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Harmonic analysis of stochastic equations and backward stochastic differential equations

Delbaen, Freddy; Tang, Shanjian - In: Probability theory and related fields 146 (2010) 1/2, pp. 291-336

Persistent link: https://www.econbiz.de/10003933919

Existence and non-uniqueness of solutions for BSDE

Bao, Xiaobo; Delbaen, Freddy; Hu, Ying - In: Contemporary quantitative finance : essays in honour of …, (pp. 123-134). 2010

Persistent link: https://www.econbiz.de/10008749294

Coherent and convex monetary risk measures for unbounded càdlàg processes

Cheridito, Patrick; Delbaen, Freddy; Kupper, Michael - In: Finance and stochastics 9 (2005) 3, pp. 369-387

Persistent link: https://www.econbiz.de/10002946711

Stochastic Order-Monotone Uncertainty-Averse Preferences

Cheridito, Patrick - 2015

In this paper we derive a numerical representation for general complete preferences respecting the following two principles: a) more is better than less, b) averages are better than extremes. To be able to distinguish between risk and ambiguity we work in an Anscombe-Aumann framework. Our main...

Persistent link: https://www.econbiz.de/10013027194

Representation of the penalty term of dynamic concave utilities

Delbaen, Freddy; Peng, Shige; Rosazza Gianin, Emanuela - In: Finance and stochastics 14 (2010) 3, pp. 449-472

Persistent link: https://www.econbiz.de/10010216492