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~subject:"Stochastischer Prozess"
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Stochastischer Prozess
Theorie
35
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backward stochastic differential equation
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mean-variance hedging
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backward stochastic Riccati equation
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Stochastische Differenzengleichung
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backward semimartingale equations
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variance-optimal martingale measure
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Kohlmann, Michael
30
Tang, Shanjian
10
Zhou, Xun Yu
6
Bender, Christian
4
Xiong, Dewen
4
Li, Bin
1
Li, Danping
1
Shanjian, Tang
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Tian, Kun
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Yan, Wenchao
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CoFE Discussion Paper
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CoFE discussion papers
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Discussion paper series / Zentrum für Finanzen und Ökonometrie, Universität Konstanz
9
Applied mathematical finance
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International journal of financial engineering
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ECONIS (ZBW)
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Mean variance hedging in a general jump model
Kohlmann, Michael
;
Xiong, Dewen
;
Ye, Zhongxing
- In:
Applied mathematical finance
17
(
2010
)
1/2
,
pp. 29-57
Persistent link: https://www.econbiz.de/10003975266
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2
Mean variance hedging in a general jump market
Xiong, Dewen
;
Kohlmann, Michael
- In:
International journal of theoretical and applied finance
13
(
2010
)
5
,
pp. 789-820
Persistent link: https://www.econbiz.de/10008904324
Saved in:
3
The study of dynamics for credit default risk by backward stochastic differential equation method
Tian, Kun
;
Xiong, Dewen
;
Yan, Wenchao
;
Yuan, George Xianzhi
- In:
International journal of financial engineering
5
(
2018
)
4
,
pp. 1-32
Persistent link: https://www.econbiz.de/10012028824
Saved in:
4
Alpha-robust mean-variance reinsurance-investment strategy
Li, Bin
;
Li, Danping
;
Xiong, Dewen
- In:
Journal of economic dynamics & control
70
(
2016
),
pp. 101-123
Persistent link: https://www.econbiz.de/10011708658
Saved in:
5
(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:
6
Neyman-Pearson hedging and dynamic measures of risk
Kohlmann, Michael
-
2000
Persistent link: https://www.econbiz.de/10001475180
Saved in:
7
Optimal control of linear stochastic systems with singular costs, and the mean-variance hedging problem with stochastic market conditions
Kohlmann, Michael
-
2000
Persistent link: https://www.econbiz.de/10001475182
Saved in:
8
(Reflected) backward stochastic differential equations and contingent claims
Kohlmann, Michael
-
1999
Persistent link: https://www.econbiz.de/10001387121
Saved in:
9
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
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10
Multi-Dimensional Backward Stochastic Riccati Equations, and Applications
Kohlmann, Michael
;
Tang, Shanjian
-
2000
Multi-dimensional backward stochastic Riccati differential equations (BSRDEs in short) are studied. A closed property for solutions of BSRDEs with respect to their coefficients is stated and is proved for general BSRDEs, which is used to obtain the existence of a global adapted solution to some...
Persistent link: https://www.econbiz.de/10010324034
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