Thomas Lim

Available identifiers

Publication	Date of Publication	Type
Discretization and machine learning approximation of BSDEs with a constraint on the gains-process	2021-06-09	Paper
Optimal risk management problem of natural resources: application to oil drilling	2021-05-05	Paper
Regulation of Renewable Resource Exploitation	2020-03-02	Paper
Optimal exploitation of a resource with stochastic population dynamics and delayed renewal	2019-07-30	Paper
Indifference fee rate for variable annuities	2018-09-06	Paper
Some existence results for advanced backward stochastic differential equations with a jump time	2018-03-07	Paper
PORTFOLIO OPTIMIZATION IN A DEFAULT MODEL UNDER FULL/PARTIAL INFORMATION	2017-09-19	Paper
Optimization problem under change of regime of interest rate	2016-08-23	Paper
MAX–MIN OPTIMIZATION PROBLEM FOR VARIABLE ANNUITIES PRICING	2016-02-03	Paper
A decomposition approach for the discrete-time approximation of FBSDEs with a jump	2015-08-07	Paper
Progressive enlargement of filtrations and backward stochastic differential equations with jumps	2014-11-17	Paper
Mean-variance hedging on uncertain time horizon in a market with a jump	2014-03-24	Paper
Bid-Ask Spread Modelling, a Perturbation Approach	2014-02-19	Paper
A decomposition approach for the discrete-time approximation of BSDEs with a jump II: the quadratic case	2012-11-27	Paper
Exponential utility maximization in an incomplete market with defaults	2012-06-22	Paper
A decomposition approach for the discrete-time approximation of FBSDEs with a jump I : the Lipschitz case	2011-03-15	Paper

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