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Search: subject:"backward stochastic differential equations"
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Stochastischer Prozess
46
Stochastic process
44
Analysis
39
Backward stochastic differential equations
37
Mathematical analysis
37
Optionspreistheorie
27
Option pricing theory
26
backward stochastic differential equations
21
Theorie
14
Kontrolltheorie
11
Theory
11
Control theory
10
Portfolio-Management
10
Portfolio selection
9
Mathematical programming
8
Mathematische Optimierung
8
forward-backward stochastic differential equations
8
Finanzmathematik
6
Game theory
6
Hedging
6
Risiko
6
Risk
6
Spieltheorie
6
Stochastic differential games
5
Stochastic game
5
Stochastisches Spiel
5
Utility maximization
5
Viscosity solution
5
Asymptotic expansion
4
Deep learning
4
Derivat
4
Derivative
4
Estimation theory
4
Incomplete information
4
Incomplete market
4
Mathematical finance
4
Schätztheorie
4
Stochastic control
4
Unvollkommener Markt
4
Comparison theorem
3
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Undetermined
57
Free
37
CC license
3
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Article
78
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31
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Article in journal
34
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34
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13
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9
Graue Literatur
9
Non-commercial literature
9
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6
research-article
2
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English
64
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45
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Takahashi, Akihiko
6
Horst, Ulrich
5
Yamada, Toshihiro
5
Ceci, Claudia
4
Pham, Huyên
4
Quenez, Marie-Claire
4
Zhang, Jianfeng
4
Delong, Łukasz
3
Heyne, Gregor
3
Imkeller, Peter
3
Kharroubi, Idris
3
Kupper, Michael
3
Mainberger, Christoph
3
Touzi, Nizar
3
Tsuchida, Yoshifumi
3
Warin, Xavier
3
Aurell, Alexander
2
Benazzoli, Chiara
2
Brigo, Damiano
2
Buckdahn, Rainer
2
Cretarola, Alessandra
2
Cvitanic, Jaksa
2
Di Persio, Luca
2
El Asri, Brahim
2
Fahim, Arash
2
Grigorova, Miryana
2
Guerdouh, Dalila
2
Hamadène, Said
2
Hu, Ying
2
Hyndman, Cody
2
Khelfallah, Nabil
2
Kohlmann, Michael
2
Korn, Ralf
2
Kremsner, Stefan
2
Langrené, Nicolas
2
Naujokat, Felix
2
Ouknine, Youssef
2
Oyono Ngou, Polynice
2
Pallavicini, Andrea
2
Peng, Shige
2
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Université Paris-Dauphine (Paris IX)
4
HAL
3
Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
3
Banque de France
1
Centre Emile Bernheim, Solvay Brussels School of Economics and Management
1
Finance Discipline Group, Business School
1
University of Bonn, Germany
1
Université Paris-Dauphine
1
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Stochastic Processes and their Applications
19
Statistics & Probability Letters
7
Dynamic games and applications : DGA
4
Economics Papers from University Paris Dauphine
4
International journal of theoretical and applied finance
4
CARF working paper
3
CoFE discussion papers
3
Insurance / Mathematics & economics
3
SFB 649 Discussion Paper
3
SFB 649 Discussion Papers
3
Working Papers / HAL
3
CIRJE discussion papers / F series
2
Finance and Stochastics
2
Games
2
International Journal of Theoretical and Applied Finance (IJTAF)
2
Journal of Risk and Financial Management
2
Journal of risk and financial management : JRFM
2
Mathematical finance : an international journal of mathematics, statistics and financial economics
2
Mathematical finance : an international journal of mathematics, statistics and financial theory
2
Risks
2
Risks : open access journal
2
Asia-Pacific financial markets
1
Astin bulletin : the journal of the International Actuarial Association
1
Center for Mathematical Economics Working Papers
1
Cogent Economics & Finance
1
Cogent economics & finance
1
Contributions to Theoretical Economics
1
Decisions in Economics and Finance
1
Discussion Paper Serie B
1
Dynamic Games and Applications
1
European journal of operational research : EJOR
1
Finance and stochastics
1
Insurance: Mathematics and Economics
1
International journal of financial engineering
1
Journal of Economic Dynamics and Control
1
Journal of economic dynamics & control
1
Journal of financial engineering
1
Mathematical methods of operations research
1
Mathematics and financial economics
1
Mathematics of operations research
1
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RePEc
50
ECONIS (ZBW)
46
EconStor
10
Other ZBW resources
2
BASE
1
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31
Indifference pricing of pure endowments via BSDEs under partial information
Ceci, Claudia
;
Colaneri, Katia
;
Cretarola, Alessandra
- In:
Scandinavian actuarial journal
2020
(
2020
)
10
,
pp. 904-933
Persistent link: https://www.econbiz.de/10012313747
Saved in:
32
Backward
stochastic
differential
equations
Lin, Hongcan
;
Saunders, David M.
;
Weng, Chengguo
- In:
Operations research letters
48
(
2020
)
2
,
pp. 130-135
Persistent link: https://www.econbiz.de/10012254025
Saved in:
33
An acceleration scheme for deep learning-based BSDE solver using weak expansions
Naito, Riu
;
Yamada, Toshihiro
- In:
International journal of financial engineering
7
(
2020
)
2
,
pp. 1-12
Persistent link: https://www.econbiz.de/10012602946
Saved in:
34
Reflected BSDEs with stochastic monotone generator and application to valuing American options
Marzougue, Mohamed
- In:
International journal of theoretical and applied finance
23
(
2020
)
5
,
pp. 1-26
Persistent link: https://www.econbiz.de/10012496720
Saved in:
35
Nonlinear valuation under credit, funding, and margins : existence, uniqueness, invariance, and disentanglement
Brigo, Damiano
;
Francischello, Marco
;
Pallavicini, Andrea
- In:
European journal of operational research : EJOR
274
(
2019
)
2
,
pp. 788-805
Persistent link: https://www.econbiz.de/10011990226
Saved in:
36
Stochastic utilities with subsistence and satiation : optimal life insurance purchase, consumption and investment
Ye, Jinchun
- In:
Insurance / Mathematics & economics
89
(
2019
),
pp. 193-212
Persistent link: https://www.econbiz.de/10012133531
Saved in:
37
Stochastic differential games : a sampling approach via FBSDEs
Exarchos, Ioannis
;
Theodorou, Evangelos
;
Tsiotras, …
- In:
Dynamic games and applications : DGA
9
(
2019
)
2
,
pp. 486-505
Persistent link: https://www.econbiz.de/10012225457
Saved in:
38
A numerical algorithm for fully nonlinear HJB equations: an approach by control randomization
Kharroubi, Idris
;
Langrené, Nicolas
;
Pham, Huyên
-
HAL
-
2013
We propose a probabilistic numerical algorithm to solve
Backward
Stochastic
Differential
Equations
(BSDEs) with …
Persistent link: https://www.econbiz.de/10010821395
Saved in:
39
Optimal portfolio allocation of commodity related assets using a controlled forward-backward algorithm
Ludwig, Stephan Ernst
-
2013
Persistent link: https://www.econbiz.de/10009746647
Saved in:
40
Arbitrage-free XVA
Bichuch, Maxim
;
Capponi, Agostino
;
Sturm, Stephan
- In:
Mathematical finance : an international journal of …
28
(
2018
)
2
,
pp. 582-620
Persistent link: https://www.econbiz.de/10011969094
Saved in:
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