we give applications to an optimal investment problem and a market equilibrium analysis, where utility functionals are defined through BSΔE. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2312_10883 |
| institution | arXiv |
| publishDate | 2023 |
| record_format | arxiv |
| spellingShingle | Backward stochastic difference equations on lattices with application to market equilibrium analysis Fukasawa, Masaaki Sato, Takashi Sekine, Jun Probability General Finance We study backward stochastic difference equations (BSΔE) driven by a d-dimensional stochastic process on a lattice whose increments have only d + 1 possible values that generates the lattice. Regarding the driving process as a d dimensional asset price process, we give applications to an optimal investment problem and a market equilibrium analysis, where utility functionals are defined through BSΔE. |
| title | Backward stochastic difference equations on lattices with application to market equilibrium analysis |
| topic | Probability General Finance |
| url | https://arxiv.org/abs/2312.10883 |