Backward stochastic differential equations and Feynman-Kac formula for Lévy processes, with applications in finance
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Publication:5950044
DOI10.2307/3318541zbMath0991.60045OpenAlexW2039963627MaRDI QIDQ5950044
Publication date: 14 August 2002
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/3318541
Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Microeconomic theory (price theory and economic markets) (91B24)
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