AN ERGODIC BSDE RISK REPRESENTATION IN A JUMP-DIFFUSION FRAMEWORK (Q5010067): Difference between revisions

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / cites work @@
+Lévy Processes and Stochastic Calculus
@@ Property / cites work: Lévy Processes and Stochastic Calculus / rank @@
+Normal rank
@@ Property / cites work @@
+Dynamic risk measures: Time consistency and risk measures from BMO martingales
+Normal rank
@@ Property / cites work @@
+Stability of BSDEs with random terminal time and homogenization of semilinear elliptic PDEs
+Normal rank
@@ Property / cites work @@
+Quadratic BSDEs with random terminal time and elliptic PDEs in infinite dimension.
+Normal rank
@@ Property / cites work @@
+An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior
+Normal rank
@@ Property / cites work @@
+Ergodic BSDEs under weak dissipative assumptions
@@ Property / cites work: Ergodic BSDEs under weak dissipative assumptions / rank @@
+Normal rank
@@ Property / cites work @@
+Risk-Sensitive Control on an Infinite Time Horizon
+Normal rank
@@ Property / cites work @@
+Ergodic BSDEs and Optimal Ergodic Control in Banach Spaces
+Normal rank
@@ Property / cites work @@
+Optimal investment-consumption and life insurance selection problem under inflation. A BSDE approach
+Normal rank
@@ Property / cites work @@
+A Probabilistic Approach to Large Time Behavior of Mild Solutions of HJB Equations in Infinite Dimension
+Normal rank
@@ Property / cites work @@
+Continuous exponential martingales and BMO
@@ Property / cites work: Continuous exponential martingales and BMO / rank @@
+Normal rank
@@ Property / cites work @@
+Backward stochastic differential equations and partial differential equations with quadratic growth.
+Normal rank
@@ Property / cites work @@
+Representation of Homothetic Forward Performance Processes in Stochastic Factor Models via Ergodic and Infinite Horizon BSDE
+Normal rank
@@ Property / cites work @@
+DIFFERENTIABILITY OF BSVIEs AND DYNAMIC CAPITAL ALLOCATIONS
+Normal rank
@@ Property / cites work @@
+Utility maximization in a jump market model
@@ Property / cites work: Utility maximization in a jump market model / rank @@
+Normal rank
@@ Property / cites work @@
+Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem
+Normal rank
@@ Property / cites work @@
+A new existence result for quadratic BSDEs with jumps with application to the utility maximization problem
+Normal rank
@@ Property / cites work @@
+Q5506195
@@ Property / cites work: Q5506195 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal Asset Allocation under Forward Exponential Performance Criteria
+Normal rank
@@ Property / cites work @@
+Portfolio choice under dynamic investment performance criteria
+Normal rank
@@ Property / cites work @@
+Portfolio Choice under Space-Time Monotone Performance Criteria
+Normal rank
@@ Property / cites work @@
+Stochastic Partial Differential Equations and Portfolio Choice
+Normal rank
@@ Property / cites work @@
+Applied stochastic control of jump diffusions
@@ Property / cites work: Applied stochastic control of jump diffusions / rank @@
+Normal rank
@@ Property / cites work @@
+The Itô-Ventzell formula and forward stochastic differential equations driven by Poisson random measures
+Normal rank
@@ Property / cites work @@
+Backward stochastic differential equations with jumps and related nonlinear expectations
+Normal rank
@@ Property / cites work @@
+Financial Modelling with Jump Processes
@@ Property / cites work: Financial Modelling with Jump Processes / rank @@
+Normal rank
@@ Property / cites work @@
+Q4255599
@@ Property / cites work: Q4255599 / rank @@
+Normal rank
@@ Property / cites work @@
+Maturity-Independent Risk Measures
@@ Property / cites work: Maturity-Independent Risk Measures / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1142/s0219024921500151
+Normal rank
@@ Property / OpenAlex ID @@
+W3160136897
@@ Property / OpenAlex ID: W3160136897 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:5010067