Search Results - subject:"backward stochastic differential equations"

Utility maximization with intermediate consumption under restricted information for jump market models

Ceci, Claudia - In: International journal of theoretical and applied finance 15 (2012) 6, pp. 1-34

Persistent link: https://www.econbiz.de/10009672596

A Probabilistic Numerical Method for Fully Nonlinear Parabolic PDEs

Fahim, Arash; Touzi, Nizar; Warin, Xavier - Université Paris-Dauphine (Paris IX) - 2011

stochastic differential equations. Our first main result provides the convergence of the discrete-time approximation and derives … introduced naturally as a combination of Monte Carlo and finite differences scheme without appealing to the theory of backward …

Persistent link: https://www.econbiz.de/10011166473

Stochastic representation for solutions of Isaacs’ type integral–partial differential equations

Buckdahn, Rainer; Hu, Ying; Li, Juan - In: Stochastic Processes and their Applications 121 (2011) 12, pp. 2715-2750

cost functionals defined by controlled backward stochastic differential equations (BSDEs). Furthermore, unlike the two …

Persistent link: https://www.econbiz.de/10011065122

A Probabilistic Numerical Method for Fully Nonlinear Parabolic PDEs.

Fahim, Arash; Touzi, Nizar; Warin, Xavier - Université Paris-Dauphine - 2011

Persistent link: https://www.econbiz.de/10009292004

Some Recent Aspects of Differential Game Theory

Buckdahn, R.; Cardaliaguet, P.; Quincampoix, M. - In: Dynamic Games and Applications 1 (2011) 1, pp. 74-114

Persistent link: https://www.econbiz.de/10009324566

Utility indifference valuation for jump risky assets

Ceci, Claudia; Gerardi, Anna - In: Decisions in Economics and Finance 34 (2011) 2, pp. 85-120

Persistent link: https://www.econbiz.de/10009325799

Some Recent Aspects of Differential Game Theory

Buckdahn, Rainer; Cardaliaguet, Pierre; Quincampoix, Marc - Université Paris-Dauphine (Paris IX) - 2011

three topics: differential games with state constraints; backward stochastic differential equations approach to stochastic …

Persistent link: https://www.econbiz.de/10010707285

Efficient Consumption Set Under Recursive Utility and Unknown Beliefs

Lazrak, Ali; Zapatero, Fernando - Finance Discipline Group, Business School - 2002

In a context of complete financial markets where asset prices follow Ito's processes, we characterize the set of consumption processes which are optimal for a given stochastic differential utility (e.g. Duffie and Epstein (1992)) when beliefs are unknown. Necessary and sufficient conditions for...

Persistent link: https://www.econbiz.de/10004970477

CREDIT RISK PREMIA AND QUADRATIC BSDEs WITH A SINGLE JUMP

ANKIRCHNER, STEFAN; BLANCHET-SCALLIET, CHRISTOPHETTE; … - In: International Journal of Theoretical and Applied … 13 (2010) 07, pp. 1103-1129

credit risk in terms of solutions of Backward Stochastic Differential Equations (BSDE). The class of BSDEs needed for that …

Persistent link: https://www.econbiz.de/10008725902

Representation of the penalty term of dynamic concave utilities

Delbaen, Freddy; Peng, Shige; Gianin, Emanuela Rosazza - In: Finance and Stochastics 14 (2010) 3, pp. 449-472

Persistent link: https://www.econbiz.de/10008456133