Akademik Veri Yönetim Sistemi
Tezin Türü: Yüksek Lisans
Tezin Yürütüldüğü Kurum: Orta Doğu Teknik Üniversitesi, Uygulamalı Matematik Enstitüsü, Finansal Matematik Anabilim Dalı, Türkiye
Tezin Onay Tarihi: 2012
Öğrenci: VİLDAN TUNÇ
Danışman: ALİ DEVİN SEZER
Özet:Backward stochastic differential equations appear in many areas of research including mathematical finance, nonlinear partial differential equations, financial economics and stochastic control. The first existence and uniqueness result for nonlinear backward stochastic differential equations was given by Pardoux and Peng (Adapted solution of a backward stochastic differential equation. System and Control Letters, 1990). They looked for an adapted pair of processes {x(t); y(t)}; t is in [0; 1]} with values in Rd and Rd×k respectively, which solves an equation of the form: x(t) + int_t^1 f(s,x(s),y(s))ds + int_t^1 [g(s,x(s)) + y(s)]dWs = X. This dissertation studies this paper in detail and provides all the steps of the proofs that appear in this seminal paper. In addition, we review (Cvitanic and Karatzas, Hedging contingent claims with constrained portfolios. The annals of applied probability, 1993). In this paper, Cvitanic and Karatzas studied the following problem: the hedging of contingent claims with portfolios constrained to take values in a given closed, convex set K. Processes intimately linked to BSDEs naturally appear in the formulation of the constrained hedging problem. The analysis of Cvitanic and Karatzas is based on a dual control problem. One of the contributions of this thesis is an algorithm that numerically solves this control problem in the case of constant volatility. The algorithm is based on discretization of time. The convergence proof is also provided.