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Probabilistic bisection with spatial metamodels

Rodriguez, Sergio; Ludkovski, Michael - In: European journal of operational research : EJOR 286 (2020) 2, pp. 588-603

Persistent link: https://www.econbiz.de/10012291550

Market and model risks : a feasible joint estimate methodology

González Sánchez, Mariano; Ibáñez Jiménez, Eva M.; … - In: Risk management : an international journal 24 (2022) 3, pp. 187-213

Persistent link: https://www.econbiz.de/10013387552

Risk measures and nonlinear expectations

Chen, Zengjing; He, Kun; Kulperger, Reg - In: Journal of mathematical finance 3 (2013) 3, pp. 383-391

Persistent link: https://www.econbiz.de/10010239533

Neyman-Pearson hedging and dynamic measures of risk

Kohlmann, Michael - 2000

main aim is to minimize this shortfall risk by making use of results from bsde theory. …

Persistent link: https://www.econbiz.de/10011545021

Multi-dimensional uncertain differential equation: existence and uniqueness of solution

Ji, Xiaoyu; Zhou, Jian - In: Fuzzy optimization and decision making : a journal of … 14 (2015) 4, pp. 477-491

Persistent link: https://www.econbiz.de/10011538508

Existence of arrow-debreu equilibrium with generalized stochastic differential utility

Beißner, Patrick - 2011

This paper establishes, in the setting of Brownian information, a general equilibrium existence result under a stochastic differential formulation of intertemporal recursive utility. The present class of utility functionals is generated by a backward stochastic differential equation and...

Persistent link: https://www.econbiz.de/10008937554