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Random optimization on random sets
Lepinette, Emmanuel - In: Mathematical methods of operations research : ZOR 91 (2020) 1, pp. 159-173
Persistent link: https://www.econbiz.de/10012229497
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Approximation of non-Lipschitz SDEs by Picard iterations
Baptiste, Julien; Grepat, Julien; Lepinette, Emmanuel - In: Applied mathematical finance 25 (2018) 1/2, pp. 148-179
Persistent link: https://www.econbiz.de/10011959124
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Coherent risk measure on L0 : NA condition, pricing and dual representation
Lepinette, Emmanuel; Duc Thinh Vu - In: International journal of theoretical and applied finance 24 (2021) 6/7, pp. 1-26
Persistent link: https://www.econbiz.de/10012807990
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Ruin probabilities for a Sparre Andersen model with investments : the case of annuity payments
Kabanov, Jurij M.; Promyslov, Platon - In: Finance and stochastics 27 (2023) 4, pp. 887-902
Persistent link: https://www.econbiz.de/10014426395
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No arbitrage of the first kind and local martingale numéraires
Kabanov, Jurij M.; Kardaras, Constantinos; Song, Shiqi - In: Finance and stochastics 20 (2016) 4, pp. 1097-1108
Persistent link: https://www.econbiz.de/10011570475
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Consumption-investment problem with transaction costs for Lévy-driven price processes
Vallière, Dimitri De; Kabanov, Jurij M.; Lépinette, … - In: Finance and stochastics 20 (2016) 3, pp. 705-740
Persistent link: https://www.econbiz.de/10011531437
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In the insurance business risky investments are dangerous : the case of negative risk sums
Kabanov, Jurij M.; Pergamenshchikov, Serguei - In: Finance and stochastics 20 (2016) 2, pp. 355-379
Persistent link: https://www.econbiz.de/10011471125
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Ruin probabilities for a Lévy-driven generalised Ornstein-Uhlenbeck process
Kabanov, Jurij M.; Pergamenshchikov, Serguei - In: Finance and stochastics 24 (2020) 1, pp. 39-69
Persistent link: https://www.econbiz.de/10012253340
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On a multi-asset version of the Kusuoka limit theorem of option superreplication under transaction costs
Grépat, Julien; Kabanov, Jurij M. - In: Finance and stochastics 25 (2021) 1, pp. 167-187
Persistent link: https://www.econbiz.de/10012433525
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On ruin probabilities with investments in a risky asset with a regime-switching price
Kabanov, Jurij M.; Pergamenščikov, Sergej M. - In: Finance and stochastics 26 (2022) 4, pp. 877-897
Persistent link: https://www.econbiz.de/10013440255