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...

書誌詳細
第一著者:	Liang, G
その他の著者:	Lyons, T
フォーマット:	学位論文
言語:	English
出版事項:	2010
主題:	Mathematics Probability theory and stochastic processes Mathematical finance

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