Backward stochastic differential equations and Feynman-Kac formula for Lévy processes, with applications in finance (Q5950044): Difference between revisions
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Latest revision as of 00:06, 20 March 2024
scientific article; zbMATH DE number 1679513
| Language | Label | Description | Also known as |
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| English | Backward stochastic differential equations and Feynman-Kac formula for Lévy processes, with applications in finance |
scientific article; zbMATH DE number 1679513 |
Statements
Backward stochastic differential equations and Feynman-Kac formula for Lévy processes, with applications in finance (English)
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14 August 2002
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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.
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backward stochastic differential equations
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Lévy process
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option pricing
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