UTILITY MAXIMIZATION WITH RANDOM HORIZON: A BSDE APPROACH (Q3460679): Difference between revisions

@@ Property / author @@
-Monique Jeanblanc-Picqué
@@ Property / author: Monique Jeanblanc-Picqué / rank @@
-Normal rank
@@ Property / author @@
+Monique Jeanblanc-Picqué
@@ Property / author: Monique Jeanblanc-Picqué / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / arXiv ID @@
+.02062
@@ Property / arXiv ID: 1503.02062 / rank @@
+Normal rank
@@ Property / cites work @@
+Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging
+Normal rank
@@ Property / cites work @@
+Pseudo linear pricing rule for utility indifference valuation
+Normal rank
@@ Property / cites work @@
+Utility maximization in incomplete markets
@@ Property / cites work: Utility maximization in incomplete markets / rank @@
+Normal rank
@@ Property / cites work @@
+Remarks on a characterisation of BMO-martingales
@@ Property / cites work: Remarks on a characterisation of BMO-martingales / rank @@
+Normal rank
@@ Property / cites work @@
+Semi-martingales et grossissement d'une filtration
+Normal rank
@@ Property / cites work @@
+Martingale and Duality Methods for Utility Maximization in an Incomplete Market
+Normal rank
@@ Property / cites work @@
+Continuous exponential martingales and BMO
@@ Property / cites work: Continuous exponential martingales and BMO / rank @@
+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 @@
+Q4029028
@@ Property / cites work: Q4029028 / rank @@
+Normal rank
@@ Property / cites work @@
+Pricing Via Utility Maximization and Entropy
@@ Property / cites work: Pricing Via Utility Maximization and Entropy / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W1854945631
@@ Property / OpenAlex ID: W1854945631 / rank @@
+Normal rank