Risk measures for processes and BSDEs (Q486926): Difference between revisions

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+.4853
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+Risk assessment for uncertain cash flows: model ambiguity, discounting ambiguity, and the role of bubbles
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+Coherent Measures of Risk
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+Lebesgue property of convex risk measures for bounded càdlàg processes
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+Q3613976
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+Optimal stopping for dynamic convex risk measures
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+Valuation Equations for Stochastic Volatility Models
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+Optimal stopping for non-linear expectations. I
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+Optimal stopping for non-linear expectations. II
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+Stochastic Integration with Jumps
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+On the hedging of options on exploding exchange rates
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+Optimal stopping under ambiguity in continuous time
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+Coherent and convex monetary risk measures for bounded càdlàg processes
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+Coherent and convex monetary risk measures for unbounded càdlàg processes.
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+Dynamic monetary risk measures for bounded discrete-time processes
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+Representation of the penalty term of dynamic concave utilities
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+Q3957682
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+Q3957683
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+Reflected solutions of backward SDE's, and related obstacle problems for PDE's
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+CASH SUBADDITIVE RISK MEASURES AND INTEREST RATE AMBIGUITY
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+The exit measure of a supermartingale
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+Convex measures of risk and trading constraints
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+Stochastic Finance
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+Reflected BSDE's with discontinuous barrier and application
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+Transformation of Markov processes by multiplicative functionals
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+Calcul stochastique et problèmes de martingales
@@ Property / cites work: Calcul stochastique et problèmes de martingales / rank @@
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+ABSOLUTE CONTINUITY AND SINGULARITY OF LOCALLY ABSOLUTELY CONTINUOUS PROBABILITY DISTRIBUTIONS. I
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+Numéraire-invariant preferences in financial modeling
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+On the characterisation of honest times that avoid all stopping times
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+Strict local martingales and bubbles
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+Continuous exponential martingales and BMO
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+Backward stochastic differential equations and partial differential equations with quadratic growth.
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+Penalization method for reflected backward stochastic differential equations with one r.c.l.l. barrier
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+Reflected backward stochastic differential equations and a class of non-linear dynamic pricing rule
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+Doob's maximal identity, multiplicative decompositions and enlargements of filtrations
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+Q5533878
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+Q4657107
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+The smallest \(g\)-supermartingale and reflected BSDE with single and double \(L^2\) obstacles
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+Second order backward stochastic differential equations with quadratic growth
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+Optimal Stopping With Multiple Priors
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+Risk measures via \(g\)-expectations
@@ Property / cites work: Risk measures via \(g\)-expectations / rank @@
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