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  • Search: subject:"backward stochastic Volterra integral equation"
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Subject
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Allocation 1 Allokation 1 Analysis 1 Aumann-Shapley allocation 1 Backward stochastic Volterra integral equation 1 Comparison theorem 1 Duality principle 1 Dynamic risk capital allocations 1 Forward stochastic Volterra integral equations 1 Hedging 1 Mathematical analysis 1 Portfolio selection 1 Portfolio-Management 1 Risiko 1 Risikomaß 1 Risk 1 Risk measure 1 Stochastic process 1 Stochastischer Prozess 1 Theorie 1 Theory 1 backward stochastic Volterra integral equation 1 backward stochastic differential equation 1 dynamic risk measure 1 gradient allocation 1
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Article 2
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Article in journal 1 Aufsatz in Zeitschrift 1
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English 1 Undetermined 1
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Kromer, Eduard 1 Overbeck, Ludger 1 Wang, Tianxiao 1 Yong, Jiongmin 1
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International journal of theoretical and applied finance 1 Stochastic Processes and their Applications 1
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ECONIS (ZBW) 1 RePEc 1
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Differentiability of BSVIEs and dynamic capital allocations
Kromer, Eduard; Overbeck, Ludger - In: International journal of theoretical and applied finance 20 (2017) 7, pp. 1-26
Persistent link: https://www.econbiz.de/10011763938
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Comparison theorems for some backward stochastic Volterra integral equations
Wang, Tianxiao; Yong, Jiongmin - In: Stochastic Processes and their Applications 125 (2015) 5, pp. 1756-1798
For some backward stochastic Volterra integral equations (BSVIEs) in multi-dimensional Euclidean spaces, comparison theorems are established in a systematic way for the adapted solutions and adapted M-solutions. For completeness, comparison theorems for (forward) stochastic differential...
Persistent link: https://www.econbiz.de/10011209774
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