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Title: Stochastic partial differential equations with coefficients depending on VaR
Author: Pak, Alexey
ISNI:       0000 0004 6423 165X
Awarding Body: University of Warwick
Current Institution: University of Warwick
Date of Award: 2017
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In this paper we prove the well-posedness for a stochastic partial differential equation (SPDE) whose solution is a probability-measure-valued process. We allow the coefficients to depend on the median or, more generally, on the γ-quantile (or some its useful extensions) of the underlying distribution. Such SPDEs arise in many applications, for example, in auction system described in [2]. The well-posedness of this SPDE does not follow by standard arguments because the γ-quantile is not a continuous function on the space of probability measures equipped with the weak convergence.
Supervisor: Not available Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID:  DOI: Not available
Keywords: QA Mathematics