Backward stochastic differential equations with rank-based data (Q1705560): Difference between revisions

From MaRDI portal
Added link to MaRDI item.
ReferenceBot (talk | contribs)
Changed an Item
 
(2 intermediate revisions by 2 users not shown)
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.1007/s11425-017-9125-6 / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W2772772439 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Local times of ranked continuous semimartingales / rank
 
Normal rank
Property / cites work
 
Property / cites work: Uniqueness for diffusions with piecewise constant coefficients / rank
 
Normal rank
Property / cites work
 
Property / cites work: Conjugate convex functions in optimal stochastic control / rank
 
Normal rank
Property / cites work
 
Property / cites work: A phase transition behavior for Brownian motions interacting through their ranks / rank
 
Normal rank
Property / cites work
 
Property / cites work: Ambiguity, Risk, and Asset Returns in Continuous Time / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the Uniqueness in Law and the Pathwise Uniqueness for Stochastic Differential Equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: User’s guide to viscosity solutions of second order partial differential equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Hedging options for a large investor and forward-backward SDE's / rank
 
Normal rank
Property / cites work
 
Property / cites work: Backward Stochastic Differential Equations in Finance / rank
 
Normal rank
Property / cites work
 
Property / cites work: Planar diffusions with rank-based characteristics and perturbed Tanaka equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: On Stochastic Differential Equations with Locally Unbounded Drift / rank
 
Normal rank
Property / cites work
 
Property / cites work: Martingales and stochastic integrals in the theory of continuous trading / rank
 
Normal rank
Property / cites work
 
Property / cites work: Reflected Brownian motion on an orthant / rank
 
Normal rank
Property / cites work
 
Property / cites work: Strong solutions of stochastic equations with rank-based coefficients / rank
 
Normal rank
Property / cites work
 
Property / cites work: Convergence rates for rank-based models with applications to portfolio theory / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3959169 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Capital distribution and portfolio performance in the mean-field Atlas model / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3792001 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic Portfolio Theory: an Overview / rank
 
Normal rank
Property / cites work
 
Property / cites work: Systems of Brownian particles with asymmetric collisions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Diverse market models of competing Brownian particles with splits and mergers / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4379369 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Adapted solution of a backward stochastic differential equation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4029028 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Generalized BSDEs and nonlinear Neumann boundary value problems / rank
 
Normal rank
Property / cites work
 
Property / cites work: Triple and simultaneous collisions of competing Brownian particles / rank
 
Normal rank
Property / cites work
 
Property / cites work: Competing particle systems evolving by interacting Lévy processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4842997 / rank
 
Normal rank

Latest revision as of 07:41, 15 July 2024

scientific article
Language Label Description Also known as
English
Backward stochastic differential equations with rank-based data
scientific article

    Statements

    Backward stochastic differential equations with rank-based data (English)
    0 references
    0 references
    0 references
    16 March 2018
    0 references
    backward stochastic differential equations
    0 references
    ranked particles
    0 references
    named particles
    0 references
    reflected Brownian motion
    0 references
    partial differential equations
    0 references
    viscosity solution
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references

    Identifiers