Degenerate backward SPDEs in bounded domains and applications to barrier options (Q255494): Difference between revisions

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Property / author: Nikolai G. Dokuchaev / rank
 
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Property / full work available at URL: https://doi.org/10.3934/dcds.2015.35.5317 / rank
 
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Latest revision as of 14:45, 11 July 2024

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Degenerate backward SPDEs in bounded domains and applications to barrier options
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    Degenerate backward SPDEs in bounded domains and applications to barrier options (English)
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    9 March 2016
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    backward stochastic partial differential equations
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    representation theorem
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    first exit times
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    option pricing
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