Record Detail
Advanced Search
Text
Backward Stochastic Differential Equations with Jumps and Their Actuarial and Financial Applications: BSDEs with Jumps
- Share to:
Description Not Available
Availability
No copy data
Detail Information
| Series Title |
EAA Series
|
|---|---|
| Call Number |
-
|
| Publisher | Springer : England., 2013 |
| Collation |
-
|
| Language |
English
|
| ISBN/ISSN |
978-1447153306
|
| Classification |
NONE
|
| Content Type |
text
|
| Media Type |
-
|
|---|---|
| Carrier Type |
-
|
| Edition |
-
|
| Subject(s) | |
| Specific Detail Info |
We investigate a backward SDE with a generator and a terminal condition which depend on the state of a Markov process solving a forward SDE driven by a Brownian motion and a compensated Poisson random measure. Such an equation is called a forward-backward SDE. In the Markovian setting we show that the unique solution to a backward SDE can be written as a function of a forward state process. We derive formulas for the control processes by applying the Itô’s formula and the Malliavin calculus. We establish the connection between the solution to a BSDE and the viscosity solution to a partial integro-differential equation. A generalization of the Feynman-Kac formula is given. We also deal with a coupled forward-backward SDE in which a solution to the backward component also affects the forward component.
|
| Statement of Responsibility |
-
|
Other version/related
No other version available
File Attachment
Information
Web Online Public Access Catalog - Use the search options to find documents quickly