Search Results - subject:"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 …

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

stochastic differential equations (BSDE) that depend on the marginal distributions of player states. Players try to minimize …

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

A stock market model based on CAPM and market size

Flores, Brandon; Ofori-Atta, Blessing; Sarantsev, Andrey - In: Annals of finance 17 (2021) 3, pp. 405-424

Persistent link: https://www.econbiz.de/10012622329

Deep neural network framework based on backward stochastic differential equations for pricing and hedging American options in high dimensions

Chen, Yangang; Wan, Justin W. L. - In: Quantitative finance 21 (2021) 1, pp. 45-67

Persistent link: https://www.econbiz.de/10012424632

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

Optimal fee structure of variable annuities

Wang, Gu; Zou, Bin - In: Insurance / Mathematics & economics 101 (2021) 2, pp. 587-601

Persistent link: https://www.econbiz.de/10012793954

A stochastic differential equation approach to the analysis of the 2017 and 2019 UK general election polls

Levene, Mark; Fenner, Trevor - In: International journal of forecasting 37 (2021) 3, pp. 1227-1234

Persistent link: https://www.econbiz.de/10012794848

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