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  • Search: subject:"backward stochastic differential equation with jumps"
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Year of publication
Subject
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Analysis 2 Hindy-Huang-Kreps preferences 2 Mathematical analysis 2 Poisson processes 2 Stochastic process 2 Stochastischer Prozess 2 backward stochastic differential equation with jumps 2 intertemporal substitution 2 recursive utility 2 Backward Stochastic Differential Equation with Jumps 1 Clustering 1 Consumer demand theory 1 Consumption theory 1 Hedging 1 Intertemporal choice 1 Intertemporale Entscheidung 1 Jump Diffusion 1 Konsumtheorie 1 Nachfragetheorie des Haushalts 1 Nutzen 1 Nutzenfunktion 1 Option pricing theory 1 Optionspreistheorie 1 Portfolio selection 1 Portfolio-Management 1 Präferenztheorie 1 Regional cluster 1 Regionales Cluster 1 Theory of preferences 1 Utility 1 Utility function 1 Volatility 1 Volatilität 1 Weak Convergence 1
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Online availability
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Free 2 CC license 1 Undetermined 1
Type of publication
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Book / Working Paper 2 Article 1
Type of publication (narrower categories)
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Working Paper 2 Arbeitspapier 1 Article in journal 1 Aufsatz in Zeitschrift 1 Graue Literatur 1 Non-commercial literature 1
Language
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English 3
Author
All
Li, Hanwu 2 Riedel, Frank 2 Zhang, Liangliang 1
Published in...
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Center for Mathematical Economics Working Papers 1 Journal of mathematical finance 1 Working papers / Universität Bielefeld, Center for Mathematical Economics (IMW) 1
Source
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ECONIS (ZBW) 2 EconStor 1
Showing 1 - 3 of 3
Cover Image
Optimal consumption for recursive preferences with local substitution under risk
Li, Hanwu; Riedel, Frank - 2024
We explore intertemporal preferences that are recursive and account for local intertemporal substitution. First, we establish a rigorous foundation for these preferences and analyze their properties. Next, we examine the associated optimal consumption problem, proving the existence and...
Persistent link: https://www.econbiz.de/10015077806
Saved in:
Cover Image
Optimal consumption for recursive preferences with local substitution under risk
Li, Hanwu; Riedel, Frank - 2024
We explore intertemporal preferences that are recursive and account for local intertemporal substitution. First, we establish a rigorous foundation for these preferences and analyze their properties. Next, we examine the associated optimal consumption problem, proving the existence and...
Persistent link: https://www.econbiz.de/10015066357
Saved in:
Cover Image
A clustering method to solve backward stochastic differential equations with jumps
Zhang, Liangliang - In: Journal of mathematical finance 10 (2020) 1, pp. 1-9
Persistent link: https://www.econbiz.de/10012545300
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