A new existence result for quadratic BSDEs with jumps with application to the utility maximization problem (Q2638356): Difference between revisions

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W2163206173
@@ Property / OpenAlex ID: W2163206173 / rank @@
+Normal rank
@@ Property / arXiv ID @@
+.0423
@@ Property / arXiv ID: 0809.0423 / rank @@
+Normal rank
@@ 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 @@
+Existence of Optimal Strategies Based on Specified Information, for a Class of Stochastic Decision Problems
+Normal rank
@@ Property / cites work @@
+BSDE with quadratic growth and unbounded terminal value
+Normal rank
@@ Property / cites work @@
+Q3915688
@@ Property / cites work: Q3915688 / rank @@
+Normal rank
@@ Property / cites work @@
+Pricing Via Utility Maximization and Entropy
@@ Property / cites work: Pricing Via Utility Maximization and Entropy / rank @@
+Normal rank
@@ Property / cites work @@
+Utility maximization in incomplete markets
@@ Property / cites work: Utility maximization in incomplete markets / rank @@
+Normal rank
@@ 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 @@
+Dynamic exponential utility indifference valuation
+Normal rank
@@ Property / cites work @@
+Utility maximization in a jump market model
@@ Property / cites work: Utility maximization in a jump market model / rank @@
+Normal rank
@@ Property / cites work @@
+Q3860572
@@ Property / cites work: Q3860572 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4357511
@@ Property / cites work: Q4357511 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4435813
@@ Property / cites work: Q4435813 / rank @@
+Normal rank
@@ Property / cites work @@
+Backward stochastic differential equations with jumps and related nonlinear expectations
+Normal rank
@@ Property / cites work @@
+Q4657108
@@ Property / cites work: Q4657108 / rank @@
+Normal rank