Search Results - subject:"backward stochastic differential equations"

A mathematical treatment of bank monitoring incentives

Pagès, H.; Possamai, D. - Banque de France - 2012

stochastic differential equations described in [6] and leads to a simple recursive system of Hamilton-Jacobi-Bellman equations … stochastic control problem. The approach has the advantage of avoiding the more general techniques based on forward-backward …

Persistent link: https://www.econbiz.de/10010544323

Optimal stochastic control problem under model uncertainty with nonentropy penalty

Faidi, Wahid; Matoussi, Anis; Mnif, Mohamed - In: International journal of theoretical and applied finance 20 (2017) 3, pp. 1-41

Persistent link: https://www.econbiz.de/10011686954

Hedging under generalized good-deal bounds and model uncertainty

Becherer, Dirk; Kentia Tonleu, Klébert - In: Mathematical methods of operations research 86 (2017) 1, pp. 171-214

Persistent link: https://www.econbiz.de/10011714399

Minimal Supersolutions of BSDEs with Lower Semicontinuous Generators

Heyne, Gregor; Kupper, Michael; Mainberger, Christoph - 2011

We study the existence and uniqueness of minimal supersolutions of backward stochastic differential equations with …

Persistent link: https://www.econbiz.de/10009467129

Minimal supersolutions of BSDEs with lower semicontinuous generations

Heyne, Gregor; Kupper, Michael; Mainberger, Christoph - 2011

We study the existence and uniqueness of minimal supersolutions of backward stochastic differential equations with …

Persistent link: https://www.econbiz.de/10010281563

When to cross the spread: Curve following with singular control

Naujokat, Felix; Horst, Ulrich - 2011

In this article the problem of curve following in an illiquid market is addressed. Using techniques of singular stochastic control, we extend the results of [NW11] to a twosided limit order market with temporary market impact and resilience, where the bid ask spread is now also controlled. We...

Persistent link: https://www.econbiz.de/10010281591

When to Cross the Spread: Curve Following with Singular Control

Naujokat, Felix; Horst, Ulrich - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2011

Persistent link: https://www.econbiz.de/10009246595

A Parallel Algorithm for solving BSDEs - Application to the pricing and hedging of American options

Labart, Céline; Lelong, Jérôme - HAL - 2011

We present a parallel algorithm for solving backward stochastic differential equations (BSDEs in short) which are very …

Persistent link: https://www.econbiz.de/10008854443

Minimal Supersolutions of BSDEs with Lower Semicontinuous Generators

Heyne, Gregor; Kupper, Michael; Mainberger, Christoph - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2011

We study the existence and uniqueness of minimal supersolutions of backward stochastic differential equations with …

Persistent link: https://www.econbiz.de/10010607152

Swing Options Valuation:a BSDE with Constrained Jumps Approach

Bernhart, Marie; Pham, Huyên; Tankov, Peter; Warin, Xavier - HAL - 2011

as Backward Stochastic Differential Equations (BSDEs for short) with constrained jumps. As an example, our method is used …

Persistent link: https://www.econbiz.de/10008793451