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

@@ Property / Mathematics Subject Classification ID @@
+G10
@@ Property / Mathematics Subject Classification ID: 91G10 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+G80
@@ Property / Mathematics Subject Classification ID: 91G80 / rank @@
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@@ Property / zbMATH DE Number @@
+5899520
@@ Property / zbMATH DE Number: 5899520 / rank @@
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@@ Property / zbMATH Keywords @@
+reaction-diffusion
@@ Property / zbMATH Keywords: reaction-diffusion / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+Itō-Poisson process
@@ Property / zbMATH Keywords: Itō-Poisson process / rank @@
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@@ Property / zbMATH Keywords @@
+stochastic differential utility
@@ Property / zbMATH Keywords: stochastic differential utility / rank @@
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@@ Property / zbMATH Keywords @@
+stochastic maximum principle
@@ Property / zbMATH Keywords: stochastic maximum principle / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+forward-backward stochastic differential equation
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+MaRDI publication profile
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@@ Property / full work available at URL @@
+https://doi.org/10.1007/s10690-010-9127-z
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+W2047386662
@@ Property / OpenAlex ID: W2047386662 / rank @@
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@@ Property / cites work @@
+Backward stochastic differential equations and integral-partial differential equations
+Normal rank
@@ Property / cites work @@
+Classical solutions to reaction-diffusion systems for hedging problems with interacting Itô and point processes
+Normal rank
@@ Property / cites work @@
+PDE approach to valuation and hedging of credit derivatives
+Normal rank
@@ Property / cites work @@
+Backward stochastic differential equations with constraints on the gains-process
+Normal rank
@@ Property / cites work @@
+Stochastic Differential Utility
@@ Property / cites work: Stochastic Differential Utility / rank @@
+Normal rank
@@ Property / cites work @@
+Continuous-time security pricing. A utility gradient approach
+Normal rank
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+Backward Stochastic Differential Equations in Finance
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+A dynamic maximum principle for the optimization of recursive utilities under constraints.
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+Reflected solutions of backward SDE's, and related obstacle problems for PDE's
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+Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
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+Solving forward-backward stochastic differential equations explicitly -- a four step scheme
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+Forward-backward stochastic differential equations and their applications
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+Numerical method for backward stochastic differential equations
+Normal rank
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+Numerical approach to asset pricing models with stochastic differential utility
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+Adapted solution of a backward stochastic differential equation
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+Probabilistic interpretation of a system of semilinear parabolic partial differential equations
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+Optimal consumption and portfolio selection with stochastic differential utility
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+On solutions of backward stochastic differential equations with jumps and applications
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+Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
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+Q4255599
@@ Property / cites work: Q4255599 / rank @@
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@@ links / mardi / name / links / mardi / name @@
+Publication:538320