ΠΥΞΙΔΑ Ιδρυματικό Αποθετήριο
και Ψηφιακή Βιβλιοθήκη
Συλλογές :

Τίτλος :Forward - backward stochastic differential equations with random coeffcients and applications to finance
Εναλλακτικός τίτλος :Προδρομικές- οπισθοδρομικές στοχαστικές διαφορικές εξισώσεις με τυχαίους συντελεστές και εφαρμογές στα χρηματοοικονομικά
Δημιουργός :Kartala, Xanthi-Isidora
Συντελεστής :Yannakopoulos, Athanasios (Επιβλέπων καθηγητής)
Athens University of Economics and Business, Department of Statistics (Degree granting institution)
Τύπος :Text
Φυσική περιγραφή :164 p.
Γλώσσα :en
Περίληψη :The first part of this thesis studies forward and backward versions of the random Burgers equation (RBE) with stochastic coeffcients. First, the celebrated Cole-Hopf transformation reduces the forward RBE to a forward random heat equation (RHE) that can be treated pathwise. Next we provide a connection between the backward Burgers equation and a system of forward backward stochastic differential equations (FBSDEs). Exploiting this connection, we derive a generalization of the Cole-Hopf transformation which links the backward RBE with the backward RHE and investigate the range of its applicability. Stochastic Feynman- Kac representations for the solutions are provided. Explicit solutions are constructed and applications to stochastic control and mathematical finance are discussed.
Λέξη κλειδί :Stochastic Differential Equations (BSDEs)
Random burgers equation
(In-)Finite horizon random (FBSDE)
Ημερομηνία έκδοσης :13-07-2016
Άδεια χρήσης :

Αρχείο: Kartala_2016.pdf

Τύπος: application/pdf