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Ecuaciones Diferenciales Estocásticas con Condición Final y Soluciones de Viscosidad de EDPS Semilineales de Segundo Orden

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  • Rafael Serrano

Abstract

El objetivo de este documento es recopilar algunos resultados clásicos sobre existencia y unicidad de soluciones de ecuaciones diferenciales estocásticas (EDEs) con condición final (en inglés Backward stochastic differential equations) con particular énfasis en el caso de coeficientes monótonos, y su conexión con soluciones de viscosidad de sistemas de ecuaciones diferenciales parciales (EDPs) parabólicas y elípticas semi-lineales de segundo orden.

Suggested Citation

  • Rafael Serrano, 2014. "Ecuaciones Diferenciales Estocásticas con Condición Final y Soluciones de Viscosidad de EDPS Semilineales de Segundo Orden," Documentos de Trabajo 12231, Universidad del Rosario.
    • Handle: RePEc:col:000092:012231
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    File URL: http://repository.urosario.edu.co/bitstream/handle/10336/10863/12231.pdf
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    References listed on IDEAS

    as
    1. Lepeltier, J. P. & San Martin, J., 1997. "Backward stochastic differential equations with continuous coefficient," Statistics & Probability Letters, Elsevier, vol. 32(4), pages 425-430, April.
    2. N. El Karoui & S. Peng & M. C. Quenez, 1997. "Backward Stochastic Differential Equations in Finance," Mathematical Finance, Wiley Blackwell, vol. 7(1), pages 1-71, January.
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    More about this item

    Keywords

    backward stochastic differential equation; viscosity solution; semilinear partial differentialequation;
    All these keywords.

    JEL classification:

    • C00 - Mathematical and Quantitative Methods - - General - - - General
    • C65 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Miscellaneous Mathematical Tools
    • Y80 - Miscellaneous Categories - - Related Disciplines - - - Related Disciplines

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