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~person:"Kohlmann, Michael"
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BSDES With Stochastic Lipschitz Condition
Bender, Christian
;
Kohlmann, Michael
-
2000
We prove an existence and uniqueness theorem for backward stochastic differential equations driven by a Brownian motion, where the uniform Lipschitz continuity is replaced by a stochastic one.
Persistent link: https://www.econbiz.de/10010324028
Saved in:
2
Backward Stochastic Differential Equations and Stochastic Controls: A New Perspective
Kohlmann, Michael
;
Zhou, Xun Yu
-
1999
It is well known that backward stochastic differential equations (BSDEs) stem from the study on the Pontryagin type maximum principle for optional stochastic control. A solution of a BSDE hits a given terminal value (which is a random variable) by virtue of an additional martingale term and an...
Persistent link: https://www.econbiz.de/10010324050
Saved in:
3
The Informed and Uninformed Agent's Price of a Contingent Claim
Kohlmann, Michael
;
Zhou, Xun Yu
-
1999
The existence of an adapted solution to a backward stochastic differential equation which is not adapted to the filtration of the underlying Brownian motion is proved. This result is applied to the pricing of contingent claims. It allows to compare the prices of agents who have different...
Persistent link: https://www.econbiz.de/10010324069
Saved in:
4
(Reflected) Backward Stochastic Differential Equations and Contingent Claims
Kohlmann, Michael
-
1999
We review the relations between adjoints of stochastic control problems with the derivative of the value function, and the latter with the value function of a stopping problem. These results are applied to the pricing of contingent claims.
Persistent link: https://www.econbiz.de/10010324095
Saved in:
5
Neyman-Pearson Hedging and Dynamic Measures of Risk
Kohlmann, Michael
-
2000
In both complete and incomplete markets we consider the problem of fulfilling a financial obligation xc as well as possible at time T if the initial capital is not sufficient to hedge xc. This introduces a new risk into the market and our main aim is to minimize this shortfall risk by making use...
Persistent link: https://www.econbiz.de/10010324097
Saved in:
6
Backward stochastic differential equations and stochastic controls : a new perspective
Kohlmann, Michael
;
Zhou, Xun Yu
-
1999
Persistent link: https://www.econbiz.de/10001381857
Saved in:
7
BSDES with stochastic Lipschitz condition
Bender, Christian
;
Kohlmann, Michael
-
2000
Persistent link: https://www.econbiz.de/10011543449
Saved in:
8
Backward stochastic differential equations and stochastic controls : a new perspective
Kohlmann, Michael
;
Zhou, Xun Yu
-
1999
It is well known that backward stochastic differential equations (BSDEs) stem from the study on the Pontryagin type maximum principle for optional stochastic control. A solution of a BSDE hits a given terminal value (which is a random variable) by virtue of an additional martingale term and an...
Persistent link: https://www.econbiz.de/10011543852
Saved in:
9
The informed and uninformed agent's price of a contingent claim
Kohlmann, Michael
;
Zhou, Xun Yu
-
1999
The existence of an adapted solution to a backward stochastic differential equation which is not adapted to the filtration of the underlying Brownian motion is proved. This result is applied to the pricing of contingent claims. It allows to compare the prices of agents who have different...
Persistent link: https://www.econbiz.de/10011544358
Saved in:
10
(Reflected) backward stochastic differential equations and contingent claims
Kohlmann, Michael
-
1999
We review the relations between adjoints of stochastic control problems with the derivative of the value function, and the latter with the value function of a stopping problem. These results are applied to the pricing of contingent claims.
Persistent link: https://www.econbiz.de/10011544985
Saved in:
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