Lévy过程驱动的倒向随机微分方程相关问题
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作者周清
出版社科学出版社
ISBN9787030621290
出版时间2019-09
版次1
装帧平装
开本16开
纸张胶版纸
定价118元
上书时间2024-03-28
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基本信息
书名:Lévy过程驱动的倒向随机微分方程相关问题
定价：118.00元
作者:周清
出版社：科学出版社
出版日期：2019-09-01
ISBN：9787030621290
字数：
页码：
版次：
装帧：平装
开本：128开
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内容提要
目录
Chapter 1 BSDEs Driven by Lévy Processes 1.1 Preliminaries: notations and theorems 1.2 BSDEs for Lévy processes 1.2.1 Comparison theorem 1.2.2 An estence and uniqueness theorem 1.3 BSDEs with reflecting barriers 1.3.1 Introduction and preliminaries 1.3.2 BSDEs with one reflecting barrier: compariso 1.3.3 BSDEs with two reflecting barriers 1.3.4 Comparison theorem 1.4 RBSDEs with time delayed generators 1.4.1 Introductio 1.4.2 Preliminaries and notations 1.4.3 Priori estimates 1.4.4 Estence and uniqueness of the solutio 1.5 Lp-solutions for RBSDEs with time delayed generators 1.5.1 Preliminaries and notations 1.5.2 Priori estimates 1.5.3 Estence and uniqueness of the solutio 1.6 BSPDES for Lévy processes 1.6.1 Introductio 1.6.2 Preliminaries: notations and lemmas 1.6.3 BSPDEs driven by Lévy processes 1.6.4 Concluding remarksChapter 2 Financial Markets Driven by Lévy Processes 2.1 The power utility mamization problem 2.1.1 Introductio 2.1.2 The formulation of the problem 2.1.3 Solution in terms of triplets 2.1.4 A particular case 2.1.5 Appendix 2.2 Optimal investment for an insurer: the martingale approach 2.2.1 Introductio 2.2.2 Problem formulatio 2.2.3 CARA Utility 2.3 Cooperative hedging in two explicit model 2.3.1 Introductio 2.3.2 Preliminary and notatio 2.3.3 Optimal cooperative hedging of the complete case 2.3.4 Optimal cooperative hedging of a volatility jump model 2.4 Cooperative hedging with a higher interest rate for borrowing 2.4.1 Introductio 2.4.2 The model 2.4.3 The optimal cooperative hedging strategy 2.4.4 Two lemmas about BSDE 2.5 Two-agent Pareto optimal cooperative investment 2.5.1 Introductio 2.5.2 The model 2.5.3 Motivatio 2.5.4 Main results
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