Degenerate backward SPDEs in bounded domains and applications to barrier options

DOI10.3934/dcds.2015.35.5317zbMath1335.60110OpenAlexW2525902322MaRDI QIDQ255494

Nikolai G. Dokuchaev

Publication date: 9 March 2016

Published in: Discrete and Continuous Dynamical Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/dcds.2015.35.5317

zbMATH Keywords

representation theoremoption pricingbackward stochastic partial differential equationsfirst exit times

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Ordinary differential equations and systems with randomness (34F05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Local time and additive functionals (60J55)

Related Items

On degenerate backward SPDEs in bounded domains under non-local conditions ⋮ First Order BSPDEs in Higher Dimension for Optimal Control Problems

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