Degenerate backward SPDEs in bounded domains and applications to barrier options
Backward stochastic partial differential equations of parabolic type in bounded domains are studied in the setting where the coercivity condition is not necessary satisfied. Generalized solutions based on the representation theorem are suggested. Some regularity is derived from the regularity of th...
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| Format: | Journal Article |
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American Institute of Mathematical Sciences
2015
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| Online Access: | http://hdl.handle.net/20.500.11937/38914 |
| _version_ | 1848755448424955904 |
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| author | Dokuchaev, Nikolai |
| author_facet | Dokuchaev, Nikolai |
| author_sort | Dokuchaev, Nikolai |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | Backward stochastic partial differential equations of parabolic type in bounded domains are studied in the setting where the coercivity condition is not necessary satisfied. Generalized solutions based on the representation theorem are suggested. Some regularity is derived from the regularity of the first exit times of non-Markov characteristic processes. Uniqueness, solvability and regularity results are obtained. Applications to pricing and hedging of European barrier options are considered. |
| first_indexed | 2025-11-14T08:56:28Z |
| format | Journal Article |
| id | curtin-20.500.11937-38914 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T08:56:28Z |
| publishDate | 2015 |
| publisher | American Institute of Mathematical Sciences |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-389142017-09-13T16:05:51Z Degenerate backward SPDEs in bounded domains and applications to barrier options Dokuchaev, Nikolai backward SPDEs option pricing degenerate SPDEs SPDEs in domains first exit times representation theorem Backward stochastic partial differential equations of parabolic type in bounded domains are studied in the setting where the coercivity condition is not necessary satisfied. Generalized solutions based on the representation theorem are suggested. Some regularity is derived from the regularity of the first exit times of non-Markov characteristic processes. Uniqueness, solvability and regularity results are obtained. Applications to pricing and hedging of European barrier options are considered. 2015 Journal Article http://hdl.handle.net/20.500.11937/38914 10.3934/dcds.2015.35.5317 American Institute of Mathematical Sciences fulltext |
| spellingShingle | backward SPDEs option pricing degenerate SPDEs SPDEs in domains first exit times representation theorem Dokuchaev, Nikolai Degenerate backward SPDEs in bounded domains and applications to barrier options |
| title | Degenerate backward SPDEs in bounded domains and applications to barrier options |
| title_full | Degenerate backward SPDEs in bounded domains and applications to barrier options |
| title_fullStr | Degenerate backward SPDEs in bounded domains and applications to barrier options |
| title_full_unstemmed | Degenerate backward SPDEs in bounded domains and applications to barrier options |
| title_short | Degenerate backward SPDEs in bounded domains and applications to barrier options |
| title_sort | degenerate backward spdes in bounded domains and applications to barrier options |
| topic | backward SPDEs option pricing degenerate SPDEs SPDEs in domains first exit times representation theorem |
| url | http://hdl.handle.net/20.500.11937/38914 |