Search Results - subject:"Backward stochastic differential equation" - EconBiz

Backward stochastic differential equations and stochastic controls : a new perspective

Kohlmann, Michael; Zhou, Xun Yu - 1999

It is well known that backward stochastic differential equations (BSDEs) stem from the study on the Pontryagin type maximum principle for optional stochastic control. A solution of a BSDE hits a given terminal value (which is a random variable) by virtue of an additional martingale term and an...

Persistent link: https://www.econbiz.de/10011543852

Exponential Utility Maximization under Partial Information

Mania, Michael; Santacroce, Marina - International Centre for Economic Research (ICER) - 2008

observable processes. We prove that the value process of the reduced problem is the unique solution of a backward stochastic … differential equation (BSDE), which characterizes the optimal strategy. We examine two particular cases of diffusion market models …

Persistent link: https://www.econbiz.de/10004972508

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

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

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

Utility maximization, duality, price for risk, semimartingale represenations & continuous time CAPM

Leitner, Johannes - 2001 - 1. Aufl.

Persistent link: https://www.econbiz.de/10001626257

Utility maximization and duality

Leitner, Johannes - 2000

Persistent link: https://www.econbiz.de/10001544835

Recent advances in backward stochastic Riccati equations and their applications

Kohlmann, Michael; Tang, Shanjian - 2000

Persistent link: https://www.econbiz.de/10014378819

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

Multi-dimensional backward stochastic Riccati equations, and applications

Kohlmann, Michael - 2000

Persistent link: https://www.econbiz.de/10014378822

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