Reflected backward stochastic differential equations and a class of non-linear dynamic pricing rule (Q5411892): Difference between revisions

Latest revision as of 10:23, 8 July 2024

scientific article; zbMATH DE number 6288382

Language	Label	Description	Also known as
English	Reflected backward stochastic differential equations and a class of non-linear dynamic pricing rule	scientific article; zbMATH DE number 6288382

Statements

instance of

scholarly article

0 references

title

Reflected backward stochastic differential equations and a class of non-linear dynamic pricing rule (English)

0 references

published in

Stochastics

0 references

publication date

25 April 2014

0 references

full work available at URL

https://arxiv.org/abs/0802.2172

0 references

zbMATH Keywords

quadratic growth

0 references

conditional \(g\)-expectation

0 references

Doob-Meyer decomposition

0 references

dynamic convex risk measure

0 references

author

Marie-Amélie Morlais

0 references

MaRDI profile type

MaRDI publication profile

0 references

cites work

Time consistent dynamic risk processes

0 references

Bid-ask dynamic pricing in financial markets with transaction costs and liquidity risk

0 references

Dynamic risk measures: Time consistency and risk measures from BMO martingales

0 references

BSDE with quadratic growth and unbounded terminal value

0 references

Dynamic monetary risk measures for bounded discrete-time processes

0 references

Filtration-consistent nonlinear expectations and related \(g\)-expectations

0 references

Reflected solutions of backward SDE's, and related obstacle problems for PDE's

0 references

Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market

0 references

Convex measures of risk and trading constraints

0 references

Optional decompositions under constraints

0 references

Utility maximization in incomplete markets

0 references

Representation theorems for quadratic \(\mathcal F\)-consistent nonlinear expectations

0 references

Pricing derivatives of American and game type in incomplete markets

0 references

Q4368791

0 references

Continuous exponential martingales and BMO

0 references

DYNAMIC INDIFFERENCE VALUATION VIA CONVEX RISK MEASURES

0 references

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

0 references

Necessary and sufficient conditions in the problem of optimal investment in incomplete markets

0 references

Existence for BSDE with superlinear–quadratic coefficient

0 references

Exponential Hedging with Optimal Stopping and Application to Employee Stock Option Valuation

0 references

On Quadratic<i>g</i>-Evaluations/Expectations and Related Analysis

0 references

Dynamic exponential utility indifference valuation

0 references

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

0 references

Risk measures via \(g\)-expectations

0 references

Identifiers

zbMATH Open document ID

1285.91149

0 references

DOI

10.1080/17442508.2011.652115

0 references

Mathematics Subject Classification ID

0 references

0 references

0 references

0 references

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:5411892

@@ Property / OpenAlex ID @@
+W2055626756
@@ Property / OpenAlex ID: W2055626756 / rank @@
+Normal rank
@@ Property / arXiv ID @@
+.2172
@@ Property / arXiv ID: 0802.2172 / rank @@
+Normal rank
@@ Property / cites work @@
+Time consistent dynamic risk processes
@@ Property / cites work: Time consistent dynamic risk processes / rank @@
+Normal rank
@@ Property / cites work @@
+Bid-ask dynamic pricing in financial markets with transaction costs and liquidity risk
+Normal rank
@@ Property / cites work @@
+Dynamic risk measures: Time consistency and risk measures from BMO martingales
+Normal rank
@@ Property / cites work @@
+BSDE with quadratic growth and unbounded terminal value
+Normal rank
@@ Property / cites work @@
+Dynamic monetary risk measures for bounded discrete-time processes
+Normal rank
@@ Property / cites work @@
+Filtration-consistent nonlinear expectations and related \(g\)-expectations
+Normal rank
@@ Property / cites work @@
+Reflected solutions of backward SDE's, and related obstacle problems for PDE's
+Normal rank
@@ Property / cites work @@
+Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
+Normal rank
@@ Property / cites work @@
+Convex measures of risk and trading constraints
@@ Property / cites work: Convex measures of risk and trading constraints / rank @@
+Normal rank
@@ Property / cites work @@
+Optional decompositions under constraints
@@ Property / cites work: Optional decompositions under constraints / rank @@
+Normal rank
@@ Property / cites work @@
+Utility maximization in incomplete markets
@@ Property / cites work: Utility maximization in incomplete markets / rank @@
+Normal rank
@@ Property / cites work @@
+Representation theorems for quadratic \(\mathcal F\)-consistent nonlinear expectations
+Normal rank
@@ Property / cites work @@
+Pricing derivatives of American and game type in incomplete markets
+Normal rank
@@ Property / cites work @@
+Q4368791
@@ Property / cites work: Q4368791 / 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 @@
+DYNAMIC INDIFFERENCE VALUATION VIA CONVEX RISK MEASURES
+Normal rank
@@ Property / cites work @@
+Backward stochastic differential equations and partial differential equations with quadratic growth.
+Normal rank
@@ Property / cites work @@
+Necessary and sufficient conditions in the problem of optimal investment in incomplete markets
+Normal rank
@@ Property / cites work @@
+Existence for BSDE with superlinear–quadratic coefficient
+Normal rank
@@ Property / cites work @@
+Exponential Hedging with Optimal Stopping and Application to Employee Stock Option Valuation
+Normal rank
@@ Property / cites work @@
+On Quadratic<i>g</i>-Evaluations/Expectations and Related Analysis
+Normal rank
@@ Property / cites work @@
+Dynamic exponential utility indifference valuation
+Normal rank
@@ Property / cites work @@
+Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem
+Normal rank
@@ Property / cites work @@
+Risk measures via \(g\)-expectations
@@ Property / cites work: Risk measures via \(g\)-expectations / rank @@
+Normal rank