Portfolio optimization under model uncertainty and BSDE games (Q2866379): Difference between revisions

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+White noise generalizations of the Clark-Haussmann-Ocone theorem with application to mathematical finance
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+MALLIAVIN CALCULUS AND ANTICIPATIVE ITÔ FORMULAE FOR LÉVY PROCESSES
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+Backward Stochastic Differential Equations in Finance
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+A BSDE approach to a risk-based optimal investment of an insurer
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+Backward-forward SDE's and stochastic differential games
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+Utility maximization in incomplete markets
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+Dynamic exponential utility indifference valuation
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+Backward stochastic PDEs related to the utility maximization problem
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+Applied stochastic control of jump diffusions
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+Continuous-time stochastic control and optimization with financial applications
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+Backward stochastic differential equations with jumps and related nonlinear expectations
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