Degenerate backward SPDEs in bounded domains and applications to barrier options
option pricingbackward stochastic partial differential equationsfirst exit timesrepresentation theorem
Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) PDEs with randomness, stochastic partial differential equations (35R60) Local time and additive functionals (60J55) Financial applications of other theories (91G80)
- On degenerate backward SPDEs in bounded domains under non-local conditions
- Adapted solution of a degenerate backward SPDE, with applications
- scientific article; zbMATH DE number 1159166
- On linear, degenerate backward stochastic partial differential equations
- On semi-linear degenerate backward stochastic partial differential equations
- scientific article; zbMATH DE number 3984248 (Why is no real title available?)
- scientific article; zbMATH DE number 3720745 (Why is no real title available?)
- scientific article; zbMATH DE number 48405 (Why is no real title available?)
- scientific article; zbMATH DE number 1245556 (Why is no real title available?)
- scientific article; zbMATH DE number 1302005 (Why is no real title available?)
- scientific article; zbMATH DE number 1095739 (Why is no real title available?)
- scientific article; zbMATH DE number 218611 (Why is no real title available?)
- scientific article; zbMATH DE number 791177 (Why is no real title available?)
- A duality analysis on stochastic partial differential equations
- A first-order BSPDE for swing option pricing
- Adapted solution of a degenerate backward SPDE, with applications
- Backward parabolic Ito equations and the second fundamental inequality
- Boundary Value Problems for Functionals of Itô Processes
- Duality and semi-group property for backward parabolic Itô equations
- Ergodicity of 2D Navier-Stokes equations with random forcing and large viscosity
- Estimates for distances between first exit times via parabolic equations in unbounded cylinders
- Estimates for first exit times of non-Markovian Itô processes
- Existence and uniqueness results for semilinear stochastic partial differential equations
- Existence, uniqueness and invariant measures for stochastic semilinear equations on Hilbert spaces
- Exponentially stable stationary solutions for stochastic evolution equations and their perturba\-tion
- Fully Nonlinear Stochastic Partial Differential Equations
- Invariant manifolds for stochastic partial differential equations.
- On linear, degenerate backward stochastic partial differential equations
- On processes of ornstein-uhlenbeck type in hilbert space
- On semi-linear degenerate backward stochastic partial differential equations
- On solutions of first order stochastic partial differential equations
- Parabolic Ito Equations with Mixed in Time Conditions
- Parabolic Ito equations and second fundamental inequality
- Pricing Barrier Options with Time–Dependent Coefficients
- REPRESENTATION OF PATHWISE STATIONARY SOLUTIONS OF STOCHASTIC BURGERS' EQUATIONS
- Random periodic solutions of SPDEs via integral equations and Wiener-Sobolev compact embedding
- Representation of functionals of Itô processes and their first exit times
- Stochastic heat equation with random coefficients
- Strong solution of backward stochastic partial differential equations in \(C ^{2}\) domains
- The boundary value problems of mathematical physics. Transl. from the Russian by Jack Lohwater
- The stable manifold theorem for semilinear stochastic evolution equations and stochastic partial differential equations
- White noise driven parabolic SPDEs with measurable drift
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