BSDEs with jumps, optimization and applications to dynamic risk measures (Q2447715): Difference between revisions

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+Marie-Claire Quenez
@@ Property / author: Marie-Claire Quenez / rank @@
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+MaRDI publication profile
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.spa.2013.02.016
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@@ Property / OpenAlex ID @@
+W1978646054
@@ Property / OpenAlex ID: W1978646054 / rank @@
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@@ Property / cites work @@
+Q3160493
@@ Property / cites work: Q3160493 / rank @@
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@@ Property / cites work @@
+Optimal stopping for dynamic convex risk measures
@@ Property / cites work: Optimal stopping for dynamic convex risk measures / rank @@
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@@ Property / cites work @@
+Théorie probabiliste du contrôle des diffusions
@@ Property / cites work: Théorie probabiliste du contrôle des diffusions / rank @@
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+Filtration-consistent nonlinear expectations and related \(g\)-expectations
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+Representation of the penalty term of dynamic concave utilities
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+Q4086511
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+Q4085497
@@ Property / cites work: Q4085497 / rank @@
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@@ Property / cites work @@
+Backward Stochastic Differential Equations in Finance
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+Stochastic finance. An introduction in discrete time
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+Applied stochastic control of jump diffusions
@@ Property / cites work: Applied stochastic control of jump diffusions / rank @@
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+Adapted solution of a backward stochastic differential equation
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@@ Property / cites work: Q4657107 / rank @@
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@@ Property / cites work @@
+Backward stochastic differential equations with jumps and related nonlinear expectations
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@@ Property / cites work @@
+Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
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