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A Probabilistic Approach for Discontinuous Coeffcients FBSDEs and PDEs

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thesis
posted on 01.01.2022, 21:24 by YUNXI XU
This thesis is about discussing solvability of coupled forward backward stochastic differential equations (FBSDEs) and quasilinear parabolic partial differential equations (PDEs) with all the coefficients allowed to be discontinuous. Our work provides numerous conditions for existence and uniqueness results via a probabilistic method related to Girsanov transform. Also, we provide two related practical applications: optimal control of the spread of infectious disease and carbon allowance pricing.

History

Campus location

Australia

Principal supervisor

Kihun Nam

Additional supervisor 1

Fima Klebaner

Year of Award

2022

Department, School or Centre

Mathematics

Course

Master of Philosophy

Degree Type

MPHIL

Faculty

Faculty of Science

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