2 papers
math.PR2014
Non-smooth analysis method in optimal investment- a BSDE approach
Helin Wu, Yong Ren
In this paper, our aim is to investigate necessary conditions for optimal investment. We model the wealth process by Backward differential stochastic equations (shortly for BSDE) w…
math.PR2010
Continuous dependence property of BSDE with constraints
Helin Wu, Yong Ren, Feng Hu
In this paper, we study continuous properties of adapted solutions for backward stochastic differential equations with constraints (CBSDEs in short). Comparing with many existing l…