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

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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

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instance of

scholarly article

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title

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

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zbMATH Open document ID

1285.91149

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DOI

10.1080/17442508.2011.652115

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published in

Stochastics

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publication date

25 April 2014

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full work available at URL

https://arxiv.org/abs/0802.2172

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Mathematics Subject Classification ID

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quadratic growth

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conditional \(g\)-expectation

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Doob-Meyer decomposition

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dynamic convex risk measure

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author

Marie-Amélie Morlais

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MaRDI profile type

MaRDI publication profile

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Time consistent dynamic risk processes

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

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

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BSDE with quadratic growth and unbounded terminal value

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Dynamic monetary risk measures for bounded discrete-time processes

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

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

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Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market

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Convex measures of risk and trading constraints

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Optional decompositions under constraints

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Utility maximization in incomplete markets

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

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Pricing derivatives of American and game type in incomplete markets

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Q4368791

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Continuous exponential martingales and BMO

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DYNAMIC INDIFFERENCE VALUATION VIA CONVEX RISK MEASURES

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

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

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Existence for BSDE with superlinear–quadratic coefficient

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

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

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Dynamic exponential utility indifference valuation

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

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Risk measures via \(g\)-expectations

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Sitelinks

Mathematics(1 entry)

mardi Publication:5411892

@@ 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