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~subject:"Backward stochastic differential equation"
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Backward stochastic differential equation
Stochastischer Prozess
167
Stochastic process
161
Analysis
150
Mathematical analysis
145
Theorie
132
Theory
124
Optionspreistheorie
91
Option pricing theory
90
Stochastic differential equation
80
stochastic differential equation
61
Differentialgleichung
43
Portfolio-Management
43
Portfolio selection
41
backward stochastic differential equation
35
Risk
32
Risiko
30
Volatility
29
Volatilität
29
Differential equation
26
Kontrolltheorie
25
partial differential equation
22
Control theory
21
Estimation theory
20
Schätztheorie
20
Mathematical programming
19
Mathematische Optimierung
19
Partial differential equation
19
Hedging
17
Uncertain differential equation
17
Uncertainty theory
17
differential equation
17
Derivat
16
Derivative
16
Finanzmathematik
16
Mathematical finance
16
Black-Scholes model
15
Black-Scholes-Modell
15
Experiment
15
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15
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English
19
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Zhang, Yumo
3
Fan, ShengJun
2
Hu, Yijun
2
Mania, Michael
2
Peng, Xingchun
2
Porchet, Arnaud
2
Santacroce, Marina
2
Seifried, Frank Thomas
2
Shen, Yang
2
Touzi, Nizar
2
Warin, Xavier
2
Wei, Linxiao
2
Xing, Hao
2
Zeng, Yan
2
Belak, Christoph
1
Boetius, Frederik
1
Chen, Zengjing
1
Djehiche, Boualem
1
Essaky, E.H.
1
Geiss, Christel
1
Geiss, Stefan
1
Gobet, Emmanuel
1
Guo, Junyi
1
Hassani, M.
1
Izumi, Yuki
1
Ji, Ronglin
1
Jiang, Long
1
Kohlmann, Michael
1
Kraft, Holger
1
Li, Danping
1
Li, Shoumei
1
Lin, Qian
1
Löfdahl, Björn
1
Nie, Tianyang
1
Ouknine, Y.
1
Seiferling, Thomas
1
Shi, Jingtao
1
Shi, Xuejun
1
Sun, Zhongyang
1
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International Centre for Economic Research (ICER)
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Insurance / Mathematics & economics
7
Statistics & Probability Letters
5
Stochastic Processes and their Applications
3
CoFE discussion papers
2
Dynamic games and applications : DGA
2
Mathematics and financial economics
2
Annals of finance
1
Asia Pacific financial markets
1
Computational Statistics
1
Decisions in economics and finance : a journal of applied mathematics
1
Finance and Stochastics
1
Finance and stochastics
1
ICER Working Papers - Applied Mathematics Series
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ECONIS (ZBW)
19
RePEc
13
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1
Robust optimal asset-liability management with mispricing and stochastic factor market dynamics
Wang, Ning
;
Zhang, Yumo
- In:
Insurance / Mathematics & economics
113
(
2023
),
pp. 251-273
Persistent link: https://www.econbiz.de/10014466215
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2
Control variate method for deep BSDE solver using weak approximation
Tsuchida, Yoshifumi
- In:
Asia Pacific financial markets
30
(
2023
)
2
,
pp. 273-296
Persistent link: https://www.econbiz.de/10014342288
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3
Utility maximization in a stochastic affine interest rate and CIR risk premium framework : a BSDE approach
Zhang, Yumo
- In:
Decisions in economics and finance : a journal of …
46
(
2023
)
1
,
pp. 97-128
Persistent link: https://www.econbiz.de/10014321379
Saved in:
4
Maximum principle for general partial information nonzero sum stochastic differential games and applications
Nie, Tianyang
;
Wang, Falei
;
Yu, Zhiyong
- In:
Dynamic games and applications : DGA
12
(
2022
)
2
,
pp. 608-631
Persistent link: https://www.econbiz.de/10013198740
Saved in:
5
Dynamic optimal mean-variance portfolio selection with stochastic volatility and stochastic interest rate
Zhang, Yumo
- In:
Annals of finance
18
(
2022
)
4
,
pp. 511-544
Persistent link: https://www.econbiz.de/10013489465
Saved in:
6
A generalized stochastic differential utility driven by G-Brownian motion
Lin, Qian
;
Tian, Dejian
;
Tian, Weidong
- In:
Mathematics and financial economics
14
(
2020
)
3
,
pp. 547-576
Persistent link: https://www.econbiz.de/10012240314
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7
A Stackelberg game of backward stochastic differential equations with applications
Zheng, Yueyang
;
Shi, Jingtao
- In:
Dynamic games and applications : DGA
10
(
2020
)
4
,
pp. 968-992
Persistent link: https://www.econbiz.de/10012628843
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8
Dynamic risk measures for processes via backward stochastic differential equations
Ji, Ronglin
;
Shi, Xuejun
;
Wang, Shijie
;
Zhou, Jinming
- In:
Insurance / Mathematics & economics
86
(
2019
),
pp. 43-50
Persistent link: https://www.econbiz.de/10012058682
Saved in:
9
Dynamic derivative-based investment strategy for mean-variance asset-liability management with stochastic volatility
Li, Danping
;
Shen, Yang
;
Zeng, Yan
- In:
Insurance / Mathematics & economics
78
(
2018
),
pp. 72-86
Persistent link: https://www.econbiz.de/10011825217
Saved in:
10
Optimal mean-variance investment and reinsurance problem for an insurer with stochastic volatility
Sun, Zhongyang
;
Guo, Junyi
- In:
Mathematical methods of operations research
88
(
2018
)
1
,
pp. 59-79
Persistent link: https://www.econbiz.de/10011903385
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