Pages that link to "Item:Q2572389"

The following pages link to Utility maximization in incomplete markets (Q2572389):

Displaying 50 items.

• On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions: the critical case (Q255489) (← links)
• Numerical simulation of quadratic BSDEs (Q259576) (← links)
• Bounded solutions, \(L^p\) \((p > 1)\) solutions and \(L^1\) solutions for one dimensional BSDEs under general assumptions (Q265654) (← links)
• Convergence of BS\(\operatorname{\Delta}\)Es driven by random walks to BSDEs: the case of (in)finite activity jumps with general driver (Q265658) (← links)
• Utility indifference valuation for non-smooth payoffs with an application to power derivatives (Q282083) (← links)
• Continuous-time mean-variance portfolio selection with random horizon in an incomplete market (Q286277) (← links)
• A system of quadratic BSDEs arising in a price impact model (Q292906) (← links)
• Consumption-investment strategies with non-exponential discounting and logarithmic utility (Q296894) (← links)
• Dual representation of minimal supersolutions of convex BSDEs (Q297463) (← links)
• Solutions of BSDE's with jumps and quadratic/locally Lipschitz generator (Q311996) (← links)
• Density analysis of BSDEs (Q317487) (← links)
• Monotone stability of quadratic semimartingales with applications to unbounded general quadratic BSDEs (Q373548) (← links)
• Forward-backward systems for expected utility maximization (Q401458) (← links)
• Splitting multidimensional BSDEs and finding local equilibria (Q402721) (← links)
• Explicit solutions to quadratic BSDEs and applications to utility maximization in multivariate affine stochastic volatility models (Q404585) (← links)
• BSDEs in utility maximization with BMO market price of risk (Q429302) (← links)
• Markovian quadratic and superquadratic BSDEs with an unbounded terminal condition (Q444352) (← links)
• Pseudo linear pricing rule for utility indifference valuation (Q457184) (← links)
• Progressive enlargement of filtrations and backward stochastic differential equations with jumps (Q471510) (← links)
• New proofs of some results on bounded mean oscillation martingales using backward stochastic differential equations (Q482796) (← links)
• Consumption-investment optimization with Epstein-Zin utility in incomplete markets (Q503396) (← links)
• On optimal proportional reinsurance and investment in a hidden Markov financial market (Q523747) (← links)
• Indifference valuation in incomplete binomial models (Q613732) (← links)
• Exponential utility maximization under partial information (Q650760) (← links)
• Utility indifference valuation for jump risky assets (Q651335) (← links)
• Numerical simulation of BSDEs with drivers of quadratic growth (Q655587) (← links)
• 44th seminar on probability. Including papers from the `Journées de Probabilités', Dijon, France, June 2010 (Q660368) (← links)
• Exponential utility maximization under model uncertainty for unbounded endowments (Q670752) (← links)
• Density analysis of non-Markovian BSDEs and applications to biology and finance (Q681991) (← links)
• Backward stochastic dynamics on a filtered probability space (Q717884) (← links)
• Convexity bounds for BSDE solutions, with applications to indifference valuation (Q718884) (← links)
• Muckenhoupt's \((A_p)\) condition and the existence of the optimal martingale measure (Q737172) (← links)
• Valuation of power plants by utility indifference and numerical computation (Q836863) (← links)
• Harmonic analysis of stochastic equations and backward stochastic differential equations (Q843710) (← links)
• Numerical approach to asset pricing models with stochastic differential utility (Q853855) (← links)
• The \((S,s)\) policy is an optimal trading strategy in a class of commodity price speculation problems (Q868617) (← links)
• Quadratic BSDEs with convex generators and unbounded terminal conditions (Q929376) (← links)
• Closedness results for BMO semi-martingales and application to quadratic BSDEs (Q943646) (← links)
• Representation theorems for quadratic \(\mathcal F\)-consistent nonlinear expectations (Q947150) (← links)
• Stochastic control under progressive enlargement of filtrations and applications to multiple defaults risk management (Q988683) (← links)
• Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging (Q997416) (← links)
• Portfolio selection in stochastic markets with exponential utility functions (Q1026576) (← links)
• Investor heterogeneity, asset pricing and volatility dynamics (Q1042361) (← links)
• Quadratic backward stochastic differential equations driven by \(G\)-Brownian motion: discrete solutions and approximation (Q1615909) (← links)
• An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior (Q1711728) (← links)
• Optimal investment for insurance company with exponential utility and wealth-dependent risk aversion coefficient (Q1731595) (← links)
• Maximizing a robust goal-reaching probability with penalization on ambiguity (Q1757373) (← links)
• Sharp derivative bounds for solutions of degenerate semi-linear partial differential equations (Q1762334) (← links)
• BSDEs with mean reflection driven by \(G\)-Brownian motion (Q1799804) (← links)
• On securitization, market completion and equilibrium risk transfer (Q1932526) (← links)