Search Results - subject:"backward stochastic differential equations" - EconBiz

The infinite-horizon investment-consumption problem for Epstein-Zin stochastic differential utility. I : foundations

Herdegen, Martin; Hobson, David G.; Jerome, Joseph - In: Finance and stochastics 27 (2023) 1, pp. 127-158

Persistent link: https://www.econbiz.de/10013489501

A fourier interpolation method for numerical solution of FBSDEs: Global convergence, stability, and higher order discretizations

Oyono Ngou, Polynice; Hyndman, Cody - In: Journal of Risk and Financial Management 15 (2022) 9, pp. 1-32

The convolution method for the numerical solution of forward-backward stochastic differential equations (FBSDEs) was …

Persistent link: https://www.econbiz.de/10014332588

Optimal control strategies for the premium policy of an insurance firm with jump diffusion assets and stochastic interest rate

Guerdouh, Dalila; Khelfallah, Nabil; Vives, Josep - In: Journal of Risk and Financial Management 15 (2022) 3, pp. 1-19

In this paper, we present a stochastic optimal control model to optimize an insurance firm problem in the case where its cash-balance process is assumed to be described by a stochastic differential equation driven by Teugels martingales. Noticing that the insurance firm is able to control its...

Persistent link: https://www.econbiz.de/10013201446

Optimal control strategies for the premium policy of an insurance firm with jump diffusion assets and stochastic interest rate

Guerdouh, Dalila; Khelfallah, Nabil; Vives, Josep - In: Journal of risk and financial management : JRFM 15 (2022) 3, pp. 1-19

In this paper, we present a stochastic optimal control model to optimize an insurance firm problem in the case where its cash-balance process is assumed to be described by a stochastic differential equation driven by Teugels martingales. Noticing that the insurance firm is able to control its...

Persistent link: https://www.econbiz.de/10013165295

A fourier interpolation method for numerical solution of FBSDEs : global convergence, stability, and higher order discretizations

Oyono Ngou, Polynice; Hyndman, Cody - In: Journal of risk and financial management : JRFM 15 (2022) 9, pp. 1-32

The convolution method for the numerical solution of forward-backward stochastic differential equations (FBSDEs) was …

Persistent link: https://www.econbiz.de/10013397739

A new efficient approximation scheme for solving high-dimensional semilinear PDEs : control variate method for Deep BSDE solver

Takahashi, Akihiko; Tsuchida, Yoshifumi; Yamada, Toshihiro - 2021 - This version : August 10, 2021

Persistent link: https://www.econbiz.de/10012616192

Supplementary file for "Sup-inf/inf-sup problem on choice of a probability measure by FBSDE approach"

Saito, Taiga; Takahashi, Akihiko - 2021

Persistent link: https://www.econbiz.de/10012616241

A new efficient approximation scheme for solving high-dimensional semilinear PDEs : control variate method for Deep BSDE solver

Takahashi, Akihiko; Tsuchida, Yoshifumi; Yamada, Toshihiro - 2021

Persistent link: https://www.econbiz.de/10012813680

A new efficient approximation scheme for solving high-dimensional semilinear PDEs : control variate method for Deep BSDE solver

Takahashi, Akihiko; Tsuchida, Yoshifumi; Yamada, Toshihiro - 2021 - Revised in August, November 2021, January and February 2022

Persistent link: https://www.econbiz.de/10013335002

Supplementary file for "sup-inf/inf-sup problem on choice of a probability measure by FBSDE approach"

Saito, Taiga; Takahashi, Akihiko - 2021 - Revised in March 2021

Persistent link: https://www.econbiz.de/10013335007

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