Pages that link to "Item:Q997416"

The following pages link to Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging (Q997416):

Displaying 50 items.

• 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)
• Backward stochastic differential equation driven by a marked point process: an elementary approach with an application to optimal control (Q303970) (← links)
• Solutions of BSDE's with jumps and quadratic/locally Lipschitz generator (Q311996) (← links)
• A stochastic maximum principle in mean-field optimal control problems for jump diffusions (Q375182) (← 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)
• Pseudo linear pricing rule for utility indifference valuation (Q457184) (← links)
• Consumption optimization for recursive utility in a jump-diffusion model (Q524899) (← links)
• Optimal control of semi-Markov processes with a backward stochastic differential equations approach (Q525049) (← links)
• Constrained BSDEs representation of the value function in optimal control of pure jump Markov processes (Q529424) (← links)
• Near optimality conditions in stochastic control of jump diffusion processes (Q647642) (← links)
• Utility indifference valuation for jump risky assets (Q651335) (← links)
• 44th seminar on probability. Including papers from the `Journées de Probabilités', Dijon, France, June 2010 (Q660368) (← links)
• An optimal investment strategy for a stream of liabilities generated by a step process in a financial market driven by a Lévy process (Q661250) (← links)
• Second-order BSDEs with jumps: formulation and uniqueness (Q748324) (← links)
• Risk minimization and optimal derivative design in a principal agent game (Q841647) (← links)
• Reflected and doubly reflected BSDEs with jumps: a priori estimates and comparison (Q957529) (← links)
• On Malliavin's differentiability of BSDEs with time delayed generators driven by Brownian motions and Poisson random measures (Q988681) (← links)
• Backward stochastic differential equations with time delayed generators -- results and counterexamples (Q990389) (← links)
• Special weak Dirichlet processes and BSDEs driven by a random measure (Q1708976) (← links)
• Existence and uniqueness results for BSDE with jumps: the whole nine yards (Q1722017) (← links)
• \(L^p\) solution of backward stochastic differential equations driven by a marked point process (Q1756570) (← links)
• Recursiveness of indifference prices and translation-invariant preferences (Q1932524) (← links)
• Simplified mean-variance portfolio optimisation (Q1938980) (← links)
• Sensitivity of optimal consumption streams (Q2000136) (← links)
• Multistep schemes for forward backward stochastic differential equations with jumps (Q2014031) (← links)
• Optimal stopping of marked point processes and reflected backward stochastic differential equations (Q2041000) (← links)
• Backward stochastic differential equations with non-Markovian singular terminal conditions for general driver and filtration (Q2042792) (← links)
• Convolutional neural network based simulation and analysis for backward stochastic partial differential equations (Q2159857) (← links)
• BSDEs and log-utility maximization for Lévy processes (Q2178928) (← links)
• Asymptotic power utility-based pricing and hedging (Q2257041) (← links)
• Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem (Q2271730) (← links)
• On the weak representation property in progressively enlarged filtrations with an application in exponential utility maximization (Q2289809) (← links)
• Path-dependent backward stochastic Volterra integral equations with jumps, differentiability and duality principle (Q2296114) (← links)
• Indifference pricing for CRRA utilities (Q2392015) (← links)
• \(\mathbb L^p\) solutions of backward stochastic differential equations with jumps (Q2408993) (← links)
• On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation (Q2412393) (← links)
• Risk aversion asymptotics for power utility maximization (Q2428507) (← links)
• Discrete-time approximation of decoupled Forward-Backward SDE with jumps (Q2469490) (← links)
• A new existence result for quadratic BSDEs with jumps with application to the utility maximization problem (Q2638356) (← links)
• Economic neutral position: how to best replicate not fully replicable liabilities? (Q2656988) (← links)
• BSDEs with monotone generator driven by Brownian and Poisson noises in a general filtration (Q2804558) (← links)
• Utility-Based Valuation and Hedging of Basis Risk With Partial Information (Q3063879) (← links)
• Portfolio Optimization with Stochastic Volatilities: A Backward Approach (Q3094218) (← links)
• Optimal control of piecewise deterministic Markov processes: a BSDE representation of the value function (Q3177920) (← links)
• OPTION PRICING AND HEDGING WITH SMALL TRANSACTION COSTS (Q3195491) (← links)
• On a Class of Quadratic Growth RBSDE with Jumps and Its Application (Q3396377) (← links)
• UTILITY MAXIMIZATION WITH RANDOM HORIZON: A BSDE APPROACH (Q3460679) (← links)
• Exponential utility indifference valuation in two Brownian settings with stochastic correlation (Q3516396) (← links)