Ιδρυματικό Αποθετήριο ΟΠΑ
Μόνιμο URI για αυτήν την κοινότηταhttps://beta-pyxida.aueb.gr/handle/123456789/1
Νέα
Αυτή είναι η κοινότητα από το παλιό σύστημα με ID:cid:1
Περιηγούμαι
Πλοήγηση Ιδρυματικό Αποθετήριο ΟΠΑ ανά Θέμα "(In-)Finite horizon random (FBSDE)"
Τώρα δείχνει 1 - 1 από 1
- Αποτελέσματα ανά σελίδα
- Επιλογές ταξινόμησης
Τεκμήριο Forward - backward stochastic differential equations with random coeffcients and applications to finance(13-07-2016) Kartala, Xanthi-Isidora; Athens University of Economics and Business, Department of Statistics; Yannacopoulos, AthanasiosThe 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.