Athens University of Economics and Business, Department of Statistics
Random burgers equation
(In-)Finite horizon random (FBSDE)
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| Συλλογές | |
| Τίτλος |
Forward - backward stochastic differential equations with random coeffcients and applications to finance |
| Εναλλακτικός τίτλος |
Προδρομικές- οπισθοδρομικές στοχαστικές διαφορικές εξισώσεις με τυχαίους συντελεστές και εφαρμογές στα χρηματοοικονομικά |
| Δημιουργός |
Kartala, Xanthi-Isidora |
| Συντελεστής |
Yannacopoulos, Athanasios Athens University of Economics and Business, Department of Statistics |
| Τύπος |
Text |
| Φυσική περιγραφή |
164p. |
| Γλώσσα |
en |
| Περίληψη |
The first part of this thesis studies forward and backward versions of the random Burgers equation (RBE) with stochastic coeffcients. First, the celebrated Cole-Hopf transformation reduces the forward RBE to a forward random heat equation (RHE) that can be treated pathwise. Next we provide a connection between the backward Burgers equation and a system of forward backward stochastic differential equations (FBSDEs). Exploiting this connection, we derive a generalization of the Cole-Hopf transformation which links the backward RBE with the backward RHE and investigate the range of its applicability. Stochastic Feynman- Kac representations for the solutions are provided. Explicit solutions are constructed and applications to stochastic control and mathematical finance are discussed. |
| Λέξη κλειδί |
Stochastic Differential Equations (BSDEs) Random burgers equation (In-)Finite horizon random (FBSDE) |
| Ημερομηνία έκδοσης |
13-07-2016 |
| Άδεια χρήσης |
https://creativecommons.org/licenses/by/4.0/ |