Backward stochastic differential equations with constraints on the gains-process (Q1307453): Difference between revisions

From MaRDI portal
Import240304020342 (talk | contribs)
Set profile property.
ReferenceBot (talk | contribs)
Changed an Item
 
(One intermediate revision by one other user not shown)
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.1214/aop/1022855872 / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W1846487531 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3049410 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Backward stochastic differential equations and integral-partial differential equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4742671 / rank
 
Normal rank
Property / cites work
 
Property / cites work: An Introductory Approach to Duality in Optimal Stochastic Control / rank
 
Normal rank
Property / cites work
 
Property / cites work: Hedging contingent claims for a large investor in an incomplete market / rank
 
Normal rank
Property / cites work
 
Property / cites work: Pricing of American Contingent Claims with Jump Stock Price and Constrained Portfolios / rank
 
Normal rank
Property / cites work
 
Property / cites work: Convex duality in constrained portfolio optimization / rank
 
Normal rank
Property / cites work
 
Property / cites work: Hedging contingent claims with constrained portfolios / rank
 
Normal rank
Property / cites work
 
Property / cites work: Backward stochastic differential equations with reflection and Dynkin games / rank
 
Normal rank
Property / cites work
 
Property / cites work: Backwards SDE with random terminal time and applications to semilinear elliptic PDE / rank
 
Normal rank
Property / cites work
 
Property / cites work: PDE solutions of stochastic differential utility / rank
 
Normal rank
Property / cites work
 
Property / cites work: The optimal control of diffusions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Reflected solutions of backward SDE's, and related obstacle problems for PDE's / rank
 
Normal rank
Property / cites work
 
Property / cites work: Backward Stochastic Differential Equations in Finance / rank
 
Normal rank
Property / cites work
 
Property / cites work: Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4726159 / rank
 
Normal rank
Property / cites work
 
Property / cites work: On a stochastic integral equation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4002114 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4368791 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Reflected forward-backward SDEs and obstacle problems with boundary conditions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4114574 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Adapted solution of a backward stochastic differential equation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Backward doubly stochastic differential equations and systems of quasilinear SPDEs / rank
 
Normal rank
Property / cites work
 
Property / cites work: A General Stochastic Maximum Principle for Optimal Control Problems / rank
 
Normal rank
Property / cites work
 
Property / cites work: Probabilistic interpretation for systems of quasilinear parabolic partial differential equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Backward stochastic differential equations and applications to optimal control / rank
 
Normal rank
Property / cites work
 
Property / cites work: Convex Analysis / rank
 
Normal rank

Latest revision as of 09:46, 29 May 2024

scientific article
Language Label Description Also known as
English
Backward stochastic differential equations with constraints on the gains-process
scientific article

    Statements

    Backward stochastic differential equations with constraints on the gains-process (English)
    0 references
    0 references
    0 references
    0 references
    4 May 2000
    0 references
    0 references
    0 references
    0 references
    0 references
    backward stochastic differential equations
    0 references
    convex constraints
    0 references
    stochastic control
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references