We prove functional central and non-central limit theorems for generalized variations of the anisotropic d-parameter fractional Brownian sheet (fBs) for any natural number d. Whether the central or the non-central limit theorem applies depends on the Hermite rank of the variation functional and...

In this paper we study BSDEs arising from a special class of backward stochastic partial differential equations (BSPDEs) that is intimately related to utility maximization problems with respect to arbitrary utility functions. After providing existence and uniqueness we discuss the numerical...

In this paper we deal with the utility maximization problem with general utility functions including power utility with liability. We derive a new approach in which we reduce the resulting control problem to the study of a system of fully-coupled Forward–Backward Stochastic Differential...

This paper studies the problem of optimal investment with CRRA (constant, relative risk aversion) preferences, subject to dynamic risk constraints on trading strategies. The market model considered is continuous in time and incomplete; furthermore, financial assets are modeled by Itô processes....

In this paper we deal with the utility maximization problem with a general utility function. We derive a new approach in which we reduce the utility maximization problem with general utility to the study of a fully-coupled Forward-Backward Stochastic Differential Equation (FBSDE).

In this paper we study BSDEs arising from a special class of backward stochastic partial differential equations (BSPDEs) that is intimately related to utility maximization problems with respect to arbitrary utility functions. After providing existence and uniqueness we discuss the numerical...

This paper studies the problem of optimal investment with CRRA (constant, relative risk aversion) preferences, subject to dynamic risk constraints on trading strategies. The market model considered is continuous in time and incomplete; furthermore, financial assets are modeled by Itô processes....

We extend the work of Delong and Imkeller (2010) [6] and [7] concerning backward stochastic differential equations with time delayed generators (delay BSDEs). We give moment and a priori estimates in general Lp-spaces and provide sufficient conditions for the solution of a delay BSDE to exist...

In this paper we give a central limit theorem for the weighted quadratic variation process of a two-parameter Brownian motion. As an application, we show that the discretized quadratic variations of a two-parameter diffusion Y=(Y(s,t))(s,t)[set membership, variant][0,1]2 observed on a regular...

<Para ID="Par1">The paper analyzes risk assessment for cash flow processes in continuous time. We combine the framework of convex risk measures for processes with a decomposition result for optional and predictable measures to provide a systematic approach to the issues of model ambiguity and uncertainty about...</para>