Degenerate backward SPDEs in bounded domains and applications to barrier options

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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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Bibliographic Details
Main Author:	Dokuchaev, Nikolai
Format:	Journal Article
Published:	American Institute of Mathematical Sciences 2015
Subjects:	backward SPDEs option pricing degenerate SPDEs SPDEs in domains first exit times representation theorem
Online Access:	http://hdl.handle.net/20.500.11937/38914

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