英文标题：
《BSDEs driven by cylindrical martingales with application to approximate
hedging in bond markets》
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作者：
Yushi Hamaguchi
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最新提交年份：
2018
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英文摘要：
We consider Lipschitz-type backward stochastic differential equations (BSDEs) driven by cylindrical martingales on the space of continuous functions. We show the existence and uniqueness of the solution of such infinite-dimensional BSDEs and prove that the sequence of solutions of corresponding finite-dimensional BSDEs approximates the original solution. We also consider the hedging problem in bond markets and prove that, for an approximately attainable contingent claim, the sequence of locally risk-minimizing strategies based on small markets converges to the generalized hedging strategy.
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中文摘要：
我们研究了连续函数空间上由柱鞅驱动的Lipschitz型倒向随机微分方程。我们证明了这种无限维盲分离方程解的存在性和唯一性，并证明了相应的有限维盲分离方程的解序列近似于原解。我们还考虑了债券市场中的套期保值问题，证明了对于一个近似可实现的或有权益，基于小市场的局部风险最小化策略序列收敛于广义套期保值策略。
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分类信息：

一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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