Backward Stochastic Differential Equations and Feynman-Kac Formula for Lévy Processes, with Applications in Finance

Nualart, David; Schoutens, Wim

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Issue Date

2001-10-01

Author

Nualart, David

Schoutens, Wim

Publisher

Bernoulli Society for Mathematical Statistics and Probability

Type

Article

Article Version

Scholarly/refereed, publisher version

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Abstract

See article for abstract.

Description

This is the publisher's version, also available electronically from http://www.jstor.org/stable/3318541?origin=crossref&seq=1#page_scan_tab_contents.

Citation

Nualart, David; Schoutens, Wim. (2001). "Backward Stochastic Differential Equations and Feynman-Kac Formula for Lévy Processes, with Applications in Finance." Bernoulli, 7(5):761-776. http://www.dx.doi.org/10.2307/3318541.

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