My bibliography
Save this item
Backward Stochastic Differential Equations in Finance
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Andrew Lesniewski, 2020. "Epidemic control via stochastic optimal control," Papers 2004.06680, arXiv.org, revised May 2020.
- Masaaki Fujii & Akihiko Takahashi, 2016. "Solving Backward Stochastic Differential Equations with quadratic-growth drivers by Connecting the Short-term Expansions," Papers 1606.04285, arXiv.org, revised May 2018.
- Jiequn Han & Ruimeng Hu & Jihao Long, 2020. "Convergence of Deep Fictitious Play for Stochastic Differential Games," Papers 2008.05519, arXiv.org, revised Mar 2021.
- Tie Wang & Siyu Cui, 2022. "Anticipated Backward Doubly Stochastic Differential Equations with Non-Lipschitz Coefficients," Mathematics, MDPI, vol. 10(3), pages 1-18, January.
- Shaolin Ji & Xiaomin Shi, 2016. "Explicit solutions for continuous time mean-variance portfolio selection with nonlinear wealth equations," Papers 1606.05488, arXiv.org.
- Teng, Long, 2022. "Gradient boosting-based numerical methods for high-dimensional backward stochastic differential equations," Applied Mathematics and Computation, Elsevier, vol. 426(C).
- Yingming Ge & Lingfei Li & Gongqiu Zhang, 2022. "A Fourier Transform Method for Solving Backward Stochastic Differential Equations," Methodology and Computing in Applied Probability, Springer, vol. 24(1), pages 385-412, March.
- Kamma, Thijs & Pelsser, Antoon, 2022. "Near-optimal asset allocation in financial markets with trading constraints," European Journal of Operational Research, Elsevier, vol. 297(2), pages 766-781.
- Thibaut Mastrolia, 2017. "Moral hazard in welfare economics: on the advantage of Planner's advices to manage employees' actions," Working Papers hal-01504473, HAL.
- Julia Eisenberg & Stefan Kremsner & Alexander Steinicke, 2021. "Two Approaches for a Dividend Maximization Problem under an Ornstein-Uhlenbeck Interest Rate," Papers 2108.00234, arXiv.org.
- 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.
- Kraft, Holger & Seiferling, Thomas & Seifried, Frank Thomas, 2016. "Optimal consumption and investment with Epstein-Zin recursive utility," SAFE Working Paper Series 52, Leibniz Institute for Financial Research SAFE, revised 2016.
- Ioannis Exarchos & Evangelos Theodorou & Panagiotis Tsiotras, 2019. "Stochastic Differential Games: A Sampling Approach via FBSDEs," Dynamic Games and Applications, Springer, vol. 9(2), pages 486-505, June.
- Gregory Gagnon, 2019. "Vanishing central bank intervention in stochastic impulse control," Annals of Finance, Springer, vol. 15(1), pages 125-153, March.
- Yueyang Zheng & Jingtao Shi, 2020. "A Stackelberg Game of Backward Stochastic Differential Equations with Applications," Dynamic Games and Applications, Springer, vol. 10(4), pages 968-992, December.
- Richter, Anja, 2014. "Explicit solutions to quadratic BSDEs and applications to utility maximization in multivariate affine stochastic volatility models," Stochastic Processes and their Applications, Elsevier, vol. 124(11), pages 3578-3611.
- Antonelli, Fabio & Mancini, Carlo, 2016. "Solutions of BSDE’s with jumps and quadratic/locally Lipschitz generator," Stochastic Processes and their Applications, Elsevier, vol. 126(10), pages 3124-3144.
- Noah Williams, 2004. "On Dynamic Principal-Agent Problems in Continuous Time," Levine's Bibliography 122247000000000426, UCLA Department of Economics.
- Hyndman, Cody Blaine, 2007. "Forward-backward SDEs and the CIR model," Statistics & Probability Letters, Elsevier, vol. 77(17), pages 1676-1682, November.
- Kenichiro Shiraya & Akihiko Takahashi, 2016. "Price impacts of imperfect collateralization," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 3(01), pages 1-31, March.
- Patrick Beissner & Qian Lin & Frank Riedel, 2020. "Dynamically consistent alpha‐maxmin expected utility," Mathematical Finance, Wiley Blackwell, vol. 30(3), pages 1073-1102, July.
- Fujii, Masaaki & Takahashi, Akihiko, 2018. "Quadratic–exponential growth BSDEs with jumps and their Malliavin’s differentiability," Stochastic Processes and their Applications, Elsevier, vol. 128(6), pages 2083-2130.
- Shengqiu Sun, 2024. "Doubly Reflected Backward Stochastic Differential Equations Driven by G-Brownian Motion with Uniformly Continuous Coefficients," Journal of Theoretical Probability, Springer, vol. 37(4), pages 2886-2911, November.
- 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.
- Cohen, Samuel N. & Ji, Shaolin & Yang, Shuzhen, 2014. "A generalized Girsanov transformation of finite state stochastic processes in discrete time," Statistics & Probability Letters, Elsevier, vol. 84(C), pages 33-39.
- Chong, Wing Fung, 2019. "Pricing and hedging equity-linked life insurance contracts beyond the classical paradigm: The principle of equivalent forward preferences," Insurance: Mathematics and Economics, Elsevier, vol. 88(C), pages 93-107.
- Suzuki, Masataka, 2016. "A representative agent asset pricing model with heterogeneous beliefs and recursive utility," International Review of Economics & Finance, Elsevier, vol. 45(C), pages 298-315.
- Alessandro Gnoatto & Athena Picarelli & Christoph Reisinger, 2020.
"Deep xVA solver -- A neural network based counterparty credit risk management framework,"
Papers
2005.02633, arXiv.org, revised Dec 2022.
- Alessandro Gnoatto & Athena Picarelli & Christoph Reisinger, 2020. "Deep xVA solver - A neural network based counterparty credit risk management framework," Working Papers 07/2020, University of Verona, Department of Economics.
- Shuhui Liu, 2024. "The Maximal and Minimal Distributions of Wealth Processes in Black–Scholes Markets," Mathematics, MDPI, vol. 12(10), pages 1-18, May.
- Soner, H. Mete & Touzi, Nizar & Zhang, Jianfeng, 2011. "Martingale representation theorem for the G-expectation," Stochastic Processes and their Applications, Elsevier, vol. 121(2), pages 265-287, February.
- Henry-Labordère, Pierre & Tan, Xiaolu & Touzi, Nizar, 2014. "A numerical algorithm for a class of BSDEs via the branching process," Stochastic Processes and their Applications, Elsevier, vol. 124(2), pages 1112-1140.
- Ling Wang & Mei Choi Chiu & Hoi Ying Wong, 2021. "Time-consistent mean-variance reinsurance-investment problem with long-range dependent mortality rate," Papers 2112.06602, arXiv.org.
- Suleyman Basak & Michael Gallmeyer, 1999.
"Currency Prices, the Nominal Exchange Rate, and Security Prices in a Two‐Country Dynamic Monetary Equilibrium,"
Mathematical Finance, Wiley Blackwell, vol. 9(1), pages 1-30, January.
- Süleyman Basak & Mike Gallmeyer, "undated". "Currency Prices, the Nominal Exchange Rate, and Security Prices in a Two-Country Dynamic Monetary Equilibrium," Rodney L. White Center for Financial Research Working Papers 9-98, Wharton School Rodney L. White Center for Financial Research.
- Basak, S. & Gallmeyer, M., 1998. "Currency Prices, the Nominal Exchange Rate, and Security Prices in a Two Country Dynamic Monetary Equilibrium," Weiss Center Working Papers 98-04, Wharton School - Weiss Center for International Financial Research.
- Süleyman Basak & Mike Gallmeyer, "undated". "Currency Prices, the Nominal Exchange Rate, and Security Prices in a Two-Country Dynamic Monetary Equilibrium," Rodney L. White Center for Financial Research Working Papers 09-98, Wharton School Rodney L. White Center for Financial Research.
- Jakša Cvitanić & Dylan Possamaï & Nizar Touzi, 2017. "Moral Hazard in Dynamic Risk Management," Management Science, INFORMS, vol. 63(10), pages 3328-3346, October.
- Wu, Zhen & Zhuang, Yi, 2018. "Linear-quadratic partially observed forward–backward stochastic differential games and its application in finance," Applied Mathematics and Computation, Elsevier, vol. 321(C), pages 577-592.
- Jianjun Gao & Ke Zhou & Duan Li & Xiren Cao, 2014. "Dynamic Mean-LPM and Mean-CVaR Portfolio Optimization in Continuous-time," Papers 1402.3464, arXiv.org.
- Fan, Shengjun & Hu, Ying, 2021. "Well-posedness of scalar BSDEs with sub-quadratic generators and related PDEs," Stochastic Processes and their Applications, Elsevier, vol. 131(C), pages 21-50.
- 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.
- Ewald, Christian Oliver & Taub, Bart, 2022. "Real options, risk aversion and markets: A corporate finance perspective," Journal of Corporate Finance, Elsevier, vol. 72(C).
- Bouchard, Bruno & Chassagneux, Jean-François, 2008. "Discrete-time approximation for continuously and discretely reflected BSDEs," Stochastic Processes and their Applications, Elsevier, vol. 118(12), pages 2269-2293, December.
- Luis Escauriaza & Daniel C. Schwarz & Hao Xing, 2020. "Radner equilibrium and systems of quadratic BSDEs with discontinuous generators," Papers 2008.03500, arXiv.org, revised May 2021.
- Marzougue, Mohamed, 2021. "Monotonic limit theorem for BSDEs with regulated trajectories," Statistics & Probability Letters, Elsevier, vol. 176(C).
- Cyril B'en'ezet & Jean-Franc{c}ois Chassagneux & Mohan Yang, 2023. "An optimal transport approach for the multiple quantile hedging problem," Papers 2308.01121, arXiv.org.
- Bayraktar, Erhan & Yao, Song, 2012.
"Quadratic reflected BSDEs with unbounded obstacles,"
Stochastic Processes and their Applications, Elsevier, vol. 122(4), pages 1155-1203.
- Erhan Bayraktar & Song Yao, 2010. "Quadratic Reflected BSDEs with Unbounded Obstacles," Papers 1005.3565, arXiv.org, revised Mar 2011.
- Luo, Peng & Menoukeu-Pamen, Olivier & Tangpi, Ludovic, 2022. "Strong solutions of forward–backward stochastic differential equations with measurable coefficients," Stochastic Processes and their Applications, Elsevier, vol. 144(C), pages 1-22.
- Huiwen Yan & Gechun Liang & Zhou Yang, 2015. "Indifference Pricing and Hedging in a Multiple-Priors Model with Trading Constraints," Papers 1503.08969, arXiv.org.
- Stefan Ankirchner & Gregor Heyne, 2012. "Cross hedging with stochastic correlation," Finance and Stochastics, Springer, vol. 16(1), pages 17-43, January.
- Maxim Bichuch & Agostino Capponi & Stephan Sturm, 2020. "Robust XVA," Mathematical Finance, Wiley Blackwell, vol. 30(3), pages 738-781, July.
- Heyne, Gregor & Kupper, Michael & Mainberger, Christoph, 2011. "Minimal supersolutions of BSDEs with lower semicontinuous generations," SFB 649 Discussion Papers 2011-067, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Yaghobipour, S. & Yarahmadi, M., 2018. "Optimal control design for a class of quantum stochastic systems with financial applications," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 512(C), pages 507-522.
- Bayraktar, Erhan & Yao, Song, 2015.
"Doubly reflected BSDEs with integrable parameters and related Dynkin games,"
Stochastic Processes and their Applications, Elsevier, vol. 125(12), pages 4489-4542.
- Erhan Bayraktar & Song Yao, 2014. "Doubly Reflected BSDEs with Integrable Parameters and Related Dynkin Games," Papers 1412.2053, arXiv.org, revised Jul 2015.
- Chen, Zengjing & Kulperger, Reg, 2005. "Inequalities for upper and lower probabilities," Statistics & Probability Letters, Elsevier, vol. 73(3), pages 233-241, July.
- El-Karoui, N. & Hamadène, S., 2003. "BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations," Stochastic Processes and their Applications, Elsevier, vol. 107(1), pages 145-169, September.
- De Scheemaekere, Xavier, 2011. "A converse comparison theorem for backward stochastic differential equations with jumps," Statistics & Probability Letters, Elsevier, vol. 81(2), pages 298-301, February.
- Cheridito, Patrick & Stadje, Mitja, 2012. "Existence, minimality and approximation of solutions to BSDEs with convex drivers," Stochastic Processes and their Applications, Elsevier, vol. 122(4), pages 1540-1565.
- Debussche, Arnaud & Hu, Ying & Tessitore, Gianmario, 2011. "Ergodic BSDEs under weak dissipative assumptions," Stochastic Processes and their Applications, Elsevier, vol. 121(3), pages 407-426, March.
- Dai, Yin & Li, Ruinan, 2021. "Transportation cost inequality for backward stochastic differential equations with mean reflection," Statistics & Probability Letters, Elsevier, vol. 177(C).
- Hu, Mingshang & Ji, Shaolin, 2017. "Dynamic programming principle for stochastic recursive optimal control problem driven by a G-Brownian motion," Stochastic Processes and their Applications, Elsevier, vol. 127(1), pages 107-134.
- Hafida Bouanani & Omar Kebiri & Carsten Hartmann & Amel Redjil, 2024. "Optimal Relaxed Control for a Decoupled G-FBSDE," Journal of Optimization Theory and Applications, Springer, vol. 202(3), pages 1027-1059, September.
- Cordoni, Francesco & Di Persio, Luca & Maticiuc, Lucian & Zălinescu, Adrian, 2020. "A stochastic approach to path-dependent nonlinear Kolmogorov equations via BSDEs with time-delayed generators and applications to finance," Stochastic Processes and their Applications, Elsevier, vol. 130(3), pages 1669-1712.
- Lepeltier, J.-P. & Xu, M., 2005. "Penalization method for reflected backward stochastic differential equations with one r.c.l.l. barrier," Statistics & Probability Letters, Elsevier, vol. 75(1), pages 58-66, November.
- Bender, Christian & Denk, Robert, 2007. "A forward scheme for backward SDEs," Stochastic Processes and their Applications, Elsevier, vol. 117(12), pages 1793-1812, December.
- Fujii, Masaaki & Takahashi, Akihiko, 2019. "Solving backward stochastic differential equations with quadratic-growth drivers by connecting the short-term expansions," Stochastic Processes and their Applications, Elsevier, vol. 129(5), pages 1492-1532.
- Ye, Jinchun, 2019. "Stochastic utilities with subsistence and satiation: Optimal life insurance purchase, consumption and investment," Insurance: Mathematics and Economics, Elsevier, vol. 89(C), pages 193-212.
- Briand, Philippe & Elie, Romuald, 2013. "A simple constructive approach to quadratic BSDEs with or without delay," Stochastic Processes and their Applications, Elsevier, vol. 123(8), pages 2921-2939.
- Alexander Cherny, 2007. "Pricing and hedging European options with discrete-time coherent risk," Finance and Stochastics, Springer, vol. 11(4), pages 537-569, October.
- Pelsser Antoon & Gnameho Kossi, 2019. "A Monte Carlo method for backward stochastic differential equations with Hermite martingales," Monte Carlo Methods and Applications, De Gruyter, vol. 25(1), pages 37-60, March.
- Kruse, T. & Popier, A., 2016. "Minimal supersolutions for BSDEs with singular terminal condition and application to optimal position targeting," Stochastic Processes and their Applications, Elsevier, vol. 126(9), pages 2554-2592.
- Jia, Guangyan & Zhang, Na, 2015. "Quadratic g-convexity, C-convexity and their relationships," Stochastic Processes and their Applications, Elsevier, vol. 125(6), pages 2272-2294.
- Xiangdong Liu & Yu Gu, 2023. "Study of Pricing of High-Dimensional Financial Derivatives Based on Deep Learning," Mathematics, MDPI, vol. 11(12), pages 1-16, June.
- Jakša Cvitanić & Dylan Possamaï & Nizar Touzi, 2018. "Dynamic programming approach to principal–agent problems," Finance and Stochastics, Springer, vol. 22(1), pages 1-37, January.
- Bouchard Bruno & Tan Xiaolu & Warin Xavier & Zou Yiyi, 2017. "Numerical approximation of BSDEs using local polynomial drivers and branching processes," Monte Carlo Methods and Applications, De Gruyter, vol. 23(4), pages 241-263, December.
- Jia, Guangyan, 2008. "A class of backward stochastic differential equations with discontinuous coefficients," Statistics & Probability Letters, Elsevier, vol. 78(3), pages 231-237, February.
- Miryana Grigorova & Marie-Claire Quenez, 2017. "Optimal stopping and a non-zero-sum Dynkin game in discrete time with risk measures induced by BSDEs," Papers 1705.03724, arXiv.org.
- Christian Bayer & Jinniao Qiu & Yao Yao, 2020. "Pricing Options Under Rough Volatility with Backward SPDEs," Papers 2008.01241, arXiv.org.
- Hamadène, S. & Wang, H., 2009.
"BSDEs with two RCLL reflecting obstacles driven by Brownian motion and Poisson measure and a related mixed zero-sum game,"
Stochastic Processes and their Applications, Elsevier, vol. 119(9), pages 2881-2912, September.
- S. Hamad'ene & H. Wang, 2008. "BSDEs with two RCLL Reflecting Obstacles driven by a Brownian Motion and Poisson Measure and related Mixed Zero-Sum Games," Papers 0803.1815, arXiv.org.
- Dirk Becherer & Plamen Turkedjiev, 2014. "Multilevel approximation of backward stochastic differential equations," Papers 1412.3140, arXiv.org.
- Łukasz Delong, 2019. "Optimal investment for insurance company with exponential utility and wealth-dependent risk aversion coefficient," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 89(1), pages 73-113, February.
- Leippold, Markus & Schärer, Steven, 2017.
"Discrete-time option pricing with stochastic liquidity,"
Journal of Banking & Finance, Elsevier, vol. 75(C), pages 1-16.
- Markus Leippold & Steven Schaerer, 2016. "Discrete-Time Option Pricing with Stochastic Liquidity," Swiss Finance Institute Research Paper Series 16-15, Swiss Finance Institute.
- Li, Juan & Tang, Shanjian, 2007. "A local strict comparison theorem and converse comparison theorems for reflected backward stochastic differential equations," Stochastic Processes and their Applications, Elsevier, vol. 117(9), pages 1234-1250, September.
- Jiang, Long, 2005. "Converse comparison theorems for backward stochastic differential equations," Statistics & Probability Letters, Elsevier, vol. 71(2), pages 173-183, February.
- Said Hamadène & Rui Mu, 2021. "Risk-Sensitive Nonzero-Sum Stochastic Differential Game with Unbounded Coefficients," Dynamic Games and Applications, Springer, vol. 11(1), pages 84-108, March.
- Shuxia Guo & Zhe Meng, 2023. "The Marcinkiewicz–Zygmund-Type Strong Law of Large Numbers with General Normalizing Sequences under Sublinear Expectation," Mathematics, MDPI, vol. 11(23), pages 1-21, November.
- Johannes Muhle-Karbe & Marcel Nutz & Xiaowei Tan, 2019. "Asset Pricing with Heterogeneous Beliefs and Illiquidity," Papers 1905.05730, arXiv.org, revised Mar 2020.
- N'zi, Modeste & Owo, Jean-Marc, 2009. "Backward doubly stochastic differential equations with discontinuous coefficients," Statistics & Probability Letters, Elsevier, vol. 79(7), pages 920-926, April.
- Chen, Zengjing & Peng, Shige, 2000. "A general downcrossing inequality for g-martingales," Statistics & Probability Letters, Elsevier, vol. 46(2), pages 169-175, January.
- Riedel, Frank, 2010. "Optimal Stopping under Ambiguity in Continuous Time," Center for Mathematical Economics Working Papers 429, Center for Mathematical Economics, Bielefeld University.
- Epstein, Larry G. & Miao, Jianjun, 2003.
"A two-person dynamic equilibrium under ambiguity,"
Journal of Economic Dynamics and Control, Elsevier, vol. 27(7), pages 1253-1288, May.
- Larry G. Epstein & JianJun Miao, 2001. "A Two-Person Dynamic Equilibrium under Ambiguity," RCER Working Papers 478, University of Rochester - Center for Economic Research (RCER).
- Mohamed Otmani, 2009. "Reflected BSDE Driven by a Lévy Process," Journal of Theoretical Probability, Springer, vol. 22(3), pages 601-619, September.
- Antoon Pelsser & Mitja Stadje, 2014.
"Time-Consistent And Market-Consistent Evaluations,"
Mathematical Finance, Wiley Blackwell, vol. 24(1), pages 25-65, January.
- Mitja Stadje & Antoon Pelsser, 2011. "Time-Consistent and Market-Consistent Evaluations," Papers 1109.1749, arXiv.org, revised Dec 2013.
- Pagès, Gilles & Sagna, Abass, 2018. "Improved error bounds for quantization based numerical schemes for BSDE and nonlinear filtering," Stochastic Processes and their Applications, Elsevier, vol. 128(3), pages 847-883.
- Samuel N. Cohen & Tanut Treetanthiploet, 2019. "Gittins' theorem under uncertainty," Papers 1907.05689, arXiv.org, revised Jun 2021.
- G. Liang & T. Lyons & Z. Qian, 2010. "A Functional Approach to FBSDEs and Its Application in Optimal Portfolios," Papers 1011.4499, arXiv.org.
- Polynice Oyono Ngou & Cody Hyndman, 2014. "A Fourier interpolation method for numerical solution of FBSDEs: Global convergence, stability, and higher order discretizations," Papers 1410.8595, arXiv.org, revised May 2022.
- Wu, Zhen & Xu, Mingyu, 2009. "Comparison theorems for forward backward SDEs," Statistics & Probability Letters, Elsevier, vol. 79(4), pages 426-435, February.
- Albrecht, E & Baum, Günter & Birsa, R & Bradamante, F & Bressan, A & Chapiro, A & Cicuttin, A & Ciliberti, P & Colavita, A & Costa, S & Crespo, M & Cristaudo, P & Dalla Torre, S & Diaz, V & Duic, V &, 2010. "Results from COMPASS RICH-1," Center for Mathematical Economics Working Papers 535, Center for Mathematical Economics, Bielefeld University.
- Bahlali, Khaled & Hamadène, SaI¨d & Mezerdi, Brahim, 2005. "Backward stochastic differential equations with two reflecting barriers and continuous with quadratic growth coefficient," Stochastic Processes and their Applications, Elsevier, vol. 115(7), pages 1107-1129, July.
- Stefan Kremsner & Alexander Steinicke, 2022. "$${{\varvec{L}}}^{{\varvec{p}}}$$ L p -Solutions and Comparison Results for Lévy-Driven Backward Stochastic Differential Equations in a Monotonic, General Growth Setting," Journal of Theoretical Probability, Springer, vol. 35(1), pages 231-281, March.
- Chenguang Liu & Antonis Papapantoleon & Alexandros Saplaouras, 2024. "Convergence rates for Backward SDEs driven by L\'evy processes," Papers 2402.01337, arXiv.org.
- Lu, Wen & Ren, Yong & Hu, Lanying, 2015. "Mean-field backward stochastic differential equations in general probability spaces," Applied Mathematics and Computation, Elsevier, vol. 263(C), pages 1-11.
- Shaolin Ji & Xiaomin Shi, 2016. "Recursive utility optimization with concave coefficients," Papers 1607.00721, arXiv.org.
- Kurt, Kevin & Frey, Rüdiger, 2022. "Markov-modulated affine processes," Stochastic Processes and their Applications, Elsevier, vol. 153(C), pages 391-422.
- 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.
- Ali Lazrak & Marie Claire Quenez, 2003. "A Generalized Stochastic Differential Utility," Mathematics of Operations Research, INFORMS, vol. 28(1), pages 154-180, February.
- Bi, Junna & Liang, Zhibin & Xu, Fangjun, 2016. "Optimal mean–variance investment and reinsurance problems for the risk model with common shock dependence," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 245-258.
- Bahlali Khaled & Mezerdi Brahim & Ouknine Youssef, 2001. "Some generic properties in backward stochastic differential equations with continuous coefficient," Monte Carlo Methods and Applications, De Gruyter, vol. 7(1-2), pages 15-20, December.
- Michael Mania & Revaz Tevzadze, 2008. "Backward Stochastic PDEs Related to the Utility Maximization Problem," ICER Working Papers - Applied Mathematics Series 07-2008, ICER - International Centre for Economic Research.
- Tangpi, Ludovic, 2019. "Concentration of dynamic risk measures in a Brownian filtration," Stochastic Processes and their Applications, Elsevier, vol. 129(5), pages 1477-1491.
- Monique Jeanblanc & Thibaut Mastrolia & Dylan Possamaï & Anthony Réveillac, 2015. "Utility Maximization With Random Horizon: A Bsde Approach," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(07), pages 1-43, November.
- R. Buckdahn & P. Cardaliaguet & M. Quincampoix, 2011. "Some Recent Aspects of Differential Game Theory," Dynamic Games and Applications, Springer, vol. 1(1), pages 74-114, March.
- Leo Shen & Robert J. Elliott, 2012. "Backward Stochastic Difference Equations for a Single Jump Process," Methodology and Computing in Applied Probability, Springer, vol. 14(4), pages 955-971, December.
- Lukasz Szpruch & Marc Sabat'e Vidales & Tanut Treetanthiploet & Yufei Zhang, 2024. "Pricing and hedging of decentralised lending contracts," Papers 2409.04233, arXiv.org.
- Pei Zhang & Adriana Irawati Nur Ibrahim & Nur Anisah Mohamed, 2023. "Anticipated BSDEs Driven by Fractional Brownian Motion with a Time-Delayed Generator," Mathematics, MDPI, vol. 11(23), pages 1-13, December.
- Djehiche, Boualem & Löfdahl, Björn, 2016. "Nonlinear reserving in life insurance: Aggregation and mean-field approximation," Insurance: Mathematics and Economics, Elsevier, vol. 69(C), pages 1-13.
- {L}ukasz Delong, 2010. "BSDEs with time-delayed generators of a moving average type with applications to non-monotone preferences," Papers 1008.3722, arXiv.org, revised Jul 2011.
- 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.
- Luca Di Persio & Emanuele Lavagnoli & Marco Patacca, 2022. "Calibrating FBSDEs Driven Models in Finance via NNs," Risks, MDPI, vol. 10(12), pages 1-19, November.
- Idris Kharroubi & Thomas Lim & Xavier Warin, 2020. "Discretization and Machine Learning Approximation of BSDEs with a Constraint on the Gains-Process," Papers 2002.02675, arXiv.org.
- Cuoco, Domenico & Cvitanic, Jaksa, 1998.
"Optimal consumption choices for a 'large' investor,"
Journal of Economic Dynamics and Control, Elsevier, vol. 22(3), pages 401-436, March.
- Domenico Cuoco & Jaksa Cvitanic, "undated". "Optimal Consumption Choices for a "Large" Investor," Rodney L. White Center for Financial Research Working Papers 04-96, Wharton School Rodney L. White Center for Financial Research.
- Domenico Cuoco & Jaksa Cvitanic, "undated". "Optimal Consumption Choices for a "Large" Investor," Rodney L. White Center for Financial Research Working Papers 4-96, Wharton School Rodney L. White Center for Financial Research.
- Bender, Christian, 2014. "Backward SDEs driven by Gaussian processes," Stochastic Processes and their Applications, Elsevier, vol. 124(9), pages 2892-2916.
- Samuel N. Cohen & Martin Tegn'er, 2018. "European Option Pricing with Stochastic Volatility models under Parameter Uncertainty," Papers 1807.03882, arXiv.org.
- Liangxue Li & Xiaoqian Zheng & Haiwu Huang & Xuejun Wang, 2024. "Strong Convergence Properties for Weighted Sums of Extended Negatively Dependent Random Variables Under Sub-linear Expectations with Statistical Applications," Methodology and Computing in Applied Probability, Springer, vol. 26(3), pages 1-36, September.
- Yangang Chen & Justin W. L. Wan, 2019. "Deep Neural Network Framework Based on Backward Stochastic Differential Equations for Pricing and Hedging American Options in High Dimensions," Papers 1909.11532, arXiv.org.
- Miryana Grigorova & Marie-Claire Quenez, 2017. "Optimal stopping and a non-zero-sum Dynkin game in discrete time with risk measures induced by BSDEs," Post-Print hal-01519215, HAL.
- Cetemen, Doruk & Feng, Felix Zhiyu & Urgun, Can, 2023.
"Renegotiation and dynamic inconsistency: Contracting with non-exponential discounting,"
Journal of Economic Theory, Elsevier, vol. 208(C).
- Doruk Cetemen & Felix Zhiyu Feng & Can Urgun, 2021. "Renegotiation and Dynamic Inconsistency: Contracting with Non-Exponential Discounting," Working Papers 2021-58, Princeton University. Economics Department..
- Johannes Leitner, 2008. "Convex pricing by a generalized entropy penalty," Papers 0804.0127, arXiv.org.
- Wu, Zhen, 1999. "The comparison theorem of FBSDE," Statistics & Probability Letters, Elsevier, vol. 44(1), pages 1-6, August.
- Imkeller, Peter & Dos Reis, Gonçalo, 2010. "Path regularity and explicit convergence rate for BSDE with truncated quadratic growth," Stochastic Processes and their Applications, Elsevier, vol. 120(3), pages 348-379, March.
- Qiang Han & Shaolin Ji, 2022. "A Multi-Step Algorithm for BSDEs Based On a Predictor-Corrector Scheme and Least-Squares Monte Carlo," Methodology and Computing in Applied Probability, Springer, vol. 24(4), pages 2403-2426, December.
- Mastrolia, Thibaut, 2018. "Density analysis of non-Markovian BSDEs and applications to biology and finance," Stochastic Processes and their Applications, Elsevier, vol. 128(3), pages 897-938.
- Hardy Hulley & Thomas A. McWalter, 2015.
"Quadratic Hedging of Basis Risk,"
JRFM, MDPI, vol. 8(1), pages 1-20, February.
- Hardy Hulley & Thomas A. McWalter, 2008. "Quadratic Hedging of Basis Risk," Research Paper Series 225, Quantitative Finance Research Centre, University of Technology, Sydney.
- Li, Hanwu & Riedel, Frank, 2024. "Optimal Consumption for Recursive Preferences with Local Substitution under Risk," Center for Mathematical Economics Working Papers 693, Center for Mathematical Economics, Bielefeld University.
- Matoussi, A. & Piozin, L. & Popier, A., 2017. "Stochastic partial differential equations with singular terminal condition," Stochastic Processes and their Applications, Elsevier, vol. 127(3), pages 831-876.
- Andrew E. B. Lim, 2004. "Quadratic Hedging and Mean-Variance Portfolio Selection with Random Parameters in an Incomplete Market," Mathematics of Operations Research, INFORMS, vol. 29(1), pages 132-161, February.
- Briand, Philippe & Hibon, Hélène, 2021. "Particles Systems for mean reflected BSDEs," Stochastic Processes and their Applications, Elsevier, vol. 131(C), pages 253-275.
- Pei Zhang & Nur Anisah Mohamed & Adriana Irawati Nur Ibrahim, 2023. "Mean-Field and Anticipated BSDEs with Time-Delayed Generator," Mathematics, MDPI, vol. 11(4), pages 1-13, February.
- Chen, Zengjing & Kulperger, Reg, 2006. "Minimax pricing and Choquet pricing," Insurance: Mathematics and Economics, Elsevier, vol. 38(3), pages 518-528, June.
- Bi, Junna & Jin, Hanqing & Meng, Qingbin, 2018. "Behavioral mean-variance portfolio selection," European Journal of Operational Research, Elsevier, vol. 271(2), pages 644-663.
- Shen, Yang & Zeng, Yan, 2015. "Optimal investment–reinsurance strategy for mean–variance insurers with square-root factor process," Insurance: Mathematics and Economics, Elsevier, vol. 62(C), pages 118-137.
- Alexander Aurell, 2018. "Mean-Field Type Games between Two Players Driven by Backward Stochastic Differential Equations," Games, MDPI, vol. 9(4), pages 1-26, November.
- Auguste Aman, 2012. "Reflected Generalized Backward Doubly SDEs Driven by Lévy Processes and Applications," Journal of Theoretical Probability, Springer, vol. 25(4), pages 1153-1172, December.
- Chassagneux, Jean-François & Richou, Adrien, 2019. "Rate of convergence for the discrete-time approximation of reflected BSDEs arising in switching problems," Stochastic Processes and their Applications, Elsevier, vol. 129(11), pages 4597-4637.
- Ferland, René & Watier, François, 2008. "FBSDE approach to utility portfolio selection in a market with random parameters," Statistics & Probability Letters, Elsevier, vol. 78(4), pages 426-434, March.
- Riu Naito & Toshihiro Yamada, 2024. "Deep high-order splitting method for semilinear degenerate PDEs and application to high-dimensional nonlinear pricing models," Digital Finance, Springer, vol. 6(4), pages 693-725, December.
- repec:hal:wpaper:hal-01761234 is not listed on IDEAS
- Christophette Blanchet-Scalliet & Anne Eyraud-Loisel & Manuela Royer-Carenzi, 2008. "Hedging of Defaultable Contingent Claims using BSDE with uncertain time horizon," Papers 0811.4039, arXiv.org, revised Sep 2009.
- Chen, Xin & Yuan, Yue & Yuan, Dongmei & Ge, Xiao, 2024. "Optimal control for both forward and backward discrete-time systems," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 221(C), pages 298-314.
- Yao, Song, 2017. "Lp solutions of backward stochastic differential equations with jumps," Stochastic Processes and their Applications, Elsevier, vol. 127(11), pages 3465-3511.
- Gobet, Emmanuel & Makhlouf, Azmi, 2010. "-time regularity of BSDEs with irregular terminal functions," Stochastic Processes and their Applications, Elsevier, vol. 120(7), pages 1105-1132, July.
- Thomas Lim & Marie-Claire Quenez, 2010. "Portfolio optimization in a default model under full/partial information," Papers 1003.6002, arXiv.org, revised Nov 2013.
- Popier, A., 2006. "Backward stochastic differential equations with singular terminal condition," Stochastic Processes and their Applications, Elsevier, vol. 116(12), pages 2014-2056, December.
- Stadje, M.A. & Pelsser, A., 2014.
"Time-Consistent and Market-Consistent Evaluations (Revised version of 2012-086),"
Discussion Paper
2014-002, Tilburg University, Center for Economic Research.
- Stadje, M.A. & Pelsser, A., 2014. "Time-Consistent and Market-Consistent Evaluations (Revised version of 2012-086)," Other publications TiSEM 0841e78f-a73b-42c1-b7d4-0, Tilburg University, School of Economics and Management.
- Claudia Ceci & Anna Gerardi, 2011. "Utility indifference valuation for jump risky assets," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 34(2), pages 85-120, November.
- A. Jobert & L. C. G. Rogers, 2008.
"Valuations And Dynamic Convex Risk Measures,"
Mathematical Finance, Wiley Blackwell, vol. 18(1), pages 1-22, January.
- A. Jobert & L. C. G. Rogers, 2007. "Valuations and dynamic convex risk measures," Papers 0709.0232, arXiv.org.
- Jana Bielagk & Arnaud Lionnet & Goncalo Dos Reis, 2015. "Equilibrium pricing under relative performance concerns," Papers 1511.04218, arXiv.org, revised Feb 2017.
- Lionnet, Arnaud, 2014. "Some results on general quadratic reflected BSDEs driven by a continuous martingale," Stochastic Processes and their Applications, Elsevier, vol. 124(3), pages 1275-1302.
- Leitner Johannes, 2007. "Pricing and hedging with globally and instantaneously vanishing risk," Statistics & Risk Modeling, De Gruyter, vol. 25(4), pages 311-332, October.
- Rafael Serrano, 2014. "Ecuaciones Diferenciales Estocásticas con Condición Final y Soluciones de Viscosidad de EDPS Semilineales de Segundo Orden," Documentos de Trabajo 12231, Universidad del Rosario.
- Marie-Amelie Morlais, 2006. "Quadratic BSDEs driven by a continuous martingale and application to utility maximization problem," Papers math/0610749, arXiv.org, revised Mar 2008.
- Hu, Yaozhong & Nualart, David & Song, Xiaoming, 2020. "An implicit numerical scheme for a class of backward doubly stochastic differential equations," Stochastic Processes and their Applications, Elsevier, vol. 130(6), pages 3295-3324.
- Dumas, Bernard & Uppal, Raman & Wang, Tan, 2000.
"Efficient Intertemporal Allocations with Recursive Utility,"
Journal of Economic Theory, Elsevier, vol. 93(2), pages 240-259, August.
- Bernard Dumas & Raman Uppal & Tan Wang, 1997. "Efficient Intertemporal Allocations with Recursive Utility," Working Papers hal-00605603, HAL.
- Bernard Dumas & Raman Uppal & Tan Wang, 1998. "Efficient Intertemporal Allocations with Recursive Utility," NBER Technical Working Papers 0231, National Bureau of Economic Research, Inc.
- Bénézet, Cyril & Chassagneux, Jean-François & Richou, Adrien, 2022. "Switching problems with controlled randomisation and associated obliquely reflected BSDEs," Stochastic Processes and their Applications, Elsevier, vol. 144(C), pages 23-71.
- Lukasz Delong, 2010. "Applications of time-delayed backward stochastic differential equations to pricing, hedging and portfolio management," Papers 1005.4417, arXiv.org, revised Jan 2011.
- Wang, Guangchen & Wang, Wencan & Yan, Zhiguo, 2021. "Linear quadratic control of backward stochastic differential equation with partial information," Applied Mathematics and Computation, Elsevier, vol. 403(C).
- Kaitong Hu & Zhenjie Ren & Junjian Yang, 2019. "Principal-agent problem with multiple principals," Working Papers hal-02088486, HAL.
- Dejian Tian, 2022. "Pricing principle via Tsallis relative entropy in incomplete market," Papers 2201.05316, arXiv.org, revised Oct 2022.
- Gassiat, Paul & Oberhauser, Harald & dos Reis, Gonçalo, 2015. "Root’s barrier, viscosity solutions of obstacle problems and reflected FBSDEs," Stochastic Processes and their Applications, Elsevier, vol. 125(12), pages 4601-4631.
- Li, Danping & Shen, Yang & Zeng, Yan, 2018. "Dynamic derivative-based investment strategy for mean–variance asset–liability management with stochastic volatility," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 72-86.
- Stephane Crepey & Andrea Macrina & Tuyet Mai Nguyen & David Skovmand, 2015. "Rational Multi-Curve Models with Counterparty-Risk Valuation Adjustments," Papers 1502.07397, arXiv.org.
- M. Mania & R. Tevzadze, 2008. "Backward Stochastic PDEs related to the utility maximization problem," Papers 0806.0240, arXiv.org.
- Ulrich Horst & Evgueni Kivman, 2021. "Optimal trade execution under small market impact and portfolio liquidation with semimartingale strategies," Papers 2103.05957, arXiv.org, revised Jul 2023.
- Peng, Xingchun & Wei, Linxiao & Hu, Yijun, 2014. "Optimal investment, consumption and proportional reinsurance for an insurer with option type payoff," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 78-86.
- Elliott, Robert J. & Siu, Tak Kuen & Badescu, Alex, 2010. "On mean-variance portfolio selection under a hidden Markovian regime-switching model," Economic Modelling, Elsevier, vol. 27(3), pages 678-686, May.
- Andrew E. B. Lim & Xun Yu Zhou, 2002. "Mean-Variance Portfolio Selection with Random Parameters in a Complete Market," Mathematics of Operations Research, INFORMS, vol. 27(1), pages 101-120, February.
- Fan, ShengJun, 2016. "Existence of solutions to one-dimensional BSDEs with semi-linear growth and general growth generators," Statistics & Probability Letters, Elsevier, vol. 109(C), pages 7-15.
- Wanyang Dai, 2014. "Mean-variance hedging based on an incomplete market with external risk factors of non-Gaussian OU processes," Papers 1410.0991, arXiv.org, revised Aug 2015.
- Tianyang Nie & Marek Rutkowski, 2014. "Fair bilateral prices in Bergman's model," Papers 1410.0673, arXiv.org, revised Dec 2014.
- Junbeom Lee & Chao Zhou, 2021. "Binary funding impacts in derivative valuation," Mathematical Finance, Wiley Blackwell, vol. 31(1), pages 242-278, January.
- Briand, Philippe & Confortola, Fulvia, 2008. "BSDEs with stochastic Lipschitz condition and quadratic PDEs in Hilbert spaces," Stochastic Processes and their Applications, Elsevier, vol. 118(5), pages 818-838, May.
- Tian, Dejian & Jiang, Long & Davison, Matt, 2010. "On the existence of solutions to BSDEs with generalized uniformly continuous generators," Statistics & Probability Letters, Elsevier, vol. 80(9-10), pages 903-909, May.
- Yong, Jiongmin, 2006. "Backward stochastic Volterra integral equations and some related problems," Stochastic Processes and their Applications, Elsevier, vol. 116(5), pages 779-795, May.
- Hamadène, Said & Mu, Rui, 2020. "Discontinuous Nash equilibrium points for nonzero-sum stochastic differential games," Stochastic Processes and their Applications, Elsevier, vol. 130(11), pages 6901-6926.
- Brigo, Damiano & Francischello, Marco & Pallavicini, Andrea, 2019. "Nonlinear valuation under credit, funding, and margins: Existence, uniqueness, invariance, and disentanglement," European Journal of Operational Research, Elsevier, vol. 274(2), pages 788-805.
- Ceci, Claudia & Cretarola, Alessandra & Russo, Francesco, 2014. "BSDEs under partial information and financial applications," Stochastic Processes and their Applications, Elsevier, vol. 124(8), pages 2628-2653.
- Vorbrink, Jörg, 2014. "Financial markets with volatility uncertainty," Journal of Mathematical Economics, Elsevier, vol. 53(C), pages 64-78.
- Doruk Cetemen & Felix Zhiyu Feng & Can Urgun, 2019. "Contracting with Non-Exponential Discounting: Moral Hazard and Dynamic Inconsistency," Working Papers 2019-17, Princeton University. Economics Department..
- Jean-Paul Laurent & Philippe Amzelek & Joe Bonnaud, 2014. "An overview of the valuation of collateralized derivative contracts," Review of Derivatives Research, Springer, vol. 17(3), pages 261-286, October.
- Masaaki Fujii & Akihiko Takahashi, 2015. "Perturbative Expansion Technique for Non-linear FBSDEs with Interacting Particle Method," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 22(3), pages 283-304, September.
- Xing, Hao, 2012. "On backward stochastic differential equations and strict local martingales," Stochastic Processes and their Applications, Elsevier, vol. 122(6), pages 2265-2291.
- Stefan Geiss & Emmanuel Gobet, 2010. "Fractional smoothness and applications in finance," Papers 1004.3577, arXiv.org.
- Bartosz Jaroszkowski & Max Jensen, 2021. "Valuation of European Options under an Uncertain Market Price of Volatility Risk," Papers 2105.09581, arXiv.org.
- Wang, Wei, 2009. "Maximal inequalities for g-martingales," Statistics & Probability Letters, Elsevier, vol. 79(9), pages 1169-1174, May.
- Giorgia Callegaro & Alessandro Gnoatto & Martino Grasselli, 2021.
"A Fully Quantization-based Scheme for FBSDEs,"
Papers
2105.09276, arXiv.org.
- Giorgia Callegaro & Alessandro Gnoatto & Martino Grasselli, 2021. "A Fully Quantization-based Scheme for FBSDEs," Working Papers 07/2021, University of Verona, Department of Economics.
- 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.
- Hui Zhang & Wenyu Meng & Xiaojie Wang & Jianwei Zhang, 2017. "Application of BSDE in Standard Inventory Financing Loan," Discrete Dynamics in Nature and Society, Hindawi, vol. 2017, pages 1-6, June.
- Zengwu Wang, 2010. "Irreversible Investment of the Risk- and Uncertainty-averse DM under k-Ignorance: The Role of BSDE," Annals of Economics and Finance, Society for AEF, vol. 11(2), pages 313-335, November.
- Rozkosz, Andrzej & Słomiński, Leszek, 2012. "Lp solutions of reflected BSDEs under monotonicity condition," Stochastic Processes and their Applications, Elsevier, vol. 122(12), pages 3875-3900.
- Akihiko Takahashi & Yoshifumi Tsuchida & Toshihiro Yamada, 2021. "A new efficient approximation scheme for solving high-dimensional semilinear PDEs: control variate method for Deep BSDE solver," Papers 2101.09890, arXiv.org, revised Jan 2021.
- Yanwei Jia & Xun Yu Zhou, 2021. "Policy Evaluation and Temporal-Difference Learning in Continuous Time and Space: A Martingale Approach," Papers 2108.06655, arXiv.org, revised Feb 2022.
- Wang, Bo & Song, Ruili, 2009. "The Application of backward stochastic differential equation with stopping time in hedging American contingent claims," Chaos, Solitons & Fractals, Elsevier, vol. 42(5), pages 2629-2634.
- Claudia Ceci & Alessandra Cretarola, 2024. "Optimal reinsurance in a dynamic contagion model: comparing self-exciting and externally-exciting risks," Papers 2404.11482, arXiv.org, revised Sep 2024.
- Tianyang Nie & Marek Rutkowski, 2016. "A BSDE approach to fair bilateral pricing under endogenous collateralization," Finance and Stochastics, Springer, vol. 20(4), pages 855-900, October.
- Shigeta, Yuki, 2022. "Quasi-hyperbolic discounting under recursive utility and consumption–investment decisions," Journal of Economic Theory, Elsevier, vol. 204(C).
- Arnaud Porchet & Nizar Touzi & Xavier Warin, 2009. "Valuation of power plants by utility indifference and numerical computation," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 70(1), pages 47-75, August.
- Qian Lei & Chi Seng Pun, 2024. "A Malliavin Calculus Approach to Backward Stochastic Volterra Integral Equations," Papers 2412.19236, arXiv.org, revised Jan 2025.
- Idris Kharroubi & Thomas Lim & Xavier Warin, 2020. "Discretization and Machine Learning Approximation of BSDEs with a Constraint on the Gains-Process," Working Papers hal-02468354, HAL.
- Hao, Tao & Wen, Jiaqiang & Xiong, Jie, 2022. "Solvability of a class of mean-field BSDEs with quadratic growth," Statistics & Probability Letters, Elsevier, vol. 191(C).
- de Angelis, Tiziano & Ferrari, Giorgio & Hamadène, Saïd, 2018. "A Note on a New Existence Result for Reflected BSDES with Interconnected Obstacles," Center for Mathematical Economics Working Papers 591, Center for Mathematical Economics, Bielefeld University.
- Hanwu Li & Guomin Liu, 2024. "Multi-dimensional Reflected Backward Stochastic Differential Equations Driven by G-Brownian Motion with Diagonal Generators," Journal of Theoretical Probability, Springer, vol. 37(3), pages 2615-2645, September.
- V. Bally & A. Matoussi, 2001. "Weak Solutions for SPDEs and Backward Doubly Stochastic Differential Equations," Journal of Theoretical Probability, Springer, vol. 14(1), pages 125-164, January.
- El Otmani, Mohamed, 2008. "BSDE driven by a simple Lévy process with continuous coefficient," Statistics & Probability Letters, Elsevier, vol. 78(11), pages 1259-1265, August.
- Sheng-Jun Fan & Long Jiang, 2012. "A Generalized Comparison Theorem for BSDEs and Its Applications," Journal of Theoretical Probability, Springer, vol. 25(1), pages 50-61, March.
- Emmanuel Gobet & Isaque Pimentel & Xavier Warin, 2020. "Option valuation and hedging using asymmetric risk function: asymptotic optimality through fully nonlinear Partial Differential Equations," Post-Print hal-01761234, HAL.
- Hanwu Li & Yongsheng Song, 2021. "Backward Stochastic Differential Equations Driven by G-Brownian Motion with Double Reflections," Journal of Theoretical Probability, Springer, vol. 34(4), pages 2285-2314, December.
- Rolf Poulsen & Klaus Reiner Schenk-Hoppe & Christian-Oliver Ewald, 2009. "Risk minimization in stochastic volatility models: model risk and empirical performance," Quantitative Finance, Taylor & Francis Journals, vol. 9(6), pages 693-704.
- Thomas Lim & Marie-Claire Quenez, 2008. "Utility maximization in incomplete markets with default," Papers 0811.4715, arXiv.org, revised Jul 2010.
- Tian, Dejian & Jiang, Long & Shi, Xuejun, 2013. "Lp solutions to backward stochastic differential equations with discontinuous generators," Statistics & Probability Letters, Elsevier, vol. 83(2), pages 503-510.
- Ali Lazrak, 2005. "Generalized stochastic differential utility and preference for information," Papers math/0503579, arXiv.org.
- Chol-Kyu Pak & Mun-Chol Kim & O Hun, 2018. "A generalized scheme for BSDEs based on derivative approximation and its error estimates," Papers 1808.02478, arXiv.org.
- Ankirchner, Stefan & Imkeller, Peter & Popier, Alexandre, 2009. "On measure solutions of backward stochastic differential equations," Stochastic Processes and their Applications, Elsevier, vol. 119(9), pages 2744-2772, September.
- Christophette Blanchet-Scalliet & Anne Eyraud-Loisel & Manuela Royer-Carenzi, 2010. "Hedging of Defaultable Contingent Claims using BSDE with uncertain time horizon," Post-Print hal-00341431, HAL.
- Cody B. Hyndman & Polynice Oyono Ngou, 2017. "A Convolution Method for Numerical Solution of Backward Stochastic Differential Equations," Methodology and Computing in Applied Probability, Springer, vol. 19(1), pages 1-29, March.
- Pascal J. Maenhout & Andrea Vedolin & Hao Xing, 2020. "Generalized Robustness and Dynamic Pessimism," NBER Working Papers 26970, National Bureau of Economic Research, Inc.
- Yumo Zhang, 2022. "Dynamic optimal mean-variance portfolio selection with stochastic volatility and stochastic interest rate," Annals of Finance, Springer, vol. 18(4), pages 511-544, December.
- Mingcan Wang & Xiangjun Wang, 2024. "Hybrid Neural Networks for Solving Fully Coupled, High-Dimensional Forward–Backward Stochastic Differential Equations," Mathematics, MDPI, vol. 12(7), pages 1-22, April.
- Anis Matoussi & Michael Scheutzow, 2002. "Stochastic PDEs Driven by Nonlinear Noise and Backward Doubly SDEs," Journal of Theoretical Probability, Springer, vol. 15(1), pages 1-39, January.
- Madan, Dilip & Pistorius, Martijn & Stadje, Mitja, 2016. "Convergence of BSΔEs driven by random walks to BSDEs: The case of (in)finite activity jumps with general driver," Stochastic Processes and their Applications, Elsevier, vol. 126(5), pages 1553-1584.
- Kim Weston, 2022. "Existence of an equilibrium with limited participation," Papers 2206.12399, arXiv.org.
- Kohlmann, Michael & Zhou, Xun Yu, 1999. "Backward Stochastic Differential Equations and Stochastic Controls: A New Perspective," CoFE Discussion Papers 99/09, University of Konstanz, Center of Finance and Econometrics (CoFE).
- Kupper, Michael & Luo, Peng & Tangpi, Ludovic, 2019. "Multidimensional Markovian FBSDEs with super-quadratic growth," Stochastic Processes and their Applications, Elsevier, vol. 129(3), pages 902-923.
- 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.
- Zhao, Guoqing, 2009. "Lenglart domination inequalities for g-expectations," Statistics & Probability Letters, Elsevier, vol. 79(22), pages 2338-2342, November.
- Nobuhiro Nakamura, 2004. "Numerical Approach to Asset Pricing Models with Stochastic Differential Utility," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 11(3), pages 267-300, September.
- Christophe Denis & Charlotte Dion & Miguel Martinez, 2020. "Consistent procedures for multiclass classification of discrete diffusion paths," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 47(2), pages 516-554, June.
- El Otmani, Mohamed, 2009. "BSDEs driven by Lévy process with enlarged filtration and applications in finance," Statistics & Probability Letters, Elsevier, vol. 79(1), pages 44-49, January.
- Weijie Pang & Stephan Sturm, 2020. "XVA Valuation under Market Illiquidity," Papers 2011.03543, arXiv.org.
- Mingyu Xu, 2007. "Reflected Backward SDEs with Two Barriers Under Monotonicity and General Increasing Conditions," Journal of Theoretical Probability, Springer, vol. 20(4), pages 1005-1039, December.
- Akihiro Kaneko, 2023. "Multi-stage Euler-Maruyama methods for backward stochastic differential equations driven by continuous-time Markov chains," Papers 2311.08826, arXiv.org, revised Nov 2023.
- Shaolin Ji & Hanqing Jin & Xiaomin Shi, 2017. "Mean-variance portfolio selection with nonlinear wealth dynamics and random coefficients," Papers 1705.06141, arXiv.org, revised Nov 2022.
- Eyraud-Loisel, Anne, 2005. "Backward stochastic differential equations with enlarged filtration: Option hedging of an insider trader in a financial market with jumps," Stochastic Processes and their Applications, Elsevier, vol. 115(11), pages 1745-1763, November.
- 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.
- Delong, Łukasz & Dhaene, Jan & Barigou, Karim, 2019. "Fair valuation of insurance liability cash-flow streams in continuous time: Theory," Insurance: Mathematics and Economics, Elsevier, vol. 88(C), pages 196-208.
- Brachetta, M. & Ceci, C., 2020. "A BSDE-based approach for the optimal reinsurance problem under partial information," Insurance: Mathematics and Economics, Elsevier, vol. 95(C), pages 1-16.
- Jiang, Long, 2009. "A necessary and sufficient condition for probability measures dominated by g-expectation," Statistics & Probability Letters, Elsevier, vol. 79(2), pages 196-201, January.
- Masaaki Fujii & Seisho Sato & Akihiko Takahashi, 2015. "An FBSDE Approach to American Option Pricing with an Interacting Particle Method," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 22(3), pages 239-260, September.
- Hu, Ying & Tang, Shanjian & Wang, Falei, 2022. "Quadratic G-BSDEs with convex generators and unbounded terminal conditions," Stochastic Processes and their Applications, Elsevier, vol. 153(C), pages 363-390.
- Réveillac, Anthony, 2012. "On the orthogonal component of BSDEs in a Markovian setting," Statistics & Probability Letters, Elsevier, vol. 82(1), pages 151-157.
- Fan, ShengJun & Jiang, Long & Tian, DeJian, 2011. "One-dimensional BSDEs with finite and infinite time horizons," Stochastic Processes and their Applications, Elsevier, vol. 121(3), pages 427-440, March.
- Tomasz R. Bielecki & Igor Cialenco & Marek Rutkowski, 2017. "Arbitrage-Free Pricing Of Derivatives In Nonlinear Market Models," Papers 1701.08399, arXiv.org, revised Apr 2018.
- Roxana Dumitrescu & Marie-Claire Quenez & Agn`es Sulem, 2016. "BSDEs with default jump," Papers 1612.05681, arXiv.org, revised Sep 2017.
- Xu, Xiaoming, 2012. "Reflected solutions of generalized anticipated BSDEs and application to reflected BSDEs with functional barrier," Statistics & Probability Letters, Elsevier, vol. 82(6), pages 1185-1192.
- Hu, Feng & Chen, Zengjing, 2010. "Generalized Peng's g-expectations and related properties," Statistics & Probability Letters, Elsevier, vol. 80(3-4), pages 191-195, February.
- Jiang, Long, 2006. "A note on g-expectation with comonotonic additivity," Statistics & Probability Letters, Elsevier, vol. 76(17), pages 1895-1903, November.
- Gobet, Emmanuel & Labart, Céline, 2007. "Error expansion for the discretization of backward stochastic differential equations," Stochastic Processes and their Applications, Elsevier, vol. 117(7), pages 803-829, July.
- repec:dau:papers:123456789/5374 is not listed on IDEAS
- Jia, Guangyan, 2009. "Some uniqueness results for one-dimensional BSDEs with uniformly continuous coefficients," Statistics & Probability Letters, Elsevier, vol. 79(4), pages 436-441, February.
- Fuhrmann, Sven & Kupper, Michael & Nendel, Max, 2021. "Wasserstein Perturbations of Markovian Transition Semigroups," Center for Mathematical Economics Working Papers 649, Center for Mathematical Economics, Bielefeld University.
- Chen, Zengjing & Kulperger, Reg & Wei, Gang, 2005. "A comonotonic theorem for BSDEs," Stochastic Processes and their Applications, Elsevier, vol. 115(1), pages 41-54, January.
- Matteo Brachetta & Claudia Ceci, 2019. "A BSDE-based approach for the optimal reinsurance problem under partial information," Papers 1910.05999, arXiv.org, revised May 2020.
- Julia Eisenberg & Stefan Kremsner & Alexander Steinicke, 2021. "Two Approaches for a Dividend Maximization Problem under an Ornstein-Uhlenbeck Interest Rate," Mathematics, MDPI, vol. 9(18), pages 1-20, September.
- Han, Xingyu, 2018. "Pricing and hedging vulnerable option with funding costs and collateral," Chaos, Solitons & Fractals, Elsevier, vol. 112(C), pages 103-115.
- Shaolin Ji & Xiaomin Shi, 2016. "Recursive utility maximization under partial information," Papers 1605.05802, arXiv.org.
- Bandini, Elena & Fuhrman, Marco, 2017. "Constrained BSDEs representation of the value function in optimal control of pure jump Markov processes," Stochastic Processes and their Applications, Elsevier, vol. 127(5), pages 1441-1474.
- Martin Dumav, 2021. "Moral Hazard, Dynamic Incentives, and Ambiguous Perceptions," Papers 2110.15229, arXiv.org.
- Camilo Hernández & Dylan Possamaï, 2024. "Time‐inconsistent contract theory," Mathematical Finance, Wiley Blackwell, vol. 34(3), pages 1022-1085, July.
- Wayne King Ming Chan, 2015. "RAROC-Based Contingent Claim Valuation," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 3-2015, January-A.
- Yuki Shigeta, 2016.
"Optimal Switching under Ambiguity and Its Applications in Finance,"
Discussion papers
e-16-005, Graduate School of Economics , Kyoto University.
- Yuki Shigeta, 2016. "Optimal Switching under Ambiguity and Its Applications in Finance," Papers 1608.06045, arXiv.org.
- Wei Chen, 2013. "Fractional G-White Noise Theory, Wavelet Decomposition for Fractional G-Brownian Motion, and Bid-Ask Pricing Application to Finance Under Uncertainty," Papers 1306.4070, arXiv.org.
- Yan, Tingjin & Chiu, Mei Choi & Wong, Hoi Ying, 2023. "Portfolio liquidation with delayed information," Economic Modelling, Elsevier, vol. 126(C).
- Zhen-Qing Chen & Xinwei Feng, 2021. "Reflected Backward Stochastic Differential Equation with Rank-Based Data," Journal of Theoretical Probability, Springer, vol. 34(3), pages 1213-1247, September.
- Christian Olivera & Evelina Shamarova, 2020. "Gaussian density estimates for solutions of fully coupled forward‐backward SDEs," Mathematische Nachrichten, Wiley Blackwell, vol. 293(8), pages 1554-1564, August.
- Min Dai & Yuchao Dong & Yanwei Jia & Xun Yu Zhou, 2023. "Learning Merton's Strategies in an Incomplete Market: Recursive Entropy Regularization and Biased Gaussian Exploration," Papers 2312.11797, arXiv.org.
- Francesca Biagini & Alessandro Gnoatto & Immacolata Oliva, 2019. "Pricing of counterparty risk and funding with CSA discounting, portfolio effects and initial margin," Working Papers 04/2019, University of Verona, Department of Economics.
- Fan, Shengjun & Hu, Ying & Tang, Shanjian, 2023. "Existence, uniqueness and comparison theorem on unbounded solutions of scalar super-linear BSDEs," Stochastic Processes and their Applications, Elsevier, vol. 157(C), pages 335-375.
- Mingyu Xu & Zuo Quan Xu & Xun Yu Zhou, 2022. "$g$-Expectation of Distributions," Papers 2208.06535, arXiv.org.
- Tomasz R. Bielecki & Stéphane Crépey & Monique Jeanblanc & Marek Rutkowski, 2008. "Defaultable Options In A Markovian Intensity Model Of Credit Risk," Mathematical Finance, Wiley Blackwell, vol. 18(4), pages 493-518, October.
- Nikolai Dokuchaev, 2015. "Optimal portfolio with unobservable market parameters and certainty equivalence principle," Papers 1502.02352, arXiv.org.
- Ulrich Horst & Matthias Müller, 2007. "On the Spanning Property of Risk Bonds Priced by Equilibrium," Mathematics of Operations Research, INFORMS, vol. 32(4), pages 784-807, November.
- Bally, Vlad & Pagès, Gilles, 2003. "Error analysis of the optimal quantization algorithm for obstacle problems," Stochastic Processes and their Applications, Elsevier, vol. 106(1), pages 1-40, July.
- Delong, Lukasz, 2010. "An optimal investment strategy for a stream of liabilities generated by a step process in a financial market driven by a Lévy process," Insurance: Mathematics and Economics, Elsevier, vol. 47(3), pages 278-293, December.
- Boufoussi, B. & van Casteren, J., 2004. "An approximation result for a nonlinear Neumann boundary value problem via BSDEs," Stochastic Processes and their Applications, Elsevier, vol. 114(2), pages 331-350, December.
- Damiano Brigo & Cristin Buescu & Marco Francischello & Andrea Pallavicini & Marek Rutkowski, 2022. "Nonlinear Valuation with XVAs: Two Converging Approaches," Mathematics, MDPI, vol. 10(5), pages 1-31, March.
- Shige Peng & Mingyu Xu, 2006. "Reflected BSDE with a Constraint and a New Doob-Meyer Nonlinear Decomposition," Papers math/0611869, arXiv.org, revised Jul 2008.
- Douissi, Soukaina & Wen, Jiaqiang & Shi, Yufeng, 2019. "Mean-field anticipated BSDEs driven by fractional Brownian motion and related stochastic control problem," Applied Mathematics and Computation, Elsevier, vol. 355(C), pages 282-298.
- Nam, Kihun, 2021. "Locally Lipschitz BSDE driven by a continuous martingale a path-derivative approach," Stochastic Processes and their Applications, Elsevier, vol. 141(C), pages 376-411.
- Bayraktar, Erhan & Yao, Song, 2011.
"Optimal stopping for non-linear expectations--Part I,"
Stochastic Processes and their Applications, Elsevier, vol. 121(2), pages 185-211, February.
- Bayraktar, Erhan & Yao, Song, 2011. "Optimal stopping for non-linear expectations--Part II," Stochastic Processes and their Applications, Elsevier, vol. 121(2), pages 212-264, February.
- Blessing, Jonas & Kupper, Michael & Nendel, Max, 2023. "Convergence of Infintesimal Generators and Stability of Convex Montone Semigroups," Center for Mathematical Economics Working Papers 680, Center for Mathematical Economics, Bielefeld University.
- Sheng Jun Fan, 2018. "Existence, Uniqueness and Stability of $$L^1$$ L 1 Solutions for Multidimensional Backward Stochastic Differential Equations with Generators of One-Sided Osgood Type," Journal of Theoretical Probability, Springer, vol. 31(3), pages 1860-1899, September.
- Wei Zhang & Hui Min, 2021. "Weak Convergence Analysis and Improved Error Estimates for Decoupled Forward-Backward Stochastic Differential Equations," Mathematics, MDPI, vol. 9(8), pages 1-15, April.
- Lüders, Erik & Peisl, Bernhard, 2001. "How do investors' expectations drive asset prices?," ZEW Discussion Papers 01-15, ZEW - Leibniz Centre for European Economic Research.
- Thibaut Mastrolia, 2016. "Density analysis of non-Markovian BSDEs and applications to biology and finance," Papers 1602.06101, arXiv.org.
- Zhao, Qian & Shen, Yang & Wei, Jiaqin, 2014. "Consumption–investment strategies with non-exponential discounting and logarithmic utility," European Journal of Operational Research, Elsevier, vol. 238(3), pages 824-835.
- Geiss, Stefan & Ylinen, Juha, 2020. "Weighted bounded mean oscillation applied to backward stochastic differential equations," Stochastic Processes and their Applications, Elsevier, vol. 130(6), pages 3711-3752.
- Bo, Wang & Qingxin, Meng, 2007. "Hedging American contingent claims with arbitrage costs," Chaos, Solitons & Fractals, Elsevier, vol. 32(2), pages 598-603.
- Sascha Desmettre & Sebastian Merkel & Annalena Mickel & Alexander Steinicke, 2023. "Worst-Case Optimal Investment in Incomplete Markets," Papers 2311.10021, arXiv.org, revised Dec 2024.
- 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.
- Marcel Nutz & José A. Scheinkman, 2020. "Shorting in Speculative Markets," Journal of Finance, American Finance Association, vol. 75(2), pages 995-1036, April.
- Haiyang Wang & Zhen Wu, 2014. "Partially Observed Time-Inconsistency Recursive Optimization Problem and Application," Journal of Optimization Theory and Applications, Springer, vol. 161(2), pages 664-687, May.
- Cao, Guilan & He, Kai, 2007. "Successive approximation of infinite dimensional semilinear backward stochastic evolution equations with jumps," Stochastic Processes and their Applications, Elsevier, vol. 117(9), pages 1251-1264, September.
- Ferrari, Giorgio & Li, Hanwu & Riedel, Frank, 2020. "Optimal Consumption with Intertemporal Substitution under Knightian Uncertainty," Center for Mathematical Economics Working Papers 641, Center for Mathematical Economics, Bielefeld University.
- Minjie Yu & Qiang Zhang & Dennis Yang, 2008. "Bankruptcy in long-term investments," Quantitative Finance, Taylor & Francis Journals, vol. 8(8), pages 777-794.
- Beißner, Patrick, 2015. "Existence of Arrow-Debreu Equilibrium with Generalized Stochastic Differential Utility," Center for Mathematical Economics Working Papers 447, Center for Mathematical Economics, Bielefeld University.
- Dilip B. Madan, 2016. "Benchmarking in two price financial markets," Annals of Finance, Springer, vol. 12(2), pages 201-219, May.
- Fan, ShengJun, 2016. "Bounded solutions, Lp(p>1) solutions and L1 solutions for one dimensional BSDEs under general assumptions," Stochastic Processes and their Applications, Elsevier, vol. 126(5), pages 1511-1552.
- Situ, Rong, 2002. "On solutions of backward stochastic differential equations with jumps and with non-Lipschitzian coefficients in Hilbert spaces and stochastic control," Statistics & Probability Letters, Elsevier, vol. 60(3), pages 279-288, December.
- Lu, Wen & Ren, Yong & Hu, Lanying, 2015. "Mean-field backward stochastic differential equations with subdifferential operator and its applications," Statistics & Probability Letters, Elsevier, vol. 106(C), pages 73-81.
- Masaaki Fujii & Seisho Sato & Akihiko Takahashi, 2014. "An FBSDE Approach to American Option Pricing with an Interacting Particle Method," CARF F-Series CARF-F-352, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Bouchard, Bruno & Elie, Romuald, 2008. "Discrete-time approximation of decoupled Forward-Backward SDE with jumps," Stochastic Processes and their Applications, Elsevier, vol. 118(1), pages 53-75, January.
- Wang, Ling & Wong, Hoi Ying, 2021. "Time-consistent longevity hedging with long-range dependence," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 25-41.
- Jaekel, Uwe, 2005. "Pricing of American style options with an adjoint process correction method," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 352(2), pages 584-600.
- Masaaki Fujii & Akihiko Takahashi, 2015. "Asymptotic Expansion for Forward-Backward SDEs with Jumps," Papers 1510.03220, arXiv.org, revised Sep 2018.
- Charlotte Dion & Sarah Lemler, 2020. "Nonparametric drift estimation for diffusions with jumps driven by a Hawkes process," Statistical Inference for Stochastic Processes, Springer, vol. 23(3), pages 489-515, October.
- Yoshifumi Tsuchida, 2023. "Control Variate Method for Deep BSDE Solver Using Weak Approximation," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 30(2), pages 273-296, June.
- Stéphane Crépey & Shiqi Song, 2014. "BSDEs of Counterparty Risk," Working Papers hal-01088941, HAL.
- Confortola, Fulvia, 2007. "Dissipative backward stochastic differential equations with locally Lipschitz nonlinearity," Stochastic Processes and their Applications, Elsevier, vol. 117(5), pages 613-628, May.
- BALLY Vlad & PAGÈS Gilles & PRINTEMS Jacques, 2001. "A stochastic quantization method for nonlinear problems," Monte Carlo Methods and Applications, De Gruyter, vol. 7(1-2), pages 21-34, December.
- Hu, Ying & Wen, Jiaqiang & Xiong, Jie, 2024. "Backward doubly stochastic differential equations and SPDEs with quadratic growth," Stochastic Processes and their Applications, Elsevier, vol. 175(C).
- Stefan Geiss & Emmanuel Gobet, 2011. "Fractional smoothness and applications in Finance," Post-Print hal-00474803, HAL.
- Christophe Denis & Charlotte Dion‐Blanc & Eddy Ella‐Mintsa & Viet Chi Tran, 2024. "Nonparametric plug‐in classifier for multiclass classification of S.D.E. paths," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 51(3), pages 1103-1160, September.
- Tianyang Nie & Marek Rutkowski, 2015. "Fair Bilateral Prices In Bergman’S Model With Exogenous Collateralization," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(07), pages 1-26, November.
- Yumo Zhang, 2023. "Utility maximization in a stochastic affine interest rate and CIR risk premium framework: a BSDE approach," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 46(1), pages 97-128, June.
- Daniel Bartl & Ariel Neufeld & Kyunghyun Park, 2023. "Sensitivity of robust optimization problems under drift and volatility uncertainty," Papers 2311.11248, arXiv.org, revised Feb 2025.
- Yang, Zhe & Elliott, Robert J., 2013. "A converse comparison theorem for anticipated BSDEs and related non-linear expectations," Stochastic Processes and their Applications, Elsevier, vol. 123(2), pages 275-299.
- Elliott, Robert & Qiu, Jinniao & Wei, Wenning, 2022. "Neumann problem for backward SPDEs with singular terminal conditions and application in constrained stochastic control under target zone," Stochastic Processes and their Applications, Elsevier, vol. 148(C), pages 68-97.
- Badescu, Alexandru & Elliott, Robert J. & Ortega, Juan-Pablo, 2014. "Quadratic hedging schemes for non-Gaussian GARCH models," Journal of Economic Dynamics and Control, Elsevier, vol. 42(C), pages 13-32.
- 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.
- Lucio Fiorin & Gilles Pagès & Abass Sagna, 2019. "Product Markovian Quantization of a Diffusion Process with Applications to Finance," Methodology and Computing in Applied Probability, Springer, vol. 21(4), pages 1087-1118, December.
- Grigorova, Miryana & Quenez, Marie-Claire & Sulem, Agnès, 2019. "Superhedging prices of European and American options in a non-linear incomplete market with default," Center for Mathematical Economics Working Papers 607, Center for Mathematical Economics, Bielefeld University.
- Xu, Jing & Zhang, Bo, 2009. "Martingale characterization of G-Brownian motion," Stochastic Processes and their Applications, Elsevier, vol. 119(1), pages 232-248, January.
- Min Li & Tianyang Nie & Shujun Wang & Ke Yan, 2024. "Incomplete Information Mean-Field Games and Related Riccati Equations," Journal of Optimization Theory and Applications, Springer, vol. 203(3), pages 2487-2508, December.
- Yushi Hamaguchi, 2018. "BSDEs driven by cylindrical martingales with application to approximate hedging in bond markets," Papers 1806.04025, arXiv.org.
- Dilip Madan, 2015. "Asset pricing theory for two price economies," Annals of Finance, Springer, vol. 11(1), pages 1-35, February.
- Tahir Choulli & Safa’ Alsheyab, 2024. "The Optimal Stopping Problem under a Random Horizon," Mathematics, MDPI, vol. 12(9), pages 1-15, April.
- Ji, Shaolin & Peng, Shige, 2008. "Terminal perturbation method for the backward approach to continuous time mean-variance portfolio selection," Stochastic Processes and their Applications, Elsevier, vol. 118(6), pages 952-967, June.
- Callegaro, Giorgia & Gnoatto, Alessandro & Grasselli, Martino, 2023. "A fully quantization-based scheme for FBSDEs," Applied Mathematics and Computation, Elsevier, vol. 441(C).
- Gong, Benxue & Rui, Hongxing, 2015. "One order numerical scheme for forward–backward stochastic differential equations," Applied Mathematics and Computation, Elsevier, vol. 271(C), pages 220-231.
- Junna Bi & Qingbin Meng & Yongji Zhang, 2014. "Dynamic mean-variance and optimal reinsurance problems under the no-bankruptcy constraint for an insurer," Annals of Operations Research, Springer, vol. 212(1), pages 43-59, January.
- T Kruse & A Popier, 2015. "Minimal supersolutions for BSDEs with singular terminal condition and application to optimal position targeting," Working Papers hal-01139364, HAL.
- Issoglio, Elena & Jing, Shuai, 2020. "Forward–backward SDEs with distributional coefficients," Stochastic Processes and their Applications, Elsevier, vol. 130(1), pages 47-78.
- 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.
- Dela Vega, Engel John C. & Elliott, Robert J., 2022. "Backward stochastic differential equations with regime-switching and sublinear expectations," Stochastic Processes and their Applications, Elsevier, vol. 148(C), pages 278-298.
- Marie-Amelie Morlais, 2006. "Utility Maximization in a jump market model," Papers math/0612181, arXiv.org, revised May 2008.
- Tianyang Nie & Edward Kim & Marek Rutkowski, 2018. "Arbitrage-Free Pricing of Game Options in Nonlinear Markets," Papers 1807.05448, arXiv.org.
- Vorbrink, Jörg, 2016. "American options with multiple priors in continuous time," Center for Mathematical Economics Working Papers 448, Center for Mathematical Economics, Bielefeld University.
- Eddy Ella-Mintsa, 2024. "Nonparametric estimation of the diffusion coefficient from i.i.d. S.D.E. paths," Statistical Inference for Stochastic Processes, Springer, vol. 27(3), pages 585-640, October.
- 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.
- Ryan Donnelly & Sebastian Jaimungal, 2022. "Exploratory Control with Tsallis Entropy for Latent Factor Models," Papers 2211.07622, arXiv.org, revised Jan 2024.
- A. Agarwal & S. De Marco & E. Gobet & J. G. Lopez-Salas & F. Noubiagain & A. Zhou, 2024. "Numerical approximations of McKean Anticipative Backward Stochastic Differential Equations arising in Initial Margin requirements," Papers 2408.01185, arXiv.org.
- Stéphane Crépey & Shiqi Song, 2016. "Counterparty risk and funding: immersion and beyond," Finance and Stochastics, Springer, vol. 20(4), pages 901-930, October.
- Jakša Cvitanić & Jin Ma & Jianfeng Zhang, 2003. "Efficient Computation of Hedging Portfolios for Options with Discontinuous Payoffs," Mathematical Finance, Wiley Blackwell, vol. 13(1), pages 135-151, January.
- Yiqing Lin & Zhenjie Ren & Nizar Touzi & Junjian Yang, 2020. "Random horizon principal-agent problems," Papers 2002.10982, arXiv.org, revised Feb 2022.
- dos Reis, Gonçalo & Réveillac, Anthony & Zhang, Jianing, 2011. "FBSDEs with time delayed generators: Lp-solutions, differentiability, representation formulas and path regularity," Stochastic Processes and their Applications, Elsevier, vol. 121(9), pages 2114-2150, September.
- Zhang, Huanjun & Yan, Zhiguo, 2020. "Backward stochastic optimal control with mixed deterministic controller and random controller and its applications in linear-quadratic control," Applied Mathematics and Computation, Elsevier, vol. 369(C).
- Barrasso, Adrien & Russo, Francesco, 2021. "Martingale driven BSDEs, PDEs and other related deterministic problems," Stochastic Processes and their Applications, Elsevier, vol. 133(C), pages 193-228.
- Peng, Xingchun & Chen, Fenge & Wang, Wenyuan, 2021. "Robust optimal investment and reinsurance for an insurer with inside information," Insurance: Mathematics and Economics, Elsevier, vol. 96(C), pages 15-30.
- Lorenc Kapllani & Long Teng, 2020. "Deep learning algorithms for solving high dimensional nonlinear backward stochastic differential equations," Papers 2010.01319, arXiv.org, revised Jun 2022.
- Narayan Ganesan & Yajie Yu & Bernhard Hientzsch, 2020. "Pricing Barrier Options with DeepBSDEs," Papers 2005.10966, arXiv.org, revised Sep 2024.
- Thibaut Mastrolia & Zhenjie Ren, 2017. "Principal-Agent Problem with Common Agency without Communication," Papers 1706.02936, arXiv.org, revised Jan 2018.
- Antonelli, Fabio & Hamadène, SaI¨d, 2006. "Existence of the solutions of backward-forward SDE's with continuous monotone coefficients," Statistics & Probability Letters, Elsevier, vol. 76(14), pages 1559-1569, August.
- Masaaki Fujii & Akihiko Takahashi, 2015. "Quadratic-exponential growth BSDEs with Jumps and their Malliavin's Differentiability," Papers 1512.05924, arXiv.org, revised Sep 2017.
- Bensoussan, Alain & Li, Yiqun & Yam, Sheung Chi Phillip, 2018. "Backward stochastic dynamics with a subdifferential operator and non-local parabolic variational inequalities," Stochastic Processes and their Applications, Elsevier, vol. 128(2), pages 644-688.
- 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.
- Haojie Wang & Han Chen & Agus Sudjianto & Richard Liu & Qi Shen, 2018. "Deep Learning-Based BSDE Solver for Libor Market Model with Application to Bermudan Swaption Pricing and Hedging," Papers 1807.06622, arXiv.org, revised Sep 2018.
- Kim, Kon-Gun & Kim, Mun-Chol & Hwang, Ho-Jin, 2024. "Representation of solutions to quadratic 2BSDEs with unbounded terminal values," Statistics & Probability Letters, Elsevier, vol. 213(C).
- Owo, Jean-Marc, 2015. "Backward doubly stochastic differential equations with stochastic Lipschitz condition," Statistics & Probability Letters, Elsevier, vol. 96(C), pages 75-84.
- Liu, Yang & Liang, Yanzi & Lan, Xinchen & Lu, Zheng, 2024. "Nonparametric statistical inference for stochastic optimal control problems and its applications for financial investment," Finance Research Letters, Elsevier, vol. 64(C).
- Qi Zhang & Huaizhong Zhao, 2012. "Probabilistic Representation of Weak Solutions of Partial Differential Equations with Polynomial Growth Coefficients," Journal of Theoretical Probability, Springer, vol. 25(2), pages 396-423, June.
- Teppei Ogihara & Mitja Stadje, 2024. "Efficient drift parameter estimation for ergodic solutions of backward SDEs," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 51(3), pages 1181-1205, September.
- Cyril B'en'ezet & Jean-Franc{c}ois Chassagneux & Christoph Reisinger, 2019. "A numerical scheme for the quantile hedging problem," Papers 1902.11228, arXiv.org.
- Max Nendel, 2021. "Markov chains under nonlinear expectation," Mathematical Finance, Wiley Blackwell, vol. 31(1), pages 474-507, January.
- Roger J. A. Laeven & Mitja Stadje, 2014. "Robust Portfolio Choice and Indifference Valuation," Mathematics of Operations Research, INFORMS, vol. 39(4), pages 1109-1141, November.
- Chen, Yingshan & Dai, Min & Xu, Jing & Xu, Mingyu, 2015. "Superhedging under ratio constraint," Journal of Economic Dynamics and Control, Elsevier, vol. 58(C), pages 250-264.
- Nicole EL KAROUI & Claudia RAVANELLI, 2008. "Cash Sub-additive Risk Measures and Interest Rate Ambiguity," Swiss Finance Institute Research Paper Series 08-09, Swiss Finance Institute.
- Wen, Jiaqiang & Shi, Yufeng, 2017. "Anticipative backward stochastic differential equations driven by fractional Brownian motion," Statistics & Probability Letters, Elsevier, vol. 122(C), pages 118-127.
- Wang, Hao & Wang, Rongming & Wei, Jiaqin, 2019. "Time-consistent investment-proportional reinsurance strategy with random coefficients for mean–variance insurers," Insurance: Mathematics and Economics, Elsevier, vol. 85(C), pages 104-114.
- Yushi Hamaguchi, 2019. "Time-inconsistent consumption-investment problems in incomplete markets under general discount functions," Papers 1912.01281, arXiv.org, revised Mar 2021.
- Hu, Ying & Lemonnier, Florian, 2019. "Ergodic BSDE with unbounded and multiplicative underlying diffusion and application to large time behaviour of viscosity solution of HJB equation," Stochastic Processes and their Applications, Elsevier, vol. 129(10), pages 4009-4050.
- Etienne Chevalier & Thomas Lim & Ricardo Romo Roméro, 2014. "Indifference fee rate for variable annuities," Working Papers hal-01017157, HAL.
- Romuald Elie & Thibaut Mastrolia & Dylan Possamaï, 2019. "A Tale of a Principal and Many, Many Agents," Mathematics of Operations Research, INFORMS, vol. 44(2), pages 440-467, May.
- Wayne King Ming Chan, 2015. "RAROC-Based Contingent Claim Valuation," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 21, July-Dece.
- Christian Bender & Christian Gaertner & Nikolaus Schweizer, 2016. "Pathwise Iteration for Backward SDEs," Papers 1605.07500, arXiv.org, revised Jun 2016.
- Hu, Ying & Yong, Jiongmin, 2000. "Forward-backward stochastic differential equations with nonsmooth coefficients," Stochastic Processes and their Applications, Elsevier, vol. 87(1), pages 93-106, May.
- Li, Juan & Wei, Qingmeng, 2014. "Lp estimates for fully coupled FBSDEs with jumps," Stochastic Processes and their Applications, Elsevier, vol. 124(4), pages 1582-1611.
- Jean-François Chassagneux & Romuald Elie & Idris Kharroubi, 2015. "When terminal facelift enforces delta constraints," Finance and Stochastics, Springer, vol. 19(2), pages 329-362, April.
- Song, Wenjie & Wu, Panyu & Zhang, Guodong, 2021. "Jensen’s inequality for g-expectations in general filtration spaces," Statistics & Probability Letters, Elsevier, vol. 169(C).
- Abdelkarim Oualaid & Khaled Bahlali & Youssef Ouknine, 2023. "Reflected Backward Stochastic Differential Equations Associated to Jump Markov Processes and Application to Partial Differential Equations," Journal of Theoretical Probability, Springer, vol. 36(3), pages 1400-1436, September.
- Delong, Łukasz, 2014. "Pricing and hedging of variable annuities with state-dependent fees," Insurance: Mathematics and Economics, Elsevier, vol. 58(C), pages 24-33.
- Chol-Kyu Pak & Mun-Chol Kim & Chang-Ho Rim, 2018. "Adapted $\theta$-Scheme and Its Error Estimates for Backward Stochastic Differential Equations," Papers 1808.02173, arXiv.org.
- Labart Céline & Lelong Jérôme, 2013. "A parallel algorithm for solving BSDEs," Monte Carlo Methods and Applications, De Gruyter, vol. 19(1), pages 11-39, March.
- Reda Chhaibi & Ibrahim Ekren & Eunjung Noh & Lu Vy, 2022. "A unified approach to informed trading via Monge-Kantorovich duality," Papers 2210.17384, arXiv.org.
- Lijun Bo & Agostino Capponi, 2017. "Optimal Credit Investment with Borrowing Costs," Mathematics of Operations Research, INFORMS, vol. 42(2), pages 546-575, May.
- Claudia Ceci & Katia Colaneri & Alessandra Cretarola, 2018. "Indifference pricing of pure endowments via BSDEs under partial information," Papers 1804.00223, arXiv.org, revised Jul 2020.
- Jia, Guangyan, 2010. "Backward stochastic differential equations with a uniformly continuous generator and related g-expectation," Stochastic Processes and their Applications, Elsevier, vol. 120(11), pages 2241-2257, November.
- 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.
- Mustafa Akan & Barış Ata, 2009. "Bid-Price Controls for Network Revenue Management: Martingale Characterization of Optimal Bid Prices," Mathematics of Operations Research, INFORMS, vol. 34(4), pages 912-936, November.
- Freddy Delbaen & Shige Peng & Emanuela Rosazza Gianin, 2010. "Representation of the penalty term of dynamic concave utilities," Finance and Stochastics, Springer, vol. 14(3), pages 449-472, September.
- T Kruse & A Popier, 2015. "Minimal supersolutions for BSDEs with singular terminal condition and application to optimal position targeting," Papers 1504.01150, arXiv.org, revised Dec 2015.
- Ricardo Josa-Fombellida & Juan Rincón-Zapatero, 2015. "Euler–Lagrange equations of stochastic differential games: application to a game of a productive asset," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 59(1), pages 61-108, May.
- Jaroslav Borovicka, 2009. "Heterogeneous beliefs under recursive preferences," 2009 Meeting Papers 892, Society for Economic Dynamics.
- Zhongyang Sun & Junyi Guo & Xin Zhang, 2018. "Maximum Principle for Markov Regime-Switching Forward–Backward Stochastic Control System with Jumps and Relation to Dynamic Programming," Journal of Optimization Theory and Applications, Springer, vol. 176(2), pages 319-350, February.
- Hu, Ying & Ma, JinJin, 2004. "Nonlinear Feynman-Kac formula and discrete-functional-type BSDEs with continuous coefficients," Stochastic Processes and their Applications, Elsevier, vol. 112(1), pages 23-51, July.
- Ankush Agarwal & Stefano de Marco & Emmanuel Gobet & José G López-Salas & Fanny Noubiagain & Alexandre Zhou, 2019. "Numerical approximations of McKean Anticipative Backward Stochastic Differential Equations arising in Initial Margin requirements," Post-Print hal-01686952, HAL.
- Damiano Brigo & Cristin Buescu & Marco Francischello & Andrea Pallavicini & Marek Rutkowski, 2018. "Risk-neutral valuation under differential funding costs, defaults and collateralization," Papers 1802.10228, arXiv.org.
- Tianyang Nie & Marek Rutkowski, 2014. "Fair and profitable bilateral prices under funding costs and collateralization," Papers 1410.0448, arXiv.org, revised Dec 2014.
- Jana Bielagk & Arnaud Lionnet & Gonçalo dos Reis, 2015. "Equilibrium pricing under relative performance concerns," Working Papers hal-01245812, HAL.
- Roxana Dumitrescu & Marie-Claire Quenez & Agn`es Sulem, 2015. "Game options in an imperfect market with default," Papers 1511.09041, arXiv.org, revised Jul 2017.
- Cody Hyndman & Xinghua Zhou, 2014. "Explicit solutions of quadratic FBSDEs arising from quadratic term structure models," Papers 1410.1220, arXiv.org, revised Dec 2014.
- Andrew Lesniewski & Anja Richter, 2016. "Managing counterparty credit risk via BSDEs," Papers 1608.03237, arXiv.org, revised Aug 2016.
- Thibaut Mastrolia, 2017. "Moral hazard in welfare economics: on the advantage of Planner's advices to manage employees' actions," Papers 1706.01254, arXiv.org.
- Bouchard, Bruno & Touzi, Nizar, 2004. "Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations," Stochastic Processes and their Applications, Elsevier, vol. 111(2), pages 175-206, June.
- Li, Min & Shi, Yufeng, 2016. "Solving the double barrier reflected BSDEs via penalization method," Statistics & Probability Letters, Elsevier, vol. 110(C), pages 74-83.
- Christian Bender & Christian Gärtner & Nikolaus Schweizer, 2018. "Pathwise Dynamic Programming," Mathematics of Operations Research, INFORMS, vol. 43(3), pages 965-965, August.
- Qi Zeng & Hae Won (Henny) Jung, 2014. "Optimal Contract, Ownership Structure and Asset Pricing," 2014 Meeting Papers 911, Society for Economic Dynamics.
- Sigrid Källblad & Jan Obłój & Thaleia Zariphopoulou, 2018. "Dynamically consistent investment under model uncertainty: the robust forward criteria," Finance and Stochastics, Springer, vol. 22(4), pages 879-918, October.
- Zhou, Qing & Wu, Weixing & Wang, Zengwu, 2008. "Cooperative hedging with a higher interest rate for borrowing," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 609-616, April.
- Attaoui, Sami & Cao, Wenbin & Duan, Xiaoman & Liu, Hening, 2021. "Optimal capital structure, ambiguity aversion, and leverage puzzles," Journal of Economic Dynamics and Control, Elsevier, vol. 129(C).
- Kihun Nam, 2019. "Global Well-posedness of Non-Markovian Multidimensional Superquadratic BSDE," Papers 1912.03692, arXiv.org, revised Jan 2022.
- Thibaut Mastrolia & Zhenjie Ren, 2018. "Principal-Agent Problem with Common Agency without Communication," Working Papers hal-01534611, HAL.
- Dirk Becherer & Klebert Kentia, 2017. "Hedging under generalized good-deal bounds and model uncertainty," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 86(1), pages 171-214, August.
- Miryana Grigorova & Marie-Claire Quenez & Agnès Sulem, 2019. "European options in a non-linear incomplete market model with default," Working Papers hal-02025833, HAL.
- Grün, Christine, 2012. "A BSDE approach to stochastic differential games with incomplete information," Stochastic Processes and their Applications, Elsevier, vol. 122(4), pages 1917-1946.
- Zhou, Qing & Ren, Yong, 2012. "Reflected backward stochastic differential equations with time delayed generators," Statistics & Probability Letters, Elsevier, vol. 82(5), pages 979-990.
- Emmanuel Gobet & Isaque Pimentel & Xavier Warin, 2020. "Option valuation and hedging using an asymmetric risk function: asymptotic optimality through fully nonlinear partial differential equations," Finance and Stochastics, Springer, vol. 24(3), pages 633-675, July.
- Graewe, Paulwin & Popier, Alexandre, 2021. "Asymptotic approach for backward stochastic differential equation with singular terminal condition," Stochastic Processes and their Applications, Elsevier, vol. 133(C), pages 247-277.
- Zheng, Shiqiu, 2024. "On g-expectations and filtration-consistent nonlinear expectations," Stochastic Processes and their Applications, Elsevier, vol. 178(C).
- Roger J. A. Laeven & Emanuela Rosazza Gianin & Marco Zullino, 2024. "Geometric BSDEs," Papers 2405.09260, arXiv.org, revised Jul 2024.
- Junbeom Lee & Chao Zhou, 2017. "Binary Funding Impacts in Derivative Valuation," Papers 1703.00259, arXiv.org, revised Aug 2020.
- Fuhrman, Marco, 2003. "A class of stochastic optimal control problems in Hilbert spaces: BSDEs and optimal control laws, state constraints, conditioned processes," Stochastic Processes and their Applications, Elsevier, vol. 108(2), pages 263-298, December.
- Carole Bernard & Shaolin Ji & Weidong Tian, 2013. "An optimal insurance design problem under Knightian uncertainty," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 36(2), pages 99-124, 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.
- Lin, Qian, 2009. "A class of backward doubly stochastic differential equations with non-Lipschitz coefficients," Statistics & Probability Letters, Elsevier, vol. 79(20), pages 2223-2229, October.
- Holger Kraft & Thomas Seiferling & Frank Thomas Seifried, 2017. "Optimal consumption and investment with Epstein–Zin recursive utility," Finance and Stochastics, Springer, vol. 21(1), pages 187-226, January.
- Jonas Blessing & Michael Kupper & Alessandro Sgarabottolo, 2024. "Discrete approximation of risk-based prices under volatility uncertainty," Papers 2411.00713, arXiv.org.
- Yan, Tingjin & Wong, Hoi Ying, 2020. "Open-loop equilibrium reinsurance-investment strategy under mean–variance criterion with stochastic volatility," Insurance: Mathematics and Economics, Elsevier, vol. 90(C), pages 105-119.
- Masaaki Fujii & Akihiko Takahashi & Masayuki Takahashi, 2019. "Asymptotic Expansion as Prior Knowledge in Deep Learning Method for High dimensional BSDEs," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 26(3), pages 391-408, September.
- Jian-Huang She & Dan Grecu, 2018. "Neural Network for CVA: Learning Future Values," Papers 1811.08726, arXiv.org.
- Yang Shen & Tak Kuen Siu, 2018. "A Risk-Based Approach for Asset Allocation with A Defaultable Share," Risks, MDPI, vol. 6(1), pages 1-27, February.
- Eduard Rotenstein, 2008. "Pricing financial derivatives by a minimizing method," Papers 0811.4613, arXiv.org, revised Oct 2013.
- Peng, Xingchun & Chen, Fenge & Hu, Yijun, 2014. "Optimal investment, consumption and proportional reinsurance under model uncertainty," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 222-234.
- 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.
- Roger J. A. Laeven & Emanuela Rosazza Gianin & Marco Zullino, 2023. "Dynamic Return and Star-Shaped Risk Measures via BSDEs," Papers 2307.03447, arXiv.org, revised Jul 2023.
- Guangbao Guo, 2018. "Finite Difference Methods for the BSDEs in Finance," IJFS, MDPI, vol. 6(1), pages 1-15, March.
- Antonis Papapantoleon & Dylan Possamai & Alexandros Saplaouras, 2016. "Existence and uniqueness results for BSDEs with jumps: the whole nine yards," Papers 1607.04214, arXiv.org, revised Nov 2018.
- Gnameho Kossi & Stadje Mitja & Pelsser Antoon, 2024. "A gradient method for high-dimensional BSDEs," Monte Carlo Methods and Applications, De Gruyter, vol. 30(2), pages 183-203.
- Adrien Barrasso & Francesco Russo, 2021. "Backward Stochastic Differential Equations with No Driving Martingale, Markov Processes and Associated Pseudo-Partial Differential Equations: Part II—Decoupled Mild Solutions and Examples," Journal of Theoretical Probability, Springer, vol. 34(3), pages 1110-1148, September.
- Damiano Brigo & Federico Graceffa & Alexander Kalinin, 2021. "Mild to classical solutions for XVA equations under stochastic volatility," Papers 2112.11808, arXiv.org.
- Akihiko Takahashi & Toshihiro Yamada, 2016. "An Asymptotic Expansion for Forward–Backward SDEs: A Malliavin Calculus Approach," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 23(4), pages 337-373, December.
- Delong, Lukasz & Imkeller, Peter, 2010. "On Malliavin's differentiability of BSDEs with time delayed generators driven by Brownian motions and Poisson random measures," Stochastic Processes and their Applications, Elsevier, vol. 120(9), pages 1748-1775, August.
- Ulrich Horst & Xiaonyu Xia & Chao Zhou, 2019. "Portfolio liquidation under factor uncertainty," Papers 1909.00748, arXiv.org.
- Izumi, Yuki, 2013. "The Lp Cauchy sequence for one-dimensional BSDEs with linear growth generators," Statistics & Probability Letters, Elsevier, vol. 83(6), pages 1588-1594.
- Chaofan Sun & Ken Seng Tan & Wei Wei, 2022. "Credit Valuation Adjustment with Replacement Closeout: Theory and Algorithms," Papers 2201.09105, arXiv.org, revised Jan 2022.
- Qian Lei & Chi Seng Pun, 2023. "On the Well-posedness of Hamilton-Jacobi-Bellman Equations of the Equilibrium Type," Papers 2307.01986, arXiv.org.
- Safa Alsheyab & Tahir Choulli, 2021. "Reflected backward stochastic differential equations under stopping with an arbitrary random time," Papers 2107.11896, arXiv.org.
- Wei, Jiaqin & Wang, Tianxiao, 2017. "Time-consistent mean–variance asset–liability management with random coefficients," Insurance: Mathematics and Economics, Elsevier, vol. 77(C), pages 84-96.
- Bernhard Hientzsch, 2019. "Introduction to Solving Quant Finance Problems with Time-Stepped FBSDE and Deep Learning," Papers 1911.12231, arXiv.org.
- Fan, ShengJun & Jiang, Long, 2012. "One-dimensional BSDEs with left-continuous, lower semi-continuous and linear-growth generators," Statistics & Probability Letters, Elsevier, vol. 82(10), pages 1792-1798.
- Jiang, Long, 2005. "Representation theorems for generators of backward stochastic differential equations and their applications," Stochastic Processes and their Applications, Elsevier, vol. 115(12), pages 1883-1903, December.
- Stoica, I. L., 2003. "A probabilistic interpretation of the divergence and BSDE's," Stochastic Processes and their Applications, Elsevier, vol. 103(1), pages 31-55, January.
- Briand, Philippe & Delyon, Bernard & Mémin, Jean, 2002. "On the robustness of backward stochastic differential equations," Stochastic Processes and their Applications, Elsevier, vol. 97(2), pages 229-253, February.
- Kharroubi Idris & Lim Thomas & Warin Xavier, 2021. "Discretization and machine learning approximation of BSDEs with a constraint on the Gains-process," Monte Carlo Methods and Applications, De Gruyter, vol. 27(1), pages 27-55, March.
- Delbaen, Freddy & Qiu, Jinniao & Tang, Shanjian, 2015. "Forward–backward stochastic differential systems associated to Navier–Stokes equations in the whole space," Stochastic Processes and their Applications, Elsevier, vol. 125(7), pages 2516-2561.
- Samuel N. Cohen & Robert J. Elliott, 2008. "Comparisons for backward stochastic differential equations on Markov chains and related no-arbitrage conditions," Papers 0810.0055, arXiv.org, revised Jan 2010.
- Stéphane Crépey & Shiqi Song, 2014. "Counterparty risk and funding: Immersion and beyond," Working Papers hal-00989062, HAL.
- Krätschmer, Volker & Schoenmakers, John G. M., 2009. "Representations for optimal stopping under dynamic monetary utility functionals," SFB 649 Discussion Papers 2009-055, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Tianyang Nie & Marek Rutkowski, 2014. "A BSDE approach to fair bilateral pricing under endogenous collateralization," Papers 1412.2453, arXiv.org.
- Lu, Wen & Ren, Yong, 2013. "Anticipated backward stochastic differential equations on Markov chains," Statistics & Probability Letters, Elsevier, vol. 83(7), pages 1711-1719.
- Masaaki Fujii & Akihiko Takahashi, 2011. "Analytical Approximation for Non-linear FBSDEs with Perturbation Scheme," Papers 1106.0123, arXiv.org, revised Jan 2012.
- Shengqiu Sun, 2022. "Backward Stochastic Differential Equations Driven by G-Brownian Motion with Uniformly Continuous Coefficients in (y, z)," Journal of Theoretical Probability, Springer, vol. 35(1), pages 370-409, March.
- Liu, Haodong & Yang, Shuzhen, 2017. "Representation and converse comparison theorems for multidimensional BSDEs," Statistics & Probability Letters, Elsevier, vol. 127(C), pages 67-74.
- Tomasz R. Bielecki & Igor Cialenco & Tao Chen, 2014. "Dynamic Conic Finance via Backward Stochastic Difference Equations," Papers 1412.6459, arXiv.org, revised Dec 2014.
- Buckdahn, Rainer & Li, Juan & Peng, Shige, 2009. "Mean-field backward stochastic differential equations and related partial differential equations," Stochastic Processes and their Applications, Elsevier, vol. 119(10), pages 3133-3154, October.
- Fan, Xiliang & Ren, Yong & Zhu, Dongjin, 2010. "A note on the doubly reflected backward stochastic differential equations driven by a Lévy process," Statistics & Probability Letters, Elsevier, vol. 80(7-8), pages 690-696, April.
- Erhan Bayraktar & Song Yao, 2009. "Optimal Stopping for Non-linear Expectations," Papers 0905.3601, arXiv.org, revised Jan 2011.
- 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.
- Chen, Zengjing & Epstein, Larry G., 2022. "A central limit theorem for sets of probability measures," Stochastic Processes and their Applications, Elsevier, vol. 152(C), pages 424-451.
- Alberto Gennaro & Thibaut Mastrolia, 2024. "Delegated portfolio management with random default," Papers 2410.13103, arXiv.org.
- Matoussi, Anis & Xing, Hao, 2018. "Convex duality for Epstein-Zin stochastic differential utility," LSE Research Online Documents on Economics 82519, London School of Economics and Political Science, LSE Library.
- Shujun Wang, 2025. "Backward Anticipated Social Optima: Input Constraints and Partial Information," Mathematics, MDPI, vol. 13(2), pages 1-27, January.
- Rosazza Gianin, Emanuela, 2006. "Risk measures via g-expectations," Insurance: Mathematics and Economics, Elsevier, vol. 39(1), pages 19-34, August.
- Giorgio Fabbri & Fausto Gozzi & Andrzej Swiech, 2017. "Stochastic Optimal Control in Infinite Dimensions - Dynamic Programming and HJB Equations," Post-Print hal-01505767, HAL.
- Zhongyang Sun & Junyi Guo, 2018. "Optimal mean–variance investment and reinsurance problem for an insurer with stochastic volatility," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 88(1), pages 59-79, August.
- Peng, Shige & Shi, Yufeng, 2000. "Infinite horizon forward-backward stochastic differential equations," Stochastic Processes and their Applications, Elsevier, vol. 85(1), pages 75-92, January.
- Xing, Hao & Žitković, Gordan, 2018. "A class of globally solvable Markovian quadratic BSDE systems and applications," LSE Research Online Documents on Economics 73440, London School of Economics and Political Science, LSE Library.
- Peng, Shige, 2000. "Problem of eigenvalues of stochastic Hamiltonian systems with boundary conditions," Stochastic Processes and their Applications, Elsevier, vol. 88(2), pages 259-290, August.
- Jackson, Joe, 2023. "The reverse Hölder inequality for matrix-valued stochastic exponentials and applications to quadratic BSDE systems," Stochastic Processes and their Applications, Elsevier, vol. 160(C), pages 1-32.
- Du, Kai & Meng, Qingxin, 2010. "A revisit to -theory of super-parabolic backward stochastic partial differential equations in," Stochastic Processes and their Applications, Elsevier, vol. 120(10), pages 1996-2015, September.
- Quenez, Marie-Claire & Sulem, Agnès, 2013. "BSDEs with jumps, optimization and applications to dynamic risk measures," Stochastic Processes and their Applications, Elsevier, vol. 123(8), pages 3328-3357.
- Tak Siu, 2012. "A BSDE approach to risk-based asset allocation of pension funds with regime switching," Annals of Operations Research, Springer, vol. 201(1), pages 449-473, December.
- Yang Shen, 2020. "Effect of Variance Swap in Hedging Volatility Risk," Risks, MDPI, vol. 8(3), pages 1-34, July.
- Sai Hung Marten Ting & Christian-Oliver Ewald, 2013. "On the performance of asymptotic locally risk minimising hedges in the Heston stochastic volatility model," Quantitative Finance, Taylor & Francis Journals, vol. 13(6), pages 939-954, May.
- Miryana Grigorova & Marie-Claire Quenez & Agnès Sulem, 2020. "European options in a non-linear incomplete market model with default," Post-Print hal-02025833, HAL.
- Samuel N. Cohen & Victor Fedyashov, 2015. "Nash equilibria for non zero-sum ergodic stochastic differential games," Papers 1511.02716, arXiv.org, revised Jun 2017.
- Djordjević, Jasmina & Janković, Svetlana, 2015. "Backward stochastic Volterra integral equations with additive perturbations," Applied Mathematics and Computation, Elsevier, vol. 265(C), pages 903-910.
- Alessandro Calvia & Emanuela Rosazza Gianin, 2019. "Risk measures and progressive enlargement of filtration: a BSDE approach," Papers 1904.13257, arXiv.org, revised Mar 2020.
- Nie, Tianyang & Rutkowski, Marek, 2014. "Multi-player stopping games with redistribution of payoffs and BSDEs with oblique reflection," Stochastic Processes and their Applications, Elsevier, vol. 124(8), pages 2672-2698.
- Royer, Manuela, 2006. "Backward stochastic differential equations with jumps and related non-linear expectations," Stochastic Processes and their Applications, Elsevier, vol. 116(10), pages 1358-1376, October.
- Yannacopoulos, Athanasios N., 2008. "Rational expectations models: An approach using forward-backward stochastic differential equations," Journal of Mathematical Economics, Elsevier, vol. 44(3-4), pages 251-276, February.
- Ludovic Tangpi, 2018. "Concentration of dynamic risk measures in a Brownian filtration," Papers 1805.09014, arXiv.org.
- Samuel N. Cohen & Victor Fedyashov, 2014. "Ergodic BSDEs with jumps and time dependence," Papers 1406.4329, arXiv.org, revised Nov 2015.
- repec:hal:wpaper:hal-01686952 is not listed on IDEAS
- Dirk Becherer, 2007. "Bounded solutions to backward SDE's with jumps for utility optimization and indifference hedging," Papers math/0702405, arXiv.org.
- Bendera, Christian & Moseler, Thilo, 2008. "Importance sampling for backward SDEs," CoFE Discussion Papers 08/11, University of Konstanz, Center of Finance and Econometrics (CoFE).
- Johannes Muhle‐Karbe & Marcel Nutz & Xiaowei Tan, 2020. "Asset pricing with heterogeneous beliefs and illiquidity," Mathematical Finance, Wiley Blackwell, vol. 30(4), pages 1392-1421, October.
- Zhang, HengMin & Fan, ShengJun, 2013. "A representation theorem for generators of BSDEs with finite or infinite time intervals and linear-growth generators," Statistics & Probability Letters, Elsevier, vol. 83(3), pages 724-734.
- Crisan, D. & Manolarakis, K. & Touzi, N., 2010. "On the Monte Carlo simulation of BSDEs: An improvement on the Malliavin weights," Stochastic Processes and their Applications, Elsevier, vol. 120(7), pages 1133-1158, July.