Markovian forward-backward stochastic differential equations and stochastic flows (Q360694): 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 / OpenAlex ID
 
Property / OpenAlex ID: W1968807490 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Conjugate convex functions in optimal stochastic control / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4171952 / 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 for systems of quasilinear parabolic partial differential equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4029028 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Backward-forward stochastic differential equations / 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: Solution of forward-backward stochastic differential equations / 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: Q3959169 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Martingales, the Malliavin calculus and hypoellipticity under general H�rmander's conditions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3345530 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3995203 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Integration by parts, homogeneous chaos expansions and smooth densities / rank
 
Normal rank
Property / cites work
 
Property / cites work: Integration by parts and densities for jump processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Partially Observed Stochastic Minimum Principle / rank
 
Normal rank
Property / cites work
 
Property / cites work: The optimal control of diffusions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Control of partially observed diffusions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Martingale representation and hedging policies / rank
 
Normal rank
Property / cites work
 
Property / cites work: DISCONTINUOUS ASSET PRICES AND NON‐ATTAINABLE CONTINGENT CLAIMS<sup>1</sup> / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3462068 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Pricing and hedging contingent claims with regime switching risk / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic flows and the forward measure / rank
 
Normal rank
Property / cites work
 
Property / cites work: On Markov‐modulated Exponential‐affine Bond Price Formulae / 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 PDE approach to risk measures of derivatives / rank
 
Normal rank
Property / cites work
 
Property / cites work: Bayesian Risk Measures for Derivatives via Random Esscher Transform / rank
 
Normal rank
Property / cites work
 
Property / cites work: On Bayesian value at risk: from linear to non-linear portfolios / rank
 
Normal rank
Property / cites work
 
Property / cites work: A PDE approach for risk measures for derivatives with regime switching / rank
 
Normal rank
Property / cites work
 
Property / cites work: Coherent Measures of Risk / rank
 
Normal rank
Property / cites work
 
Property / cites work: Convex measures of risk and trading constraints / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4357507 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Risk measures via \(g\)-expectations / rank
 
Normal rank

Latest revision as of 19:51, 6 July 2024

scientific article
Language Label Description Also known as
English
Markovian forward-backward stochastic differential equations and stochastic flows
scientific article

    Statements

    Markovian forward-backward stochastic differential equations and stochastic flows (English)
    0 references
    0 references
    0 references
    27 August 2013
    0 references
    0 references
    Markovian forward-backward stochastic differential equations
    0 references
    stochasticflows
    0 references
    martingale representation
    0 references
    special semimartingale
    0 references
    convex risk measures
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references