Search Results - subject:"backward stochastic differential equations"

Mean-field type games between two players driven by backward stochastic differential equations

Aurell, Alexander - In: Games 9 (2018) 4, pp. 1-26

stochastic differential equations (BSDE) that depend on the marginal distributions of player states. Players try to minimize …. They make up a class of non-zero-sum, non-cooperating, differential games where the players' state dynamics solve backward …

Persistent link: https://www.econbiz.de/10012227731

Doubly reflected BSDEs and epsilon f-Dynkin games : beyond the right-continuous case

Grigorova, Miryana; Imkeller, Peter; Quenez, Marie-Claire; … - 2018

We formulate a notion of doubly reflected BSDE in the case where the barriers xi and zeta do not satisfy any regularity assumption. Under a technical assumption (a Mokobodzki-type condition), we show existence and uniqueness of the solution. In the case where xi is right upper-semicontinuous and...

Persistent link: https://www.econbiz.de/10011892215

Mean-field type games between two players driven by backward stochastic differential equations

Aurell, Alexander - In: Games 9 (2018) 4/88, pp. 1-26

Persistent link: https://www.econbiz.de/10012014876

BSDEs with Logarithmic Growth Driven by Brownian Motion and Poisson Random Measure and Connection to Stochastic Control Problem

Oufdil, Khalid - In: Stochastics and Quality Control 36 (2021) 1, pp. 27-42

Abstract In this paper, we study one-dimensional backward stochastic differential equations under logarithmic growth in …

Persistent link: https://www.econbiz.de/10014591059

Risk-sensitive nonzero-sum stochastic differential game with unbounded coefficients

Hamadène, Said; Mu, Rui - In: Dynamic games and applications : DGA 11 (2021) 1, pp. 84-108

Persistent link: https://www.econbiz.de/10012487911

Latency and liquidity risk

Cartea, Álvaro; Jaimungal, Sebastian; … - In: International journal of theoretical and applied finance 24 (2021) 6/7, pp. 1-37

Persistent link: https://www.econbiz.de/10012807838

A review of tree-based approaches to solving forward-backward stochastic differential equations

Teng, Long - In: The journal of computational finance 25 (2021) 3, pp. 125-159

Persistent link: https://www.econbiz.de/10012873086

Optimal execution strategy in liquidity framework

Benazzoli, Chiara; Di Persio, Luca - In: Cogent Economics & Finance 5 (2017) 1, pp. 1-14

A trader wishes to execute a given number of shares of an illiquid asset. Since the asset price also depends on the trading behaviour, the trader main aim is to find the execution strategy that minimizes the related expected costs. We solve this problem in a discrete time framework, by modeling...

Persistent link: https://www.econbiz.de/10011988791

Optimal execution strategy in liquidity framework

Benazzoli, Chiara; Di Persio, Luca - In: Cogent economics & finance 5 (2017) 1, pp. 1-14

Persistent link: https://www.econbiz.de/10011886557

A BSDE-based approach for the optimal reinsurance problem under partial information

Brachetta, M.; Ceci, C. - In: Insurance / Mathematics & economics 95 (2020), pp. 1-16

Persistent link: https://www.econbiz.de/10012419211