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  • Search: subject:"quadratic backward stochastic differential equations"
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Year of publication
Subject
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Bismut formula 1 HJB equations with quadratic hamiltonian 1 Infinite dimensions 1 Optimal investment 1 Quadratic backward stochastic differential equations 1 dynamic programming 1 multiple defaults 1 progressive enlargement of filtrations 1 quadratic backward stochastic differential equations 1
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Undetermined 1
Type of publication
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Article 1 Book / Working Paper 1
Language
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Undetermined 2
Author
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Jiao, Ying 1 Kharroubi, Idris 1 Masiero, Federica 1 Pham, Huyen 1
Institution
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Université Paris-Dauphine (Paris IX) 1
Published in...
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Economics Papers from University Paris Dauphine 1 Stochastic Processes and their Applications 1
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RePEc 2
Showing 1 - 2 of 2
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A Bismut–Elworthy formula for quadratic BSDEs
Masiero, Federica - In: Stochastic Processes and their Applications 125 (2015) 5, pp. 1945-1979
We consider a backward stochastic differential equation in a Markovian framework for the pair of processes (Y,Z), with generator with quadratic growth with respect to Z. Under non-degeneracy assumptions, we prove an analogue of the well-known Bismut–Elworthy formula when the generator has...
Persistent link: https://www.econbiz.de/10011209765
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Cover Image
Optimal investment under multiple defaults risk: a BSDE-decomposition approach
Jiao, Ying; Kharroubi, Idris; Pham, Huyen - Université Paris-Dauphine (Paris IX) - 2013
Backward Stochastic Differential Equations (BSDEs) in Brownian filtration, and our main result is to prove under fairly general … are determined in a backward induction. The dynamic programming method leads to a backward recursive system of quadratic …
Persistent link: https://www.econbiz.de/10011166302
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