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Partial differential equations in economics and finance

Basov, Suran - 2007

Partial differential equations -- Elements of the theory of the Stochastic processes -- Partial differential equation … in the consumer theory -- Partial differential equations in the producer theory -- Partial differential equations and … pricing of the financial -- Derivatives -- A theory of boundedly rational behavior -- Partial differential equations in game …

Persistent link: https://www.econbiz.de/10003429606

Probability and finance : it's only a game!

Shafer, Glenn; Vovk, Vladimir - 2001

Persistent link: https://www.econbiz.de/10001558958

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

Doubly reflected BSDEs and epsilon f-Dynkin games : beyond the right-continuous case

Grigorova, Miryana; Imkeller, Peter; Quenez, Marie-Claire; … - 2018

We formulate a notion of doubly reflected BSDE in the case where the barriers xi and zeta do not satisfy any regularity assumption. Under a technical assumption (a Mokobodzki-type condition), we show existence and uniqueness of the solution. In the case where xi is right upper-semicontinuous and...

Persistent link: https://www.econbiz.de/10011892215