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Equations différentielles stochastiques rétrogrades à croissance quadratique et applications

Abstract : In my PhDthesis, I have been mainly interested in the theoretical study of Backward Stochastic Differential Equations with Quadratic Growth. The other major part of my study consists in focusing on applications to finance and especially in the classical utility maximization problem under portfolio constraints. To this end, I have extended results for non linear BSDEs by using martingale methods already known in the brownian setting to solve this problem in more general filtrations.
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https://tel.archives-ouvertes.fr/tel-00179388
Contributor : Marie-Amelie Morlais <>
Submitted on : Monday, October 15, 2007 - 2:22:58 PM
Last modification on : Thursday, January 7, 2021 - 4:12:18 PM
Long-term archiving on: : Monday, September 24, 2012 - 1:30:17 PM

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  • HAL Id : tel-00179388, version 1

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Marie Amélie Morlais. Equations différentielles stochastiques rétrogrades à croissance quadratique et applications. Mathématiques [math]. Université Rennes 1, 2007. Français. ⟨tel-00179388⟩

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