BSDEs with Time-Delayed Generators of a Moving Average Type with Applications to Non-Monotone Preferences

DOI10.1080/15326349.2012.672281zbMath1254.60057arXiv1008.3722MaRDI QIDQ2904313

Łukasz Delong

Publication date: 13 August 2012

Published in: Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1008.3722

zbMATH Keywords

habit formation; recursive preferences; backward stochastic equation; disappointment effect; volatility aversion

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60H30: Applications of stochastic analysis (to PDEs, etc.)

91G80: Financial applications of other theories

60H05: Stochastic integrals

Related Items

Stochastic maximum principle for controlled backward delayed system via advanced stochastic differential equation, Reflected and doubly reflected backward stochastic differential equations with time-delayed generators, A stochastic approach to path-dependent nonlinear Kolmogorov equations via BSDEs with time-delayed generators and applications to finance

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