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

Martin Büttner (Autor)

Buch | Softcover

76 Seiten

2016 | 16001 A. 1. Auflage
GRIN Verlag
978-3-668-23307-2 (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

• Erscheinungsdatum: 14.08.2016
• Sprache: englisch
• Maße: 148 x 210 mm
• Gewicht: 122 g
• Themenwelt: Mathematik / Informatik ► Mathematik ► Wahrscheinlichkeit / Kombinatorik
• Schlagworte: BSDE • BSDEs • Jumps • SDE • Sprünge • Stochastic differential equations • stochastische Differentialgleichungen • Wahrscheinlichkeitsrechnung und Statistik
• ISBN-10: 3-668-23307-1 / 3668233071
• ISBN-13: 978-3-668-23307-2 / 9783668233072
• Zustand: Neuware