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Search: subject:"backward stochastic differential equation"
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Stochastic process
57
Stochastischer Prozess
57
Analysis
39
Mathematical analysis
39
Backward stochastic differential equation
38
backward stochastic differential equation
36
Theorie
34
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34
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25
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25
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21
Optionspreistheorie
21
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20
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8
Stochastisches Spiel
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recursive utility
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4
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4
Finanzmathematik
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Forward-backward stochastic differential equation
4
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4
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4
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27
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Zhang, Yumo
9
Kohlmann, Michael
7
Shen, Yang
6
Lim, Thomas
5
Seifried, Frank Thomas
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
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International Centre for Economic Research (ICER)
1
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1
UNIVERSIDAD DEL ROSARIO
1
University of Rochester - Center for Economic Research (RCER)
1
Université Paris-Dauphine
1
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Insurance
8
Discussion paper series / Zentrum für Finanzen und Ökonometrie, Universität Konstanz
7
Statistics & Probability Letters
7
Stochastic Processes and their Applications
6
Dynamic games and applications : DGA
4
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
Finance and Stochastics
3
International Journal of Theoretical and Applied Finance (IJTAF)
3
Journal of mathematical finance
3
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2
Insurance : mathematics and economics
2
Mathematical finance : an international journal of mathematics, statistics and financial economics
2
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2
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2
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2
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2
Scandinavian actuarial journal
2
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1
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1
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1
Asia Pacific financial markets
1
Astin bulletin : the journal of the International Actuarial Association
1
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1
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1
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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
European journal of operational research : EJOR
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
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ECONIS (ZBW)
63
RePEc
34
EconStor
6
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41
Numerical methods in financial and actuarial applications : a stochastic maximum principle approach
Di Giacinto, Marina
- In:
Journal of mathematical finance
8
(
2018
)
2
,
pp. 283-301
Persistent link: https://www.econbiz.de/10011874735
Saved in:
42
On a new paradigm of optimal reinsurance : a stochastic stackelberg differential game between an insurer and a reinsurer
Lv, Chen
;
Shen, Yang
- In:
Astin bulletin : the journal of the International …
48
(
2018
)
2
,
pp. 905-960
Persistent link: https://www.econbiz.de/10011875926
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43
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
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44
The valuation of American options in a multidimensional exponential Lévy model
Klimsiak, Tomasz
;
Rozkosz, Andrzej
- In:
Mathematical finance : an international journal of …
28
(
2018
)
4
,
pp. 1107-1142
Persistent link: https://www.econbiz.de/10011969076
Saved in:
45
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
Saved in:
46
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
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47
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
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48
Nonlinear reserving in life insurance : aggregation and mean-field approximation
Djehiche, Boualem
;
Löfdahl, Björn
- In:
Insurance
69
(
2016
),
pp. 1-13
Persistent link: https://www.econbiz.de/10011530874
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49
A characterization of equilibrium strategies in continuous-time mean-variance problems for insurers
Alia, Ishak
;
Chighoub, Farid
;
Sohail, Ayesha
- In:
Insurance
68
(
2016
),
pp. 212-223
Persistent link: https://www.econbiz.de/10011493837
Saved in:
50
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
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