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Backward Stochastic Differential Equations in Finance

Citations

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Cited by:

  1. 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.
  2. Jiequn Han & Ruimeng Hu & Jihao Long, 2020. "Convergence of Deep Fictitious Play for Stochastic Differential Games," Papers 2008.05519, arXiv.org, revised Mar 2021.
  3. Tie Wang & Siyu Cui, 2022. "Anticipated Backward Doubly Stochastic Differential Equations with Non-Lipschitz Coefficients," Mathematics, MDPI, vol. 10(3), pages 1-18, January.
  4. Teng, Long, 2022. "Gradient boosting-based numerical methods for high-dimensional backward stochastic differential equations," Applied Mathematics and Computation, Elsevier, vol. 426(C).
  5. 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.
  6. Thibaut Mastrolia, 2017. "Moral hazard in welfare economics: on the advantage of Planner's advices to manage employees' actions," Working Papers hal-01504473, HAL.
  7. 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.
  8. 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.
  9. Noah Williams, 2004. "On Dynamic Principal-Agent Problems in Continuous Time," Levine's Bibliography 122247000000000426, UCLA Department of Economics.
  10. Hyndman, Cody Blaine, 2007. "Forward-backward SDEs and the CIR model," Statistics & Probability Letters, Elsevier, vol. 77(17), pages 1676-1682, November.
  11. 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.
  12. 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.
  13. 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.
  14. 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.
  15. 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.
  16. 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.
  17. 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.
  18. 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.
  19. 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.
  20. 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.
  21. Ewald, Christian Oliver & Taub, Bart, 2022. "Real options, risk aversion and markets: A corporate finance perspective," Journal of Corporate Finance, Elsevier, vol. 72(C).
  22. 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.
  23. 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.
  24. Stefan Ankirchner & Gregor Heyne, 2012. "Cross hedging with stochastic correlation," Finance and Stochastics, Springer, vol. 16(1), pages 17-43, January.
  25. Maxim Bichuch & Agostino Capponi & Stephan Sturm, 2020. "Robust XVA," Mathematical Finance, Wiley Blackwell, vol. 30(3), pages 738-781, July.
  26. 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.
  27. 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.
  28. Chen, Zengjing & Kulperger, Reg, 2005. "Inequalities for upper and lower probabilities," Statistics & Probability Letters, Elsevier, vol. 73(3), pages 233-241, July.
  29. 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.
  30. 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.
  31. 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.
  32. Dai, Yin & Li, Ruinan, 2021. "Transportation cost inequality for backward stochastic differential equations with mean reflection," Statistics & Probability Letters, Elsevier, vol. 177(C).
  33. 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.
  34. 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.
  35. 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.
  36. 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.
  37. 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.
  38. 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.
  39. 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.
  40. 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.
  41. Dirk Becherer & Plamen Turkedjiev, 2014. "Multilevel approximation of backward stochastic differential equations," Papers 1412.3140, arXiv.org.
  42. Leippold, Markus & Schärer, Steven, 2017. "Discrete-time option pricing with stochastic liquidity," Journal of Banking & Finance, Elsevier, vol. 75(C), pages 1-16.
  43. Jiang, Long, 2005. "Converse comparison theorems for backward stochastic differential equations," Statistics & Probability Letters, Elsevier, vol. 71(2), pages 173-183, February.
  44. 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.
  45. Chen, Zengjing & Peng, Shige, 2000. "A general downcrossing inequality for g-martingales," Statistics & Probability Letters, Elsevier, vol. 46(2), pages 169-175, January.
  46. Mohamed Otmani, 2009. "Reflected BSDE Driven by a Lévy Process," Journal of Theoretical Probability, Springer, vol. 22(3), pages 601-619, September.
  47. Antoon Pelsser & Mitja Stadje, 2014. "Time-Consistent And Market-Consistent Evaluations," Mathematical Finance, Wiley Blackwell, vol. 24(1), pages 25-65, January.
  48. Samuel N. Cohen & Tanut Treetanthiploet, 2019. "Gittins' theorem under uncertainty," Papers 1907.05689, arXiv.org, revised Jun 2021.
  49. G. Liang & T. Lyons & Z. Qian, 2010. "A Functional Approach to FBSDEs and Its Application in Optimal Portfolios," Papers 1011.4499, arXiv.org.
  50. Wu, Zhen & Xu, Mingyu, 2009. "Comparison theorems for forward backward SDEs," Statistics & Probability Letters, Elsevier, vol. 79(4), pages 426-435, February.
  51. Chenguang Liu & Antonis Papapantoleon & Alexandros Saplaouras, 2024. "Convergence rates for Backward SDEs driven by L\'evy processes," Papers 2402.01337, arXiv.org.
  52. 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.
  53. Ali Lazrak & Marie Claire Quenez, 2003. "A Generalized Stochastic Differential Utility," Mathematics of Operations Research, INFORMS, vol. 28(1), pages 154-180, February.
  54. 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.
  55. 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.
  56. Tangpi, Ludovic, 2019. "Concentration of dynamic risk measures in a Brownian filtration," Stochastic Processes and their Applications, Elsevier, vol. 129(5), pages 1477-1491.
  57. 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.
  58. 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.
  59. 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.
  60. {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.
  61. 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.
  62. 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.
  63. Bender, Christian, 2014. "Backward SDEs driven by Gaussian processes," Stochastic Processes and their Applications, Elsevier, vol. 124(9), pages 2892-2916.
  64. Samuel N. Cohen & Martin Tegn'er, 2018. "European Option Pricing with Stochastic Volatility models under Parameter Uncertainty," Papers 1807.03882, arXiv.org.
  65. 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).
  66. Wu, Zhen, 1999. "The comparison theorem of FBSDE," Statistics & Probability Letters, Elsevier, vol. 44(1), pages 1-6, August.
  67. 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.
  68. 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.
  69. 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.
  70. Briand, Philippe & Hibon, Hélène, 2021. "Particles Systems for mean reflected BSDEs," Stochastic Processes and their Applications, Elsevier, vol. 131(C), pages 253-275.
  71. Bi, Junna & Jin, Hanqing & Meng, Qingbin, 2018. "Behavioral mean-variance portfolio selection," European Journal of Operational Research, Elsevier, vol. 271(2), pages 644-663.
  72. 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.
  73. repec:hal:wpaper:hal-01761234 is not listed on IDEAS
  74. 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.
  75. 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.
  76. A. Jobert & L. C. G. Rogers, 2008. "Valuations And Dynamic Convex Risk Measures," Mathematical Finance, Wiley Blackwell, vol. 18(1), pages 1-22, January.
  77. Leitner Johannes, 2007. "Pricing and hedging with globally and instantaneously vanishing risk," Statistics & Risk Modeling, De Gruyter, vol. 25(4), pages 311-332, October.
  78. 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.
  79. 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.
  80. 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.
  81. 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.
  82. Stephane Crepey & Andrea Macrina & Tuyet Mai Nguyen & David Skovmand, 2015. "Rational Multi-Curve Models with Counterparty-Risk Valuation Adjustments," Papers 1502.07397, arXiv.org.
  83. 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.
  84. 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.
  85. 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.
  86. 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.
  87. 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.
  88. 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.
  89. 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.
  90. 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.
  91. 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.
  92. Xing, Hao, 2012. "On backward stochastic differential equations and strict local martingales," Stochastic Processes and their Applications, Elsevier, vol. 122(6), pages 2265-2291.
  93. Bartosz Jaroszkowski & Max Jensen, 2021. "Valuation of European Options under an Uncertain Market Price of Volatility Risk," Papers 2105.09581, arXiv.org.
  94. Wang, Wei, 2009. "Maximal inequalities for g-martingales," Statistics & Probability Letters, Elsevier, vol. 79(9), pages 1169-1174, May.
  95. 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.
  96. 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.
  97. 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.
  98. 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.
  99. 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.
  100. 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.
  101. 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.
  102. 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).
  103. 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.
  104. 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.
  105. 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.
  106. Ali Lazrak, 2005. "Generalized stochastic differential utility and preference for information," Papers math/0503579, arXiv.org.
  107. 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.
  108. 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.
  109. 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.
  110. 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.
  111. 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.
  112. 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.
  113. 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.
  114. 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.
  115. Réveillac, Anthony, 2012. "On the orthogonal component of BSDEs in a Markovian setting," Statistics & Probability Letters, Elsevier, vol. 82(1), pages 151-157.
  116. 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.
  117. Roxana Dumitrescu & Marie-Claire Quenez & Agn`es Sulem, 2016. "BSDEs with default jump," Papers 1612.05681, arXiv.org, revised Sep 2017.
  118. Jiang, Long, 2006. "A note on g-expectation with comonotonic additivity," Statistics & Probability Letters, Elsevier, vol. 76(17), pages 1895-1903, November.
  119. 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.
  120. repec:dau:papers:123456789/5374 is not listed on IDEAS
  121. 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.
  122. Han, Xingyu, 2018. "Pricing and hedging vulnerable option with funding costs and collateral," Chaos, Solitons & Fractals, Elsevier, vol. 112(C), pages 103-115.
  123. Martin Dumav, 2021. "Moral Hazard, Dynamic Incentives, and Ambiguous Perceptions," Papers 2110.15229, arXiv.org.
  124. 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.
  125. Yuki Shigeta, 2016. "Optimal Switching under Ambiguity and Its Applications in Finance," Discussion papers e-16-005, Graduate School of Economics , Kyoto University.
  126. Hardy Hulley & Thomas A. McWalter, 2015. "Quadratic Hedging of Basis Risk," JRFM, MDPI, vol. 8(1), pages 1-20, February.
  127. 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.
  128. Yan, Tingjin & Chiu, Mei Choi & Wong, Hoi Ying, 2023. "Portfolio liquidation with delayed information," Economic Modelling, Elsevier, vol. 126(C).
  129. 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.
  130. 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.
  131. 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.
  132. 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.
  133. Nikolai Dokuchaev, 2015. "Optimal portfolio with unobservable market parameters and certainty equivalence principle," Papers 1502.02352, arXiv.org.
  134. 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.
  135. 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.
  136. 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.
  137. 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.
  138. 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.
  139. Bo, Wang & Qingxin, Meng, 2007. "Hedging American contingent claims with arbitrage costs," Chaos, Solitons & Fractals, Elsevier, vol. 32(2), pages 598-603.
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