Contributions to quadratic backward stochastic differential equations with jumps and applications / Contribution aux équations différentielles stochastiques rétrogrades quadratiques avec sauts et applications
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Tác giả chưa xác định. Contributions to quadratic backward stochastic differential equations with jumps and applications / Contribution aux équations différentielles stochastiques rétrogrades quadratiques avec sauts et applications. Thesis, HAL - Pháp.
Việt Nam (chuẩn TCVN 5453:1991):
. Contributions to quadratic backward stochastic differential equations with jumps and applications / Contribution aux équations différentielles stochastiques rétrogrades quadratiques avec sauts et applications. Thesis. HAL - Pháp. Truy cập từ .
Tóm tắt
This thesis focuses on backward stochastic differential equation with jumps and their applications. In the first chapter, we study a backward stochastic differential equation (BSDE for short) driven jointly by a Brownian motion and an integer valued random measure that may have infinite activity with compensator being possibly time inhomogeneous. In particular, we are concerned with the case where the driver has quadratic growth and unbounded terminal condition. The existence and uniqueness of t...