On Backward Stochastic Differential Equations (BSDEs) with jumps of infinite activity (eBook)

Martin Büttner (Autor)

eBook Download: PDF

2016 | 1. Auflage
71 Seiten
GRIN Verlag
978-3-668-23306-5 (ISBN)

Infos

Diploma Thesis from the year 2011 in the subject Mathematics - Stochastics, grade: 1,0, Humboldt-University of Berlin (Mathematik), language: English, abstract: This diploma thesis is concerned with backward stochastic differential equations (BSDEs) with jumps which are driven by a Brownian Motion and a random measure. We derive existence and uniqueness results for bounded solutions to such BSDEs when the generator posses a certain monotonicity property instead of the usual global Lipschitz condition. Starting with results in the case of finite activity, considering generators of difference type and showing a comparison theorem, allows us to advance to the case of infinite activity.

Produkt-Details

• Erscheint lt. Verlag: 3.6.2016
• Verlagsort: München
• Sprache: englisch
• Themenwelt: Mathematik / Informatik ► Mathematik ► Statistik
• Themenwelt: Mathematik / Informatik ► Mathematik ► Wahrscheinlichkeit / Kombinatorik
• Themenwelt: Technik
• Schlagworte: BSDE • BSDEs • Jumps • SDE • Sprünge • Stochastic differential equations • stochastische Differentialgleichungen
• ISBN-10: 3-668-23306-3 / 3668233063
• ISBN-13: 978-3-668-23306-5 / 9783668233065