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Search: subject:"Backward Stochastic Differential Equation"
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Stochastic process
52
Stochastischer Prozess
52
Analysis
35
Backward stochastic differential equation
35
Mathematical analysis
35
backward stochastic differential equation
35
Theorie
32
Theory
32
Portfolio selection
23
Portfolio-Management
23
Option pricing theory
21
Optionspreistheorie
21
Hedging
20
Control theory
15
Kontrolltheorie
15
Risk
14
Risiko
13
Volatility
8
Volatilität
8
Nutzen
7
Stochastic differential utility
7
Utility
7
Mathematical programming
6
Mathematische Optimierung
6
Derivat
5
Derivative
5
Risikomaß
5
Risk measure
5
recursive utility
5
Asset-liability management
4
Comparison theorem
4
Forward-backward stochastic differential equation
4
Game theory
4
Mean-variance criterion
4
Measurement
4
Messung
4
Reinsurance
4
Spieltheorie
4
Stochastic game
4
Stochastisches Spiel
4
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Undetermined
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Free
27
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3
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Article
72
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43
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43
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16
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13
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English
68
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30
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Kohlmann, Michael
7
Zhang, Yumo
6
Lim, Thomas
5
Seifried, Frank Thomas
5
Shen, Yang
5
Chevalier, Etienne
4
Kraft, Holger
4
Tang, Shanjian
4
Chen, Zengjing
3
Crépey, Stéphane
3
Nakamura, Nobuhiro
3
Xing, Hao
3
Ackermann, Julia
2
Blanchet-Scalliet, Christophette
2
Boetius, Frederik
2
Fan, ShengJun
2
Hu, Yijun
2
Imkeller, Peter
2
Klimsiak, Tomasz
2
Kromer, Eduard
2
Kruse, Thomas
2
Leitner, Johannes
2
Li, Hanwu
2
Mania, Michael
2
Matoussi, Anis
2
Overbeck, Ludger
2
Peng, Xingchun
2
Porchet, Arnaud
2
Possamaï, Dylan
2
Richter, Anja
2
Riedel, Frank
2
Rozkosz, Andrzej
2
Santacroce, Marina
2
Sun, Zhongyang
2
Touzi, Nizar
2
Urusov, Mikhail
2
Wang, Ning
2
Warin, Xavier
2
Wei, Jiaqin
2
Wei, Linxiao
2
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HAL
3
International Centre for Economic Research (ICER)
1
Research Center SAFE (Sustainable Architecture for Finance in Europe), House of Finance
1
UNIVERSIDAD DEL ROSARIO
1
University of Rochester - Center for Economic Research (RCER)
1
Université Paris-Dauphine
1
Université Paris-Dauphine (Paris IX)
1
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Insurance / Mathematics & economics
8
Discussion paper series / Zentrum für Finanzen und Ökonometrie, Universität Konstanz
7
Statistics & Probability Letters
7
Stochastic Processes and their Applications
6
International journal of theoretical and applied finance
4
Mathematical finance : an international journal of mathematics, statistics and financial theory
4
Asia-Pacific Financial Markets
3
CoFE discussion papers
3
Dynamic games and applications : DGA
3
Finance and Stochastics
3
International Journal of Theoretical and Applied Finance (IJTAF)
3
Journal of mathematical finance
3
Working Papers / HAL
3
Finance and stochastics
2
Mathematical finance : an international journal of mathematics, statistics and financial economics
2
Mathematics and financial economics
2
Quantitative finance
2
Risks
2
Risks : open access journal
2
SAFE Working Paper
2
Annals of Economics and Finance
1
Annals of finance
1
Applied mathematical finance
1
Asia Pacific financial markets
1
Astin bulletin : the journal of the International Actuarial Association
1
CESifo Working Paper
1
CESifo working papers
1
Center for Mathematical Economics Working Papers
1
Computational Statistics
1
DOCUMENTOS DE TRABAJO / UNIVERSIDAD DEL ROSARIO
1
Decisions in economics and finance : a journal of applied mathematics
1
Economics Papers from University Paris Dauphine
1
From stochastic calculus to mathematical finance : the Shiryaev Festschrift ; [Second Bachelier Colloquium on Stochastic Calculus and Probability, Metabief, France, January 9 - 15, 2005]
1
ICER Working Papers - Applied Mathematics Series
1
Insurance : mathematics and economics
1
Insurance: Mathematics and Economics
1
Journal of economic theory
1
Mathematical Methods of Operations Research
1
Mathematical methods of operations research
1
Mathematics of operations research
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ECONIS (ZBW)
58
RePEc
34
EconStor
6
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91
A consumption-investment problem with production possibilities
Kabanov, Jurij M.
;
Kijima, Masaaki
- In:
From stochastic calculus to mathematical finance : the …
,
(pp. 315-332)
.
2006
Persistent link: https://www.econbiz.de/10003287167
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92
Optimal risk transfer and investment policies based upon stochastic differential utilities
Nakamura, Nobuhiro
- In:
Asia-Pacific Financial Markets
12
(
2005
)
4
,
pp. 375-403
Persistent link: https://www.econbiz.de/10005727045
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93
Numerical Approach to Asset Pricing Models with Stochastic Differential Utility
Nakamura, Nobuhiro
- In:
Asia-Pacific Financial Markets
11
(
2004
)
3
,
pp. 267-300
Persistent link: https://www.econbiz.de/10005810976
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94
Utility maximization, duality, price for risk, semimartingale represenations & continuous time CAPM
Leitner, Johannes
-
2001
-
1. Aufl.
Persistent link: https://www.econbiz.de/10001626257
Saved in:
95
Utility maximization and duality
Leitner, Johannes
-
2000
Persistent link: https://www.econbiz.de/10001544835
Saved in:
96
Recent advances in backward stochastic Riccati equations and their applications
Kohlmann, Michael
;
Tang, Shanjian
-
2000
Persistent link: https://www.econbiz.de/10014378819
Saved in:
97
Global adapted solution of one-dimensional backward stochastic Riccati equations, with application to the mean-variance hedging
Kohlmann, Michael
-
2000
Persistent link: https://www.econbiz.de/10014378821
Saved in:
98
Multi-dimensional backward stochastic Riccati equations, and applications
Kohlmann, Michael
-
2000
Persistent link: https://www.econbiz.de/10014378822
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