Unicité des lois optimales du contrôle stochastique continu dans le cas complètement observable
Valuation and optimal design to defaultable security
Herein, we develop a backward stochastic differential equation (BSDE) valuation of securities with default risk. Consequently, the optimal recovery problem with quasi-linear utility functions is discussed with the help of the stochastic maximum principle. Finally, two important examples: the exponential and power utility cases are studied and their business implications are considered.
Глобальная устойчивость и дихотомия класса нелинейных систем со случайными параметрами.