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

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+Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging
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+Pseudo linear pricing rule for utility indifference valuation
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+Utility maximization in incomplete markets
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+Remarks on a characterisation of BMO-martingales
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+Semi-martingales et grossissement d'une filtration
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+Martingale and Duality Methods for Utility Maximization in an Incomplete Market
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+Continuous exponential martingales and BMO
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+Utility maximization in a jump market model
@@ Property / cites work: Utility maximization in a jump market model / rank @@
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+Q4029028
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+Pricing Via Utility Maximization and Entropy
@@ Property / cites work: Pricing Via Utility Maximization and Entropy / rank @@
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