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Backward stochastic differential equations and stochastic controls : a new perspective
Kohlmann, Michael; Zhou, Xun Yu - 1999
closed form by the stochastic linear-quadratic theory developed recently. The general result is then applied to the Back …
Persistent link: https://www.econbiz.de/10011543852
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(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
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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
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Neyman-Pearson hedging and dynamic measures of risk
Kohlmann, Michael - 2000
Persistent link: https://www.econbiz.de/10001475180
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(Reflected) backward stochastic differential equations and contingent claims
Kohlmann, Michael - 1999
Persistent link: https://www.econbiz.de/10001387121
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Lp Solutions of Reflected Backward Stochastic Differential Equations with Jumps
Yao, Song - 2017
unique Lp solution using a fixed-point argument as well as optimal stopping theory for uniformly integrable processes under …
Persistent link: https://www.econbiz.de/10012963786
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Markovprozesse und stochastische Differentialgleichungen : vom Zufallsspaziergang zur Black-Scholes-Formel
Behrends, Ehrhard - 2013
Persistent link: https://www.econbiz.de/10009678166
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Controlled stochastic differential equations under Poisson uncertainty and with unbounded utility
Sennewald, Ken - In: Journal of economic dynamics & control 31 (2007) 4, pp. 1106-1131
Persistent link: https://www.econbiz.de/10003443356
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A generalized Neyman-Pearson lemma for g-probabilities
Ji, Shaolin; Zhou, Xun Yu - In: Probability theory and related fields 148 (2010) 3/4, pp. 645-669
Persistent link: https://www.econbiz.de/10008649933
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Some new BSDE results for an infinite-horizon stochastic control problem
Hu, Ying; Schweizer, Martin - In: Advanced mathematical methods for finance, (pp. 367-395). 2011
Persistent link: https://www.econbiz.de/10008991281