Dynamic investment strategies to reaction-diffusion systems based upon stochastic differential utilities (Q538320): Difference between revisions

From MaRDI portal
Added link to MaRDI item.
ReferenceBot (talk | contribs)
Changed an Item
 
(2 intermediate revisions by 2 users not shown)
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.1007/s10690-010-9127-z / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W2047386662 / 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: Classical solutions to reaction-diffusion systems for hedging problems with interacting Itô and point processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: PDE approach to valuation and hedging of credit derivatives / rank
 
Normal rank
Property / cites work
 
Property / cites work: Backward stochastic differential equations with constraints on the gains-process / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic Differential Utility / rank
 
Normal rank
Property / cites work
 
Property / cites work: Continuous-time security pricing. A utility gradient approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: Backward Stochastic Differential Equations in Finance / rank
 
Normal rank
Property / cites work
 
Property / cites work: A dynamic maximum principle for the optimization of recursive utilities under constraints. / 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: Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework / rank
 
Normal rank
Property / cites work
 
Property / cites work: Solving forward-backward stochastic differential equations explicitly -- a four step scheme / rank
 
Normal rank
Property / cites work
 
Property / cites work: Forward-backward stochastic differential equations and their applications / rank
 
Normal rank
Property / cites work
 
Property / cites work: Numerical method for backward stochastic differential equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Numerical approach to asset pricing models with stochastic differential utility / 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: Probabilistic interpretation of a system of semilinear parabolic partial differential equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal consumption and portfolio selection with stochastic differential utility / rank
 
Normal rank
Property / cites work
 
Property / cites work: On solutions of backward stochastic differential equations with jumps and applications / rank
 
Normal rank
Property / cites work
 
Property / cites work: Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4255599 / rank
 
Normal rank

Latest revision as of 01:55, 4 July 2024

scientific article
Language Label Description Also known as
English
Dynamic investment strategies to reaction-diffusion systems based upon stochastic differential utilities
scientific article

    Statements

    Dynamic investment strategies to reaction-diffusion systems based upon stochastic differential utilities (English)
    0 references
    0 references
    0 references
    25 May 2011
    0 references
    reaction-diffusion
    0 references
    Itō-Poisson process
    0 references
    stochastic differential utility
    0 references
    stochastic maximum principle
    0 references
    forward-backward stochastic differential equation
    0 references
    0 references

    Identifiers