Backward stochastic differential equations and Feynman-Kac formula in the presence of jump processes

Download
2013
İncegül Yücetürk, Cansu
Backward Stochastic Differential Equations (BSDEs) appear as a new class of stochastic differential equations, with a given value at the terminal time T. The application area of the BSDEs is conceptually wide which is known only for forty years. In financial mathematics, El Karoui, Peng and Quenez have a fundamental and significant article called “Backward Stochastic Differential Equations in Finance” (1997) which is taken as a groundwork for this thesis. In this thesis we follow the following steps: Firstly, the principal theorems of BSDEs driven by Brownian motion are proved. Later, an application to partial differential equations (PDEs) is presented i.e. generalization of Feynman-Kac formula. Moreover, the studies of Situ in 1997 and his book entitled with “Theory of Stochastic Differential Equations with Jumps and Applications” provide us a framework to prove explicitly the main theorems of BSDEs in the presence of jumps. Afterward, Feynman-Kac formula for general Lévy processes is proven. Lastly, the results are concluded by some applications in financial mathematics.

Suggestions

Least squares differential quadrature time integration scheme in the dual reciprocity boundary element method solution of convection-diffusion problems
Bozkaya, Canan (2005-03-18)
The least squares differential quadrature method (DQM) is used for solving the ordinary differential equations in time, obtained from the application of the dual reciprocity boundary element method (DRBEM) for the spatial partial derivatives in convection-diffusion type problems. The DRBEM enables us to use the fundamental solution of the Laplace equation which is easy to implement computationally. The time derivative and the convection terms are considered as the nonhomogeneity in the equation which are ap...
Asymptotic integration of impulsive differential equations
Doğru Akgöl, Sibel; Ağacık, Zafer; Özbekler, Abdullah; Department of Mathematics (2017)
The main objective of this thesis is to investigate asymptotic properties of the solutions of differential equations under impulse effect, and in this way to fulfill the gap in the literature about asymptotic integration of impulsive differential equations. In this process our main instruments are fixed point theorems; lemmas on compactness; principal and nonprincipal solutions of impulsive differential equations and Cauchy function for impulsive differential equations. The thesis consists of five chapters....
On principles of b-smooth discontinuous flows
Akalın, Ebru Çiğdem; Akhmet, Marat; Department of Mathematics (2004)
Discontinuous dynamical system defined by impulsive autonomous differential equation is a field that has actually been considered rarely. Also, the properties of such systems have not been discussed thoroughly in the course of mathematical researches so far. This thesis comprises two parts, elaborated with a number of examples. In the first part, some results of the previous studies on the classical dynamical system are exposed. In the second part, the definition of discontinuous dynamical system defined by...
Oscillation of second-order nonlinear differential equations with nonlinear damping
Tiryaki, A; Zafer, Ağacık (2004-01-01)
This paper is concerned with the oscillation of a class of general type second-order differential equations with nonlinear damping terms. Several new oscillation criteria are established for such a class of differential equations under quite general assumptions. Examples are also given to illustrate the results.
Boundary value problems for higher order linear impulsive differential equations
Uğur, Ömür; Akhmet, Marat (2006-07-01)
In this paper higher order linear impulsive differential equations with fixed moments of impulses subject to linear boundary conditions are studied. Green's formula is defined for piecewise differentiable functions. Properties of Green's functions for higher order impulsive boundary value problems are introduced. An appropriate example of the Green's function for a boundary value problem is provided. Furthermore, eigenvalue problems and basic properties of eigensolutions are considered. (c) 2006 Elsevier In...
Citation Formats
C. İncegül Yücetürk, “Backward stochastic differential equations and Feynman-Kac formula in the presence of jump processes,” M.S. - Master of Science, Middle East Technical University, 2013.