On<i>g</i>−evaluations with domains under jump filtration (Q4607789): Difference between revisions

From MaRDI portal
Importer (talk | contribs)
Created a new Item
 
ReferenceBot (talk | contribs)
Changed an Item
 
(3 intermediate revisions by 3 users not shown)
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.1080/07362994.2017.1372782 / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W2782415891 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q2978456 / rank
 
Normal rank
Property / cites work
 
Property / cites work: CREDIT RISK PREMIA AND QUADRATIC BSDEs WITH A SINGLE JUMP / rank
 
Normal rank
Property / cites work
 
Property / cites work: Solutions of BSDE's with jumps and quadratic/locally Lipschitz generator / rank
 
Normal rank
Property / cites work
 
Property / cites work: Coherent Measures of Risk / rank
 
Normal rank
Property / cites work
 
Property / cites work: BSDE associated with Lévy processes and application to PDIE / rank
 
Normal rank
Property / cites work
 
Property / cites work: Existence and uniqueness for backward stochastic differential equations driven by a random measure, possibly non quasi-left continuous / rank
 
Normal rank
Property / cites work
 
Property / cites work: Backward stochastic differential equations and integral-partial differential equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Monotone stability of quadratic semimartingales with applications to unbounded general quadratic BSDEs / rank
 
Normal rank
Property / cites work
 
Property / cites work: Doubly reflected BSDEs with integrable parameters and related Dynkin games / rank
 
Normal rank
Property / cites work
 
Property / cites work: Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the Monotone Stability Approach to BSDEs with Jumps: Extensions, Concrete Criteria and Examples / rank
 
Normal rank
Property / cites work
 
Property / cites work: Conjugate convex functions in optimal stochastic control / rank
 
Normal rank
Property / cites work
 
Property / cites work: A unified approach to a priori estimates for supersolutions of BSDEs in general filtrations / rank
 
Normal rank
Property / cites work
 
Property / cites work: BSDEs with polynomial growth generators / rank
 
Normal rank
Property / cites work
 
Property / cites work: A converse comparison theorem for BSDEs and related properties of \(g\)-expectation / rank
 
Normal rank
Property / cites work
 
Property / cites work: \(L^p\) solutions of backward stochastic differential equations. / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the robustness of backward stochastic differential equations. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Backward Stochastic Differential Equations Driven By Càdlàg Martingales / rank
 
Normal rank
Property / cites work
 
Property / cites work: BSDEs under partial information and financial applications / rank
 
Normal rank
Property / cites work
 
Property / cites work: Continuous properties of \(g\)-martingales / rank
 
Normal rank
Property / cites work
 
Property / cites work: Solutions of Backward Stochastic Differential Equations on Markov Chains / rank
 
Normal rank
Property / cites work
 
Property / cites work: Comparisons for backward stochastic differential equations on Markov chains and related no-arbitrage conditions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Existence, uniqueness and comparisons for BSDEs in general spaces / rank
 
Normal rank
Property / cites work
 
Property / cites work: A general comparison theorem for backward stochastic differential equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: On Markovian solutions to Markov chain BSDEs / rank
 
Normal rank
Property / cites work
 
Property / cites work: Backward Stochastic Differential Equations and Optimal Control of Marked Point Processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Backward stochastic differential equation driven by a marked point process: an elementary approach with an application to optimal control / rank
 
Normal rank
Property / cites work
 
Property / cites work: Filtration-consistent nonlinear expectations and related \(g\)-expectations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Backward stochastic differential equations with constraints on the gains-process / rank
 
Normal rank
Property / cites work
 
Property / cites work: The multiplicity of an increasing family of \(\sigma\)-fields / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4086511 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3957683 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Numerical approximation of doubly reflected BSDEs with jumps and RCLL obstacles / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4357500 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Backward Stochastic Differential Equations in Finance / rank
 
Normal rank
Property / cites work
 
Property / cites work: Convex measures of risk and trading constraints / rank
 
Normal rank
Property / cites work
 
Property / cites work: Simulation of BSDEs with jumps by Wiener chaos expansion / rank
 
Normal rank
Property / cites work
 
Property / cites work: \(L_{2}\)-variation of Lévy driven BSDEs with non-smooth terminal conditions / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Non-Markovian Liquidation Problem and Backward SPDEs with Singular Terminal Conditions / rank
 
Normal rank
Property / cites work
 
Property / cites work: On a general result for backward stochastic differential equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Representation theorems for quadratic \(\mathcal F\)-consistent nonlinear expectations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3959169 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3774629 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Mean-variance hedging via stochastic control and BSDEs for general semimartingales / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3860572 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Quadratic BSDEs with jumps: a fixed-point approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: Second order BSDEs with jumps: existence and probabilistic representation for fully-nonlinear PIDEs / rank
 
Normal rank
Property / cites work
 
Property / cites work: Second-order BSDEs with jumps: formulation and uniqueness / rank
 
Normal rank
Property / cites work
 
Property / cites work: Quadratic BSDEs with jumps: Related nonlinear expectations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Progressive enlargement of filtrations and backward stochastic differential equations with jumps / rank
 
Normal rank
Property / cites work
 
Property / cites work: Backward SDEs with constrained jumps and quasi-variational inequalities / rank
 
Normal rank
Property / cites work
 
Property / cites work: Reflected BSDEs on filtered probability spaces / rank
 
Normal rank
Property / cites work
 
Property / cites work: Dirichlet forms and semilinear elliptic equations with measure data / rank
 
Normal rank
Property / cites work
 
Property / cites work: Semilinear elliptic equations with measure data and quasi-regular Dirichlet forms / rank
 
Normal rank
Property / cites work
 
Property / cites work: Backward stochastic differential equations and partial differential equations with quadratic growth. / rank
 
Normal rank
Property / cites work
 
Property / cites work: BSDEs with monotone generator driven by Brownian and Poisson noises in a general filtration / rank
 
Normal rank
Property / cites work
 
Property / cites work: Minimal supersolutions for BSDEs with singular terminal condition and application to optimal position targeting / rank
 
Normal rank
Property / cites work
 
Property / cites work: <i>L<sup>p</sup></i>-solution for BSDEs with jumps in the case<i>p</i>&lt;2 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Robust Portfolio Choice and Indifference Valuation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Backward stochastic dynamics on a filtered probability space / rank
 
Normal rank
Property / cites work
 
Property / cites work: Nonlinear Doob-Meyer decomposition with jumps. / rank
 
Normal rank
Property / cites work
 
Property / cites work: On Quadratic<i>g</i>-Evaluations/Expectations and Related Analysis / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Semimartingale Backward Equation and the Variance-Optimal Martingale Measure under General Information Flow / rank
 
Normal rank
Property / cites work
 
Property / cites work: Utility maximization in a jump market model / rank
 
Normal rank
Property / cites work
 
Property / cites work: A new existence result for quadratic BSDEs with jumps with application to the utility maximization problem / rank
 
Normal rank
Property / cites work
 
Property / cites work: Backward stochastic differential equations and Feynman-Kac formula for Lévy processes, with applications in finance / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4357511 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Adapted solution of a backward stochastic differential equation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4357507 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob-Meyer's type / rank
 
Normal rank
Property / cites work
 
Property / cites work: Dynamical evaluations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4657107 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3996259 / rank
 
Normal rank
Property / cites work
 
Property / cites work: BSDEs with jumps, optimization and applications to dynamic risk measures / rank
 
Normal rank
Property / cites work
 
Property / cites work: REFLECTED BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY A LÉVY PROCESS / rank
 
Normal rank
Property / cites work
 
Property / cites work: Convex Analysis / rank
 
Normal rank
Property / cites work
 
Property / cites work: Risk measures via \(g\)-expectations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Backward stochastic differential equations with jumps and related nonlinear expectations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Backward Stochastic Differential Equations for a Single Jump Process / rank
 
Normal rank
Property / cites work
 
Property / cites work: On solutions of backward stochastic differential equations with jumps and applications / rank
 
Normal rank
Property / cites work
 
Property / cites work: Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps / rank
 
Normal rank
Property / cites work
 
Property / cites work: Solvability of backward stochastic differential equations with quadratic growth / rank
 
Normal rank
Property / cites work
 
Property / cites work: Backward stochastic differential equation with random measures / rank
 
Normal rank
Property / cites work
 
Property / cites work: The adapted solution and comparison theorem for backward stochastic differential equations with Poisson jumps and applications / rank
 
Normal rank
links / mardi / namelinks / mardi / name
 

Latest revision as of 07:30, 15 July 2024

scientific article; zbMATH DE number 6850128
Language Label Description Also known as
English
On<i>g</i>−evaluations with domains under jump filtration
scientific article; zbMATH DE number 6850128

    Statements

    On<i>g</i>−evaluations with domains under jump filtration (English)
    0 references
    0 references
    14 March 2018
    0 references
    backward stochastic differential equation with jumps
    0 references
    \(\mathbb{L}^p\) solutions
    0 references
    \(g\)-evaluation
    0 references
    \(g\)-expectation
    0 references
    optional sampling
    0 references
    upcrossing inequality
    0 references
    Doob-Meyer decomposition
    0 references
    generator representation
    0 references
    reverse comparision theorem of BSDEJs
    0 references
    Jensen inequality
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references

    Identifiers