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Second Order BSDEs with Jumps, Part II: Existence and Applications
Second order backward stochastic differential equation backward stochas-tic differential equation with jumps
2012/9/14
In this paper, we follow the study of second order BSDEs with jumps started in our accompanying paper [17]. We prove existence of these equations bya direct method,thus providing complete wellposednes...
Existence of Financial Equilibria in Continuous Time with Potentially Complete Markets
Potentially complete market Continuous-time financial market Radner equilibrium It坥 diffusion
2012/9/14
We prove that in smooth Markovian continuous杢ime economies with potentially complete asset markets, Radner equilibria with endoge-nously complete markets exist.
Existence & Regularity of Weak Solutions of Degenerate Parabolic PDE Models for the Pricing of Security Derivatives
Existence Regularity Weak Solutions Security Derivatives
2010/10/29
This work is focused on the solvability of initial-boundary value problems for degenerate parabolic partial differential equations that arise in the pricing of Asian options, and
on the investigation...
A mathematical proof of the existence of trends in financial time series
Financial time series mathematical finance technical analysis trends
2010/10/29
We are settling a longstanding quarrel in quantitative finance by proving the existence of trends in financial time series thanks to a theorem due to P. Cartier and Y. Perrin, which is expressed in th...