Thomas Lim

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Person:428524

Available identifiers

zbMath Open lim.thomasMaRDI QIDQ428524

List of research outcomes

PublicationDate of PublicationType
Discretization and machine learning approximation of BSDEs with a constraint on the gains-process2021-06-09Paper
Optimal risk management problem of natural resources: application to oil drilling2021-05-05Paper
Regulation of Renewable Resource Exploitation2020-03-02Paper
Optimal exploitation of a resource with stochastic population dynamics and delayed renewal2019-07-30Paper
Indifference fee rate for variable annuities2018-09-06Paper
Some existence results for advanced backward stochastic differential equations with a jump time2018-03-07Paper
PORTFOLIO OPTIMIZATION IN A DEFAULT MODEL UNDER FULL/PARTIAL INFORMATION2017-09-19Paper
Optimization problem under change of regime of interest rate2016-08-23Paper
MAX–MIN OPTIMIZATION PROBLEM FOR VARIABLE ANNUITIES PRICING2016-02-03Paper
A decomposition approach for the discrete-time approximation of FBSDEs with a jump2015-08-07Paper
Progressive enlargement of filtrations and backward stochastic differential equations with jumps2014-11-17Paper
Mean-variance hedging on uncertain time horizon in a market with a jump2014-03-24Paper
Bid-Ask Spread Modelling, a Perturbation Approach2014-02-19Paper
A decomposition approach for the discrete-time approximation of BSDEs with a jump II: the quadratic case2012-11-27Paper
Exponential utility maximization in an incomplete market with defaults2012-06-22Paper
A decomposition approach for the discrete-time approximation of FBSDEs with a jump I : the Lipschitz case2011-03-15Paper

Research outcomes over time


Doctoral students

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