Risk minimization in financial markets modeled by Itô-Lévy processes (Q497032): Difference between revisions

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+risk minimization
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@@ Property / zbMATH Keywords @@
+utility optimization
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@@ Property / zbMATH Keywords @@
+Itō-Lévy processes
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@@ Property / zbMATH Keywords @@
+backward stochastic differential equations
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+stochastic control
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+maximum principle
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+stochastic differential game
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+Temporal Resolution of Uncertainty and Dynamic Choice Theory
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@@ Property / cites work @@
+Coherent Measures of Risk
@@ Property / cites work: Coherent Measures of Risk / rank @@
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@@ Property / cites work @@
+Stochastic Differential Utility
@@ Property / cites work: Stochastic Differential Utility / rank @@
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+Matrix maps on sequence spaces associated with sets of integers
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+Convex measures of risk and trading constraints
@@ Property / cites work: Convex measures of risk and trading constraints / rank @@
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+Stochastic finance. An introduction in discrete time
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+Solution of forward-backward stochastic differential equations
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+Q4778955
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+Martingale Representation of Functionals of Lévy Processes
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+Risk minimizing portfolios and HJBI equations for stochastic differential games
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+Stackelberg equilibria in a continuous-time vertical contracting model with uncertain demand and delayed information
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+Applied stochastic control of jump diffusions
@@ Property / cites work: Applied stochastic control of jump diffusions / rank @@
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+Forward-backward stochastic differential games and stochastic control under model uncertainty
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+A Stochastic HJB Equation for Optimal Control of Forward-Backward SDEs
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+BSDEs with jumps, optimization and applications to dynamic risk measures
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+Q4235027
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+Backward stochastic differential equations with jumps and related nonlinear expectations
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+A note on the spectra of operator Schur matrices and the maximal group of the algebra of triangular conservative matrices
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+.1007/S13370-014-0248-9
@@ Property / DOI: 10.1007/S13370-014-0248-9 / rank @@
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+Publication:497032