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On Backward Stochastic Differential Equations (BSDEs) with jumps of infinite activity

Martin Büttner

Jezik

Engleski

Knjiga Meki uvez

Libristo kod: 13818537

Nakladnici Grin Publishing, kolovoz 2016

Diploma Thesis from the year 2011 in the subject Mathematics - Stochastics, grade: 1,0, Humboldt-Uni... Cijeli opis

Libristo kod: 13818537

97 b

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Diploma Thesis from the year 2011 in the subject Mathematics - Stochastics, grade: 1,0, Humboldt-University of Berlin (Mathematik), language: English, abstract: This diploma thesis is concerned with backward stochastic differential equations (BSDEs) with jumps which are driven by a Brownian Motion and a random measure. We derive existence and uniqueness results for bounded solutions to such BSDEs when the generator posses a certain monotonicity property instead of the usual global Lipschitz condition. Starting with results in the case of finite activity, considering generators of difference type and showing a comparison theorem, allows us to advance to the case of infinite activity.