44th seminar on probability. Including papers from the `Journées de Probabilités', Dijon, France, June 2010 (Q660368): Difference between revisions

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scientific article; zbMATH DE number 6073426

Quadratic Semimartingale BSDEs Under an Exponential Moments Condition

Language	Label	Description	Also known as
English	44th seminar on probability. Including papers from the `Journées de Probabilités', Dijon, France, June 2010	scientific article; zbMATH DE number 6073426	Quadratic Semimartingale BSDEs Under an Exponential Moments Condition

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instance of

scholarly article

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title

44th seminar on probability. Including papers from the `Journées de Probabilités', Dijon, France, June 2010 (English)

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Quadratic Semimartingale BSDEs Under an Exponential Moments Condition (English)

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zbMATH Open document ID

1244.60005

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1254.60061

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DOI

10.1007/978-3-642-27461-9

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10.1007/978-3-642-27461-9_5

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published in

Lecture Notes in Mathematics

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publication date

1 February 2012

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29 August 2012

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full work available at URL

https://arxiv.org/abs/1101.2582

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Mathematics Subject Classification ID

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MaRDI publication profile

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quadratic semimartingale BSDEs

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convex generators

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exponential moments

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cites work

Monotone stability of quadratic semimartingales with applications to unbounded general quadratic BSDEs

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Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging

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Conjugate convex functions in optimal stochastic control

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Q5436596

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BSDE with quadratic growth and unbounded terminal value

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Quadratic BSDEs with convex generators and unbounded terminal conditions

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Uniqueness Results for Second-Order Bellman--Isaacs Equations under Quadratic Growth Assumptions and Applications

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Backward SDEs with superquadratic growth

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On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions

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Q3613981

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Q4357500

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Backward Stochastic Differential Equations in Finance

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Convergence results for the indifference value based on the stability of BSDEs

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BSDEs in utility maximization with BMO market price of risk

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On securitization, market completion and equilibrium risk transfer

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Utility maximization in incomplete markets

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Some New BSDE Results for an Infinite-Horizon Stochastic Control Problem

0 references

Q4778955

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Continuous exponential martingales and BMO

0 references

Backward stochastic differential equations and partial differential equations with quadratic growth.

0 references

Backward stochastic differential equations with continuous coefficient

0 references

Dynamic exponential utility indifference valuation

0 references

Backward stochastic partial differential equations related to utility maximization and hedging

0 references

The Stability of the Constrained Utility Maximization Problem: A BSDE Approach

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Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem

0 references

The Bellman equation for power utility maximization with semimartingales

0 references

Adapted solution of a backward stochastic differential equation

0 references

Q4435813

0 references

Pricing Via Utility Maximization and Entropy

0 references

Optimal consumption and portfolio selection with stochastic differential utility

0 references

On exponential hedging and related quadratic backward stochastic differential equations

0 references

Robust control and recursive utility

0 references

Solvability of backward stochastic differential equations with quadratic growth

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:660368

@@ Property / cites work @@
+Monotone stability of quadratic semimartingales with applications to unbounded general quadratic BSDEs
+Normal rank
@@ Property / cites work @@
+Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging
+Normal rank
@@ Property / cites work @@
+Conjugate convex functions in optimal stochastic control
+Normal rank
@@ Property / cites work @@
+Q5436596
@@ Property / cites work: Q5436596 / rank @@
+Normal rank
@@ Property / cites work @@
+BSDE with quadratic growth and unbounded terminal value
+Normal rank
@@ Property / cites work @@
+Quadratic BSDEs with convex generators and unbounded terminal conditions
+Normal rank
@@ Property / cites work @@
+Uniqueness Results for Second-Order Bellman--Isaacs Equations under Quadratic Growth Assumptions and Applications
+Normal rank
@@ Property / cites work @@
+Backward SDEs with superquadratic growth
@@ Property / cites work: Backward SDEs with superquadratic growth / rank @@
+Normal rank
@@ Property / cites work @@
+On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions
+Normal rank
@@ Property / cites work @@
+Q3613981
@@ Property / cites work: Q3613981 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4357500
@@ Property / cites work: Q4357500 / rank @@
+Normal rank
@@ Property / cites work @@
+Backward Stochastic Differential Equations in Finance
+Normal rank
@@ Property / cites work @@
+Convergence results for the indifference value based on the stability of BSDEs
+Normal rank
@@ Property / cites work @@
+BSDEs in utility maximization with BMO market price of risk
+Normal rank
@@ Property / cites work @@
+On securitization, market completion and equilibrium risk transfer
+Normal rank
@@ Property / cites work @@
+Utility maximization in incomplete markets
@@ Property / cites work: Utility maximization in incomplete markets / rank @@
+Normal rank
@@ Property / cites work @@
+Some New BSDE Results for an Infinite-Horizon Stochastic Control Problem
+Normal rank
@@ Property / cites work @@
+Q4778955
@@ Property / cites work: Q4778955 / rank @@
+Normal rank
@@ Property / cites work @@
+Continuous exponential martingales and BMO
@@ Property / cites work: Continuous exponential martingales and BMO / 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 continuous coefficient
+Normal rank
@@ Property / cites work @@
+Dynamic exponential utility indifference valuation
+Normal rank
@@ Property / cites work @@
+Backward stochastic partial differential equations related to utility maximization and hedging
+Normal rank
@@ Property / cites work @@
+The Stability of the Constrained Utility Maximization Problem: A BSDE Approach
+Normal rank
@@ Property / cites work @@
+Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem
+Normal rank
@@ Property / cites work @@
+The Bellman equation for power utility maximization with semimartingales
+Normal rank
@@ Property / cites work @@
+Adapted solution of a backward stochastic differential equation
+Normal rank
@@ Property / cites work @@
+Q4435813
@@ Property / cites work: Q4435813 / 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 @@
+Optimal consumption and portfolio selection with stochastic differential utility
+Normal rank
@@ Property / cites work @@
+On exponential hedging and related quadratic backward stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Robust control and recursive utility
@@ Property / cites work: Robust control and recursive utility / rank @@
+Normal rank
@@ Property / cites work @@
+Solvability of backward stochastic differential equations with quadratic growth
+Normal rank