Now decision theory

DOI10.3934/PUQR.2023018MaRDI QIDQ6064078zbMATH OpenOpenAlexFDO

Authors Dilip B. Madan, Wim Schoutens, K.-H. Wang

Publication date 8 November 2023

Published in Probability, Uncertainty and Quantitative Risk (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3934/puqr.2023018

zbMATH Keywords

bilateral gamma processgamma discounted averagingmeasure distortionmultivariate bilateral gamma modelprobability distortionstate dependent discounting

Mathematics Subject Classification ID

Decision theory (91B06) Financial markets (91G15)

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Cites work

• \(G\)-Lévy processes under sublinear expectations
• A general version of the fundamental theorem of asset pricing
• A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective
• Applied conic finance
• Bilateral gamma distributions and processes in financial mathematics
• Conic portfolio theory
• Dynamic programming with state-dependent discounting
• Estimating parametric models of probability distributions
• Gaussian processes for machine learning.
• High dimensional Markovian trading of a single stock
• scientific article; zbMATH DE number 3889341 (Why is no real title available?)
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• scientific article; zbMATH DE number 4034749 (Why is no real title available?)
• scientific article; zbMATH DE number 4061056 (Why is no real title available?)
• scientific article; zbMATH DE number 700091 (Why is no real title available?)
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• scientific article; zbMATH DE number 3338194 (Why is no real title available?)
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• Martingales versus PDEs in finance: an equivalence result with examples
• Nonlinear equity valuation using conic finance and its regulatory implications
• Nonlinear Lévy processes and their characteristics
• The Variance Gamma Process and Option Pricing
• Time-consistent conditional expectation under probability distortion

Cited in

(3)

• Thinking Ahead: The Decision Problem
• On the real rate of interest in a closed economy
• Risk conscious investment

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