Utility maximization in a jump market model (Q3612251): Difference between revisions

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+Marie-Amélie Morlais
@@ Property / author: Marie-Amélie Morlais / rank @@
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+MaRDI publication profile
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+W2028497917
@@ Property / OpenAlex ID: W2028497917 / rank @@
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+math/0612181
@@ Property / arXiv ID: math/0612181 / rank @@
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@@ Property / cites work @@
+Backward stochastic differential equations and integral-partial differential equations
+Normal rank
@@ Property / cites work @@
+Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging
+Normal rank
@@ Property / cites work @@
+A converse comparison theorem for BSDEs and related properties of \(g\)-expectation
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@@ Property / cites work @@
+BSDE with quadratic growth and unbounded terminal value
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+The mathematics of arbitrage
@@ Property / cites work: The mathematics of arbitrage / rank @@
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@@ Property / cites work @@
+Q3915688
@@ Property / cites work: Q3915688 / rank @@
+Normal rank
@@ Property / cites work @@
+Backward Stochastic Differential Equations in Finance
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@@ Property / cites work @@
+On the super replication price of unbounded claims
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@@ Property / cites work @@
+Stochastic finance. An introduction in discrete time
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@@ Property / cites work @@
+Utility maximization in incomplete markets
@@ Property / cites work: Utility maximization in incomplete markets / rank @@
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@@ Property / cites work @@
+Q3992729
@@ Property / cites work: Q3992729 / rank @@
+Normal rank
@@ Property / cites work @@
+Backward stochastic differential equations and partial differential equations with quadratic growth.
+Normal rank
@@ Property / cites work @@
+Backward stochastic differential equations with jumps and related nonlinear expectations
+Normal rank
@@ Property / cites work @@
+Q4435813
@@ Property / cites work: Q4435813 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4657108
@@ Property / cites work: Q4657108 / rank @@
+Normal rank