A functional approach to backward stochastic dynamics

A functional approach to backward stochastic dynamics

<p>In this thesis, we consider a class of stochastic dynamics running backwards, so called backward stochastic differential equations (BSDEs) in the literature. We demonstrate BSDEs can be reformulated as functional differential equations defined on path spaces, and therefore solving BSDEs is...

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Manylion Llyfryddiaeth
Prif Awdur:	Liang, G
Awduron Eraill:	Lyons, T
Fformat:	Traethawd Ymchwil
Iaith:	English
Cyhoeddwyd:	2010
Pynciau:	Mathematics Probability theory and stochastic processes Mathematical finance

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