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  • Search: subject:"Backward stochastic differential equations"
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Year of publication
Subject
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Stochastischer Prozess 45 Stochastic process 43 Analysis 41 Mathematical analysis 39 Backward stochastic differential equations 37 Optionspreistheorie 26 Option pricing theory 25 backward stochastic differential equations 21 Theorie 15 Kontrolltheorie 13 Control theory 12 Theory 12 Portfolio-Management 8 forward-backward stochastic differential equations 8 Portfolio selection 7 Finanzmathematik 6 Risiko 5 Risk 5 Stochastic differential games 5 Stochastic game 5 Stochastisches Spiel 5 Utility maximization 5 Viscosity solution 5 Asymptotic expansion 4 Deep learning 4 Experiment 4 Game theory 4 Mathematical finance 4 Mathematical programming 4 Mathematische Optimierung 4 Spieltheorie 4 Stochastic control 4 Black-Scholes model 3 Black-Scholes-Modell 3 Comparison theorem 3 Control variate method 3 Deep BSDE solver 3 Forward–backward stochastic differential equations 3 Hedging 3 Incomplete information 3
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Online availability
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Undetermined 56 Free 37
Type of publication
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Article 77 Book / Working Paper 31
Type of publication (narrower categories)
All
Article in journal 33 Aufsatz in Zeitschrift 33 Working Paper 13 Arbeitspapier 9 Graue Literatur 9 Non-commercial literature 9 Article 6 research-article 2 Aufsatz im Buch 1 Book section 1 Hochschulschrift 1 Report 1 Thesis 1
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Language
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English 63 Undetermined 45
Author
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Takahashi, Akihiko 6 Horst, Ulrich 5 Yamada, Toshihiro 5 Ceci, Claudia 4 Pham, Huyên 4 Quenez, Marie-Claire 4 Zhang, Jianfeng 4 Delong, Łukasz 3 Heyne, Gregor 3 Imkeller, Peter 3 Kharroubi, Idris 3 Kupper, Michael 3 Mainberger, Christoph 3 Touzi, Nizar 3 Tsuchida, Yoshifumi 3 Warin, Xavier 3 Aurell, Alexander 2 Benazzoli, Chiara 2 Brigo, Damiano 2 Buckdahn, Rainer 2 Cretarola, Alessandra 2 Cvitanic, Jaksa 2 Di Persio, Luca 2 El Asri, Brahim 2 Fahim, Arash 2 Grigorova, Miryana 2 Guerdouh, Dalila 2 Hamadène, Said 2 Hu, Ying 2 Hyndman, Cody 2 Khelfallah, Nabil 2 Kohlmann, Michael 2 Korn, Ralf 2 Kremsner, Stefan 2 Langrené, Nicolas 2 Naujokat, Felix 2 Ouknine, Youssef 2 Oyono Ngou, Polynice 2 Pallavicini, Andrea 2 Peng, Shige 2
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Institution
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Université Paris-Dauphine (Paris IX) 4 HAL 3 Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 3 Banque de France 1 Centre Emile Bernheim, Solvay Brussels School of Economics and Management 1 Finance Discipline Group, Business School 1 University of Bonn, Germany 1 Université Paris-Dauphine 1
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Published in...
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Stochastic Processes and their Applications 19 Statistics & Probability Letters 7 Economics Papers from University Paris Dauphine 4 International journal of theoretical and applied finance 4 CARF working paper 3 CoFE discussion papers 3 Dynamic games and applications : DGA 3 Insurance / Mathematics & economics 3 SFB 649 Discussion Paper 3 SFB 649 Discussion Papers 3 Working Papers / HAL 3 CIRJE discussion papers / F series 2 Finance and Stochastics 2 Games 2 International Journal of Theoretical and Applied Finance (IJTAF) 2 Journal of Risk and Financial Management 2 Journal of risk and financial management : JRFM 2 Mathematical finance : an international journal of mathematics, statistics and financial economics 2 Mathematical finance : an international journal of mathematics, statistics and financial theory 2 Risks 2 Risks : open access journal 2 Asia-Pacific financial markets 1 Astin bulletin : the journal of the International Actuarial Association 1 Center for Mathematical Economics Working Papers 1 Cogent Economics & Finance 1 Cogent economics & finance 1 Contributions to Theoretical Economics 1 Decisions in Economics and Finance 1 Discussion Paper Serie B 1 Dynamic Games and Applications 1 European journal of operational research : EJOR 1 Finance and stochastics 1 Insurance: Mathematics and Economics 1 International journal of financial engineering 1 Journal of Economic Dynamics and Control 1 Journal of economic dynamics & control 1 Journal of financial engineering 1 Mathematical methods of operations research 1 Mathematics and financial economics 1 Mathematics of operations research 1
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Source
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RePEc 50 ECONIS (ZBW) 45 EconStor 10 Other ZBW resources 2 BASE 1
Showing 1 - 10 of 108
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The infinite-horizon investment-consumption problem for Epstein-Zin stochastic differential utility. I : foundations
Herdegen, Martin; Hobson, David G.; Jerome, Joseph - In: Finance and stochastics 27 (2023) 1, pp. 127-158
Persistent link: https://www.econbiz.de/10013489501
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Optimal control strategies for the premium policy of an insurance firm with jump diffusion assets and stochastic interest rate
Guerdouh, Dalila; Khelfallah, Nabil; Vives, Josep - In: Journal of Risk and Financial Management 15 (2022) 3, pp. 1-19
In this paper, we present a stochastic optimal control model to optimize an insurance firm problem in the case where its cash-balance process is assumed to be described by a stochastic differential equation driven by Teugels martingales. Noticing that the insurance firm is able to control its...
Persistent link: https://www.econbiz.de/10013201446
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A fourier interpolation method for numerical solution of FBSDEs: Global convergence, stability, and higher order discretizations
Oyono Ngou, Polynice; Hyndman, Cody - In: Journal of Risk and Financial Management 15 (2022) 9, pp. 1-32
The convolution method for the numerical solution of forward-backward stochastic differential equations (FBSDEs) was …
Persistent link: https://www.econbiz.de/10014332588
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Cover Image
Optimal control strategies for the premium policy of an insurance firm with jump diffusion assets and stochastic interest rate
Guerdouh, Dalila; Khelfallah, Nabil; Vives, Josep - In: Journal of risk and financial management : JRFM 15 (2022) 3, pp. 1-19
In this paper, we present a stochastic optimal control model to optimize an insurance firm problem in the case where its cash-balance process is assumed to be described by a stochastic differential equation driven by Teugels martingales. Noticing that the insurance firm is able to control its...
Persistent link: https://www.econbiz.de/10013165295
Saved in:
Cover Image
A fourier interpolation method for numerical solution of FBSDEs : global convergence, stability, and higher order discretizations
Oyono Ngou, Polynice; Hyndman, Cody - In: Journal of risk and financial management : JRFM 15 (2022) 9, pp. 1-32
The convolution method for the numerical solution of forward-backward stochastic differential equations (FBSDEs) was …
Persistent link: https://www.econbiz.de/10013397739
Saved in:
Cover Image
Mixed zero-sum stochastic differential game and doubly reflected BSDEs with a specific generator
El Asri, Brahim; Ourkiya, Nacer - In: Dynamic games and applications : DGA 14 (2024) 3, pp. 549-577
Persistent link: https://www.econbiz.de/10014556746
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The perturbation method applied to a robust optimization problem with constraint
Luo, Peng; Schied, Alexander; Xue, Xiaole - In: Mathematics and financial economics 18 (2024) 1, pp. 95-112
Persistent link: https://www.econbiz.de/10015045584
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A new efficient approximation scheme for solving high-dimensional semilinear PDEs : control variate method for Deep BSDE solver
Takahashi, Akihiko; Tsuchida, Yoshifumi; Yamada, Toshihiro - 2021 - This version : August 10, 2021
Persistent link: https://www.econbiz.de/10012616192
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Supplementary file for "Sup-inf/inf-sup problem on choice of a probability measure by FBSDE approach"
Saito, Taiga; Takahashi, Akihiko - 2021
Persistent link: https://www.econbiz.de/10012616241
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A new efficient approximation scheme for solving high-dimensional semilinear PDEs : control variate method for Deep BSDE solver
Takahashi, Akihiko; Tsuchida, Yoshifumi; Yamada, Toshihiro - 2021
Persistent link: https://www.econbiz.de/10012813680
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