Backward stochastic differential equations and Feynman-Kac formula for Lévy processes, with applications in finance (Q5950044): Difference between revisions

Using a martingale representation theorem for Lévy processes satisfying some exponential moment conditions, the purpose of this paper is to establish the existence and uniqueness of solutions for backward stochastic differential equations driven by that type of Lévy processes. The resulting Clark-Ocone and Feynman-Kac formulae, and the related partial differential integral equation are fundamental ingredients and provide a Black-Scholes analogue for option pricing in a Lévy market.