Search Results - subject:"stochastic maximum principle"

A stochastic maximum principle for Markov chains of mean-field type

Choutri, Salah Eddine; Hamidou, Tembine - In: Games 9 (2018) 4/84, pp. 1-24

We derive sufficient and necessary optimality conditions in terms of a stochastic maximum principle (SMP) for controls …

Persistent link: https://www.econbiz.de/10011993336

Explicit representations for utility indifference prices

Hess, Markus - In: Applied mathematical finance 28 (2021) 1, pp. 23-47

Persistent link: https://www.econbiz.de/10012625986

The VIX and future information

Hess, Markus - In: International journal of theoretical and applied finance 24 (2021) 6/7, pp. 1-30

Persistent link: https://www.econbiz.de/10012807884

Recursive utility using the stochastic maximum principle

Aase, Knut K. - In: Quantitative Economics 7 (2016) 3, pp. 859-887

rate and risk premiums using recursive utility in a continuous-time model. We use the stochastic maximum principle to …

Persistent link: https://www.econbiz.de/10011995477

Recursive utility using the stochastic maximum principle

Aase, Knut K. - In: Quantitative economics : QE ; journal of the … 7 (2016) 3, pp. 859-887

rate and risk premiums using recursive utility in a continuous-time model. We use the stochastic maximum principle to …

Persistent link: https://www.econbiz.de/10011800871

Future expectations modeling, random coefficient forward-backward stochastic differential equations, and stochastic viscosity solutions

Kartala, Xanthi-Isidora; Englezos, Nikolaos; … - In: Mathematics of operations research 45 (2020) 2, pp. 403-433

Persistent link: https://www.econbiz.de/10012242504

Recursive utility and jump-diffusions

Aase, Knut K. - Institutt for foretaksøkonomi, Norges Handelshøyskole … - 2015

substitution, and use the stochastic maximum principle to analyze the model. This method uses forward/backward stochastic …

Persistent link: https://www.econbiz.de/10011145559

Recursive utility and jump-diffusions

Aase, Knut K. - Institutt for foretaksøkonomi, Norges Handelshøyskole … - 2014

We derive the equilibrium interest rate and risk premiums using recursive utility for jump-diffusions. Compared to to the continuous version, including jumps allows for a separate risk aversion related to jump size risk in addition to risk aversion related to the continuous part. We also...

Persistent link: https://www.econbiz.de/10011097056

The Life Cycle Model with Recursive Utility: New insights on pension and life insurance contracts

Aase, Knut K. - Institutt for foretaksøkonomi, Norges Handelshøyskole … - 2014

recursive utility in the life cycle model, where we use the stochastic maximum principle to find the optimal solutions. This is …

Persistent link: https://www.econbiz.de/10011097063

Recursive utility using the stochastic maximum principle

Aase, Knut K. - Institutt for foretaksøkonomi, Norges Handelshøyskole … - 2014

which gives the most unambiguous separation of risk preference from time substitution, and use the stochastic maximum … principle to analyze the model. This method uses forward/backward stochastic differential equations. With existence granted, the …

Persistent link: https://www.econbiz.de/10011245939

A service of the

zbw