





















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.
此内容由惯性聚合(RSS阅读器)自动聚合整理,仅供阅读参考。 原文来自 — 版权归原作者所有。