Backward stochastic Volterra integral equations and some related problems
Author
Abstract
Suggested Citation
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- N. El Karoui & S. Peng & M. C. Quenez, 1997. "Backward Stochastic Differential Equations in Finance," Mathematical Finance, Wiley Blackwell, vol. 7(1), pages 1-71, January.
- Duffie, Darrel & Lions, Pierre-Louis, 1992. "PDE solutions of stochastic differential utility," Journal of Mathematical Economics, Elsevier, vol. 21(6), pages 577-606.
- Duffie, Darrell & Epstein, Larry G, 1992. "Stochastic Differential Utility," Econometrica, Econometric Society, vol. 60(2), pages 353-394, March.
- Duffie, Darrell & Skiadas, Costis, 1994. "Continuous-time security pricing : A utility gradient approach," Journal of Mathematical Economics, Elsevier, vol. 23(2), pages 107-131, March.
- Schroder, Mark & Skiadas, Costis, 1999. "Optimal Consumption and Portfolio Selection with Stochastic Differential Utility," Journal of Economic Theory, Elsevier, vol. 89(1), pages 68-126, November.
- Briand, Ph. & Delyon, B. & Hu, Y. & Pardoux, E. & Stoica, L., 2003. "Lp solutions of backward stochastic differential equations," Stochastic Processes and their Applications, Elsevier, vol. 108(1), pages 109-129, November.
- Duffie, Darrell & Epstein, Larry G, 1992. "Asset Pricing with Stochastic Differential Utility," The Review of Financial Studies, Society for Financial Studies, vol. 5(3), pages 411-436.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Beissner, Patrick & Rosazza Gianin, Emanuela, 2018. "The Term Structure of Sharpe Ratios and Arbitrage-Free Asset Pricing in Continuous Time," Rationality and Competition Discussion Paper Series 72, CRC TRR 190 Rationality and Competition.
- Øksendal, Bernt & Sandal, Leif & Ubøe, Jan, 2013.
"Stochastic Stackelberg equilibria with applications to time-dependent newsvendor models,"
Journal of Economic Dynamics and Control, Elsevier, vol. 37(7), pages 1284-1299.
- Øksendal, Bernt & Sandal, Leif K. & Ubøe, Jan, 2011. "Stochastic Stackelberg equilibria with applications to time dependent newsvendor models," Discussion Papers 2011/9, Norwegian School of Economics, Department of Business and Management Science.
- Hu, Yaozhong & Øksendal, Bernt, 2019. "Linear Volterra backward stochastic integral equations," Stochastic Processes and their Applications, Elsevier, vol. 129(2), pages 626-633.
- Michele Giordano & Anton Yurchenko-Tytarenko, 2024. "Optimal control in linear-quadratic stochastic advertising models with memory," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 47(1), pages 275-298, June.
- Wang, Tianxiao & Yong, Jiongmin, 2019. "Backward stochastic Volterra integral equations—Representation of adapted solutions," Stochastic Processes and their Applications, Elsevier, vol. 129(12), pages 4926-4964.
- Hernández, Camilo, 2023. "On quadratic multidimensional type-I BSVIEs, infinite families of BSDEs and their applications," Stochastic Processes and their Applications, Elsevier, vol. 162(C), pages 249-298.
- Djordjević, Jasmina & Janković, Svetlana, 2015. "Backward stochastic Volterra integral equations with additive perturbations," Applied Mathematics and Computation, Elsevier, vol. 265(C), pages 903-910.
- Wang, Tianxiao & Yong, Jiongmin, 2015. "Comparison theorems for some backward stochastic Volterra integral equations," Stochastic Processes and their Applications, Elsevier, vol. 125(5), pages 1756-1798.
- Deya, Aurélien & Tindel, Samy, 2011. "Rough Volterra equations 2: Convolutional generalized integrals," Stochastic Processes and their Applications, Elsevier, vol. 121(8), pages 1864-1899, August.
- Eduard Kromer & Ludger Overbeck, 2017. "DIFFERENTIABILITY OF BSVIEs AND DYNAMIC CAPITAL ALLOCATIONS," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(07), pages 1-26, November.
- Nacira Agram & Bernt Øksendal, 2015. "Malliavin Calculus and Optimal Control of Stochastic Volterra Equations," Journal of Optimization Theory and Applications, Springer, vol. 167(3), pages 1070-1094, December.
- Y. Ren, 2010. "On Solutions of Backward Stochastic Volterra Integral Equations with Jumps in Hilbert Spaces," Journal of Optimization Theory and Applications, Springer, vol. 144(2), pages 319-333, February.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Lazrak, Ali & Zapatero, Fernando, 2004.
"Efficient consumption set under recursive utility and unknown beliefs,"
Journal of Mathematical Economics, Elsevier, vol. 40(1-2), pages 207-226, February.
- Ali Lazrak & Fernando Zapatero, 2002. "Efficient Consumption Set Under Recursive Utility and Unknown Beliefs," Research Paper Series 85, Quantitative Finance Research Centre, University of Technology, Sydney.
- Shigeta, Yuki, 2020.
"Gain/loss asymmetric stochastic differential utility,"
Journal of Economic Dynamics and Control, Elsevier, vol. 118(C).
- Yuki SHIGETA, 2019. "Gain/Loss Asymmetric Stochastic Differential Utility," Discussion papers e-19-004, Graduate School of Economics , Kyoto University.
- Zixin Feng & Dejian Tian, 2021. "Optimal consumption and portfolio selection with Epstein-Zin utility under general constraints," Papers 2111.09032, arXiv.org, revised May 2023.
- Jianjun Miao, 2009.
"Ambiguity, Risk and Portfolio Choice under Incomplete Information,"
Annals of Economics and Finance, Society for AEF, vol. 10(2), pages 257-279, November.
- Jianjun Miao, "undated". "Ambiguity, Risk and Portfolio Choice under Incomplete Information," Boston University - Department of Economics - Working Papers Series wp2009-019, Boston University - Department of Economics.
- Benzoni, Luca & Collin-Dufresne, Pierre & Goldstein, Robert S., 2011.
"Explaining asset pricing puzzles associated with the 1987 market crash,"
Journal of Financial Economics, Elsevier, vol. 101(3), pages 552-573, September.
- Luca Benzoni & Pierre Collin-Dufresne & Robert S. Goldstein, 2010. "Explaining asset pricing puzzles associated with the 1987 market crash," Working Paper Series WP-2010-10, Federal Reserve Bank of Chicago.
- Knut K. Aase & Petter Bjerksund, 2021.
"The Optimal Spending Rate versus the Expected Real Return of a Sovereign Wealth Fund,"
JRFM, MDPI, vol. 14(9), pages 1-36, September.
- Aase, Knut K. & Bjerksund, Petter, 2021. "The optimal spending rate versus the expected real return of a sovereign wealth fund," Discussion Papers 2021/1, Norwegian School of Economics, Department of Business and Management Science.
- Schroder, Mark & Skiadas, Costis, 2005. "Lifetime consumption-portfolio choice under trading constraints, recursive preferences, and nontradeable income," Stochastic Processes and their Applications, Elsevier, vol. 115(1), pages 1-30, January.
- Kyoung Jin Choi & Hyeng Keun Koo & Do Young Kwak, 2004. "Optimal Stopping of Active Portfolio Management," Annals of Economics and Finance, Society for AEF, vol. 5(1), pages 93-126, May.
- Li, Hanwu & Riedel, Frank & Yang, Shuzhen, 2024.
"Optimal consumption for recursive preferences with local substitution — the case of certainty,"
Journal of Mathematical Economics, Elsevier, vol. 110(C).
- Li, Hanwu & Riedel, Frank & Yang, Shuzhen, 2022. "Optimal Consumption for Recursive Preferences with Local Substitution - the Case of Certainty," Center for Mathematical Economics Working Papers 670, Center for Mathematical Economics, Bielefeld University.
- Olivier Menoukeu Pamen, 2015. "Optimal Control for Stochastic Delay Systems Under Model Uncertainty: A Stochastic Differential Game Approach," Journal of Optimization Theory and Applications, Springer, vol. 167(3), pages 998-1031, December.
- Akira Kashiwabara & Nobuhiro Nakamura, 2011. "Dynamic Investment Strategies to Reaction–Diffusion Systems Based upon Stochastic Differential Utilities," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 18(2), pages 131-150, May.
- Hao Xing, 2015. "Consumption investment optimization with Epstein-Zin utility in incomplete markets," Papers 1501.04747, arXiv.org, revised Nov 2015.
- Johnson Kakeu, 2016. "Exhaustibility and Risk as Asset Class Dimensions: A Social Investor Approach to Capital-Resource Economies," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 65(4), pages 677-695, December.
- Dietmar P.J. Leisen & Eckhard Platen, 2017.
"Investing for the Long Run,"
Research Paper Series
381, Quantitative Finance Research Centre, University of Technology, Sydney.
- Dietmar Leisen & Eckhard Platen, 2017. "Investing for the Long Run," Papers 1705.03929, arXiv.org.
- Hao Xing, 2017. "Consumption–investment optimization with Epstein–Zin utility in incomplete markets," Finance and Stochastics, Springer, vol. 21(1), pages 227-262, January.
- Roche, Hervé, 2011. "Asset prices in an exchange economy when agents have heterogeneous homothetic recursive preferences and no risk free bond is available," Journal of Economic Dynamics and Control, Elsevier, vol. 35(1), pages 80-96, January.
- Dirk Becherer & Wilfried Kuissi-Kamdem & Olivier Menoukeu-Pamen, 2023. "Optimal consumption with labor income and borrowing constraints for recursive preferences," Working Papers hal-04017143, HAL.
- Yu Chen & Thomas Cosimano & Alex Himonas & Peter Kelly, 2014. "An Analytic Approach for Stochastic Differential Utility for Endowment and Production Economies," Computational Economics, Springer;Society for Computational Economics, vol. 44(4), pages 397-443, December.
- Schroder, Mark & Skiadas, Costis, 1999. "Optimal Consumption and Portfolio Selection with Stochastic Differential Utility," Journal of Economic Theory, Elsevier, vol. 89(1), pages 68-126, November.
- Kraft, Holger & Seifried, Frank Thomas, 2014. "Stochastic differential utility as the continuous-time limit of recursive utility," Journal of Economic Theory, Elsevier, vol. 151(C), pages 528-550.
More about this item
Keywords
Backward stochastic Volterra integral equation Adapted solutions Duality principle Comparison theorem Pontryagin maximum principle;Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:spapps:v:116:y:2006:i:5:p:779-795. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.