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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

Mean-field type games between two players driven by backward stochastic differential equations

Aurell, Alexander - In: Games 9 (2018) 4/88, pp. 1-26

In this paper, mean-field type games between two players with backward stochastic dynamics are defined and studied. They make up a class of non-zero-sum, non-cooperating, differential games where the players’ state dynamics solve backward stochastic differential equations (BSDE) that depend on...

Persistent link: https://www.econbiz.de/10012014876

Risk-sensitive mean field games via the stochastic maximum principle

Moon, Jun; Başar, Tamer - In: Dynamic games and applications : DGA 9 (2019) 4, pp. 1100-1125

Persistent link: https://www.econbiz.de/10012226193

Stability, fairness and random walks in the bargaining problem

Kapeller, Jakob; Steinerberger, Stefan - 2017

We study the classical bargaining problem and its two canonical solutions, (Nash and Kalai-Smorodinsky), from a novel point of view: we ask for stability of the solution if both players are able distort the underlying bargaining process by reference to a third party (e.g. a court). By exploring...

Persistent link: https://www.econbiz.de/10011781098

On a new paradigm of optimal reinsurance : a stochastic stackelberg differential game between an insurer and a reinsurer

Lv, Chen; Shen, Yang - In: Astin bulletin : the journal of the International … 48 (2018) 2, pp. 905-960

Persistent link: https://www.econbiz.de/10011875926

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