Backward Stochastic Differential Equations and Feynman-Kac Formula for Levy Processes, with Applications in Finance
نویسندگان
چکیده
منابع مشابه
Feynman-kac Formulas, Backward Stochastic Differential Equations and Markov Processes
In this paper we explain the notion of stochastic backward differential equations and its relationship with classical (backward) parabolic differential equations of second order. The paper contains a mixture of stochastic processes like Markov processes and martingale theory and semi-linear partial differential equations of parabolic type. Some emphasis is put on the fact that the whole theory ...
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i Acknowledgements I would like to acknowledge the efforts of all the department members who have taught and advised me during the MSc course. In particular, I would like to show my greatest appreciation to Dr Lajos Gergely Gyurko and my supervisor Dr. Zhongmin Qian for their invaluable guidance and motivation through this dissertation. In addition, I would like to thank my girl friend and fami...
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ژورنال
عنوان ژورنال: Bernoulli
سال: 2001
ISSN: 1350-7265
DOI: 10.2307/3318541