Search Results - subject:"backward stochastic differential equation"

Backward nonlinear expectation equations

Belak, Christoph; Seiferling, Thomas; Seifried, Frank Thomas - In: Mathematics and financial economics 12 (2018) 1, pp. 111-134

Persistent link: https://www.econbiz.de/10011963319

Differentiability of quadratic BSDEs generated by continuous martingales

Richter, Anja; Réveillac, Anthony; Imkeller, Peter - Université Paris-Dauphine (Paris IX) - 2012

In this paper we consider a class of BSDEs with drivers of quadratic growth, on a stochastic basis generated by continuous local martingales. We first derive the Markov property of a forward-backward system (FBSDE) if the generating martingale is a strong Markov process. Then we establish the...

Persistent link: https://www.econbiz.de/10011166466

Differentiability of quadratic BSDEs generated by continuous martingales.

Richter, Anja; Reveillac, Anthony; Imkeller, Peter - Université Paris-Dauphine - 2012

Persistent link: https://www.econbiz.de/10009319611

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

Consumption-investment optimization with Epstein-Zin utility in incomplete markets

Xing, Hao - In: Finance and stochastics 21 (2017) 1, pp. 227-262

Persistent link: https://www.econbiz.de/10011944363

A characterization of equilibrium strategies in continuous-time mean-variance problems for insurers

Alia, Ishak; Chighoub, Farid; Sohail, Ayesha - In: Insurance / Mathematics & economics 68 (2016), pp. 212-223

Persistent link: https://www.econbiz.de/10011493837

Indifference fee rate for variable annuities

Chevalier, Etienne; Lim, Thomas; Romero, Ricardo Romo - In: Applied mathematical finance 23 (2016) 3/4, pp. 278-308

Persistent link: https://www.econbiz.de/10011704242

Exponential utility maximization for an insurer with time-inconsistent preferences

Zhao, Qian; Wang, Rongming; Wei, Jiaqin - In: Insurance / Mathematics & economics 70 (2016), pp. 89-104

Persistent link: https://www.econbiz.de/10011597189

Multidimensional dynamic risk measure via conditional g-expectation

Xu, Yuhong - In: Mathematical finance : an international journal of … 26 (2016) 3, pp. 638-673

Persistent link: https://www.econbiz.de/10011583787

Nonlinear reserving in life insurance : aggregation and mean-field approximation

Djehiche, Boualem; Löfdahl, Björn - In: Insurance / Mathematics & economics 69 (2016), pp. 1-13

Persistent link: https://www.econbiz.de/10011530874