Path-dependent BSDEs with jumps and their connection to PPIDEs (Q4975316): Difference between revisions

@@ Property / author @@
-Eduard Kromer
@@ Property / author: Eduard Kromer / rank @@
-Normal rank
@@ Property / author @@
-Ludger Overbeck
@@ Property / author: Ludger Overbeck / rank @@
-Normal rank
@@ Property / author @@
-Jasmin A. L. Röder
@@ Property / author: Jasmin A. L. Röder / rank @@
-Normal rank
@@ Property / author @@
+Eduard Kromer
@@ Property / author: Eduard Kromer / rank @@
+Normal rank
@@ Property / author @@
+Ludger Overbeck
@@ Property / author: Ludger Overbeck / rank @@
+Normal rank
@@ Property / author @@
+Jasmin A. L. Röder
@@ Property / author: Jasmin A. L. Röder / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / cites work @@
+Backward stochastic differential equations and integral-partial differential equations
+Normal rank
@@ Property / cites work @@
+Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging
+Normal rank
@@ Property / cites work @@
+Conjugate convex functions in optimal stochastic control
+Normal rank
@@ Property / cites work @@
+Q5505177
@@ Property / cites work: Q5505177 / rank @@
+Normal rank
@@ Property / cites work @@
+Change of variable formulas for non-anticipative functionals on path space
+Normal rank
@@ Property / cites work @@
+BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART II: CVA
+Normal rank
@@ Property / cites work @@
+Backward stochastic differential equations with jumps and their actuarial and financial applications. BSDEs with jumps
+Normal rank
@@ Property / cites work @@
+On Malliavin's differentiability of BSDEs with time delayed generators driven by Brownian motions and Poisson random measures
+Normal rank
@@ Property / cites work @@
+On viscosity solutions of path dependent PDEs
@@ Property / cites work: On viscosity solutions of path dependent PDEs / rank @@
+Normal rank
@@ Property / cites work @@
+Backward Stochastic Differential Equations in Finance
+Normal rank
@@ Property / cites work @@
+Q4274285
@@ Property / cites work: Q4274285 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4778955
@@ Property / cites work: Q4778955 / rank @@
+Normal rank
@@ Property / cites work @@
+Viscosity solutions of path-dependent integro-differential equations
+Normal rank
@@ Property / cites work @@
+REPRESENTATION OF BSDE-BASED DYNAMIC RISK MEASURES AND DYNAMIC CAPITAL ALLOCATIONS
+Normal rank
@@ Property / cites work @@
+Feynman-Kac for functional jump diffusions with an application to credit value adjustment
+Normal rank
@@ Property / cites work @@
+A simple proof of functional Itô's lemma for semimartingales with an application
+Normal rank
@@ Property / cites work @@
+Solving forward-backward stochastic differential equations explicitly -- a four step scheme
+Normal rank
@@ Property / cites work @@
+Adapted solution of a backward stochastic differential equation
+Normal rank
@@ Property / cites work @@
+Q4029028
@@ Property / cites work: Q4029028 / rank @@
+Normal rank
@@ Property / cites work @@
+Forward-backward stochastic differential equations and quasilinear parabolic PDEs
+Normal rank
@@ Property / cites work @@
+Probabilistic interpretation for systems of quasilinear parabolic partial differential equations
+Normal rank
@@ Property / cites work @@
+BSDE, path-dependent PDE and nonlinear Feynman-Kac formula
+Normal rank
@@ Property / cites work @@
+On solutions of backward stochastic differential equations with jumps and applications
+Normal rank
@@ Property / cites work @@
+Theory of stochastic differential equations with jumps and applications.
+Normal rank
@@ Property / cites work @@
+Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
+Normal rank
@@ Property / cites work @@
+BSDEs with jumps and path-dependent parabolic integro-differential equations
+Normal rank