No abstract

Library of Congress Cataloging-in-Publication Data Schoutens, Wim. Stochastic processes and orthogonal polynomials / Wim Schoutens. p. cm.-(Lecture notes in statistics; 146) Includes bibliographical references and index.

No abstract

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

No abstract