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dc.date.accessioned2013-03-12T08:22:45Z
dc.date.available2013-03-12T08:22:45Z
dc.date.issued2010en_US
dc.date.submitted2010-05-31en_US
dc.identifier.citationHalle, Jan Olav. Backward Stochastic Differential Equations with Jumps. Masteroppgave, University of Oslo, 2010en_US
dc.identifier.urihttp://hdl.handle.net/10852/10780
dc.description.abstractThe purpose of the master thesis is to look at the classical article «Backward Stochastic Differential Equations in Finance» by Karoui, Peng and Quenez. Here, theory about Backward Stochastic Differential Equations (BSDEs) is developed with Brownian motion as noise. In the master thesis, some of the results are generalized to include jumps. Mainly, this is done by adapting the techniques in Karoui et. al. Topics that is investigated are existence and uniqueness, linear BSDEs, the comparison theorem, dependence on a parameter and Malliavin differentiability. The last chapter also looks at the combined derivative in a parameter and in the Malliavin sense. The difficulty of jumps is that one usually get more terms to handle, that the Lévy measure is not in general finite and that we may need to differentiate in an operaor.eng
dc.language.isoengen_US
dc.titleBackward Stochastic Differential Equations with Jumpsen_US
dc.typeMaster thesisen_US
dc.date.updated2012-03-11en_US
dc.creator.authorHalle, Jan Olaven_US
dc.subject.nsiVDP::412en_US
dc.identifier.bibliographiccitationinfo:ofi/fmt:kev:mtx:ctx&ctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:dissertation&rft.au=Halle, Jan Olav&rft.title=Backward Stochastic Differential Equations with Jumps&rft.inst=University of Oslo&rft.date=2010&rft.degree=Masteroppgaveen_US
dc.identifier.urnURN:NBN:no-25644en_US
dc.type.documentMasteroppgaveen_US
dc.identifier.duo103135en_US
dc.contributor.supervisorBernt Øksendalen_US
dc.identifier.bibsys120519712en_US
dc.identifier.fulltextFulltext https://www.duo.uio.no/bitstream/handle/10852/10780/1/JAN_OLAV_HALLE.pdf


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