Backward nonlinear expectation equations
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Cites work
- scientific article; zbMATH DE number 1713116 (Why is no real title available?)
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- A numerical scheme for BSDEs
- A quasi-sure approach to the control of non-Markovian stochastic differential equations
- Adapted solution of a backward stochastic differential equation
- Ambiguity, Risk, and Asset Returns in Continuous Time
- Ambiguous volatility, possibility and utility in continuous time
- BSDEs with jumps, optimization and applications to dynamic risk measures
- BS\(\Delta\)Es and BSDEs with non-Lipschitz drivers: comparison, convergence and robustness
- Backward Stochastic Differential Equations in Finance
- Backward stochastic differential equations and integral-partial differential equations
- Backward stochastic differential equations driven by \(G\)-Brownian motion
- Backward stochastic differential equations with jumps and related nonlinear expectations
- Backward stochastic differential equations with jumps and their actuarial and financial applications. BSDEs with jumps
- Backward-forward stochastic differential equations
- Comparison theorem, Feynman-Kac formula and Girsanov transformation for BSDEs driven by \(G\)-Brownian motion
- Conjugate convex functions in optimal stochastic control
- Constructing sublinear expectations on path space
- Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
- Discrete-time approximation of decoupled Forward-Backward SDE with jumps
- Dual formulation of second order target problems
- Dynamic coherent risk measures
- Function spaces and capacity related to a sublinear expectation: application to \(G\)-Brownian motion paths
- Intertemporal Asset Pricing under Knightian Uncertainty
- Intertemporal substitution, risk aversion and ambiguity aversion
- Martingale problem under nonlinear expectations
- Martingale representation theorem for the \(G\)-expectation
- Multi-dimensional \(G\)-Brownian motion and related stochastic calculus under \(G\)-expectation
- Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
- Quasi-sure stochastic analysis through aggregation
- Random \(G\)-expectations
- Recursive multiple-priors.
- Risk measures for processes and BSDEs
- Second-order backward stochastic differential equations and fully nonlinear parabolic PDEs
- Stability of backward stochastic differential equations
- Stochastic Differential Utility
- Stochastic differential utility as the continuous-time limit of recursive utility
- Superhedging and dynamic risk measures under volatility uncertainty
- Temporal Resolution of Uncertainty and Dynamic Choice Theory
- Wellposedness of second order backward SDEs
- \(G\)-expectation, \(G\)-Brownian motion and related stochastic calculus of Itô type
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