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arXiv · 1201.6614

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

Jianzhong Lin
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Abstract

In this paper we show the existence and form uniqueness of a solution for multidimensional backward stochastic differential equations driven by a multidimensional Lévy process with moments of all orders. The results are important from a pure mathematical point of view as well as in the world of finance: an application to Clark-Ocone and Feynman-Kac formulas for multidimensional Lévy processes is presented. Moreover, the Feynman-Kac formula and the related partial differential integral equations provide an analogue of the famous Black-Scholes partial differential equation and thus can be used for the purpose of option pricing in a multidimensional Lévy market.

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Jianzhong Lin. 2012-01-31. Backward Stochastic Differential Equations and Feynman-Kac Formula for Multidimensional Lévy Processes, with Applications in Finance. https://arxiv.org/abs/1201.6614

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