Backward stochastic differential equations with constraints on the gains-process
From MaRDI portal
Publication:1307453
DOI10.1214/aop/1022855872zbMath0935.60039MaRDI QIDQ1307453
Jakša Cvitanić, Ioannis Karatzas, Halil Mete Soner
Publication date: 4 May 2000
Published in: The Annals of Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aop/1022855872
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
93E20: Optimal stochastic control
60G40: Stopping times; optimal stopping problems; gambling theory
Related Items
A STOCHASTIC REPRESENTATION FOR THE LEVEL SET EQUATIONS, Dynamic investment strategies to reaction-diffusion systems based upon stochastic differential utilities, The application of backward stochastic differential equation with stopping time in hedging American contingent claims, Reflected BSDE with a constraint and its applications in an incomplete market, Linear forward-backward stochastic differential equations with random coefficients, Backward SDEs with constrained jumps and quasi-variational inequalities, A stochastic representation for mean curvature type geometric flows, Maximizing the probability of a perfect hedge, REPLICATION OF AMERICAN CONTINGENT CLAIMS IN INCOMPLETE MARKETS
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Adapted solution of a backward stochastic differential equation
- Backward stochastic differential equations with reflection and Dynkin games
- Convex duality in constrained portfolio optimization
- Hedging contingent claims with constrained portfolios
- Backward doubly stochastic differential equations and systems of quasilinear SPDEs
- Reflected solutions of backward SDE's, and related obstacle problems for PDE's
- Backwards SDE with random terminal time and applications to semilinear elliptic PDE
- PDE solutions of stochastic differential utility
- Backward stochastic differential equations and applications to optimal control
- The optimal control of diffusions
- Pricing of American Contingent Claims with Jump Stock Price and Constrained Portfolios
- Backward stochastic differential equations and integral-partial differential equations
- A General Stochastic Maximum Principle for Optimal Control Problems
- Probabilistic interpretation for systems of quasilinear parabolic partial differential equations
- An Introductory Approach to Duality in Optimal Stochastic Control
- Backward Stochastic Differential Equations in Finance
- Hedging contingent claims for a large investor in an incomplete market
- Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
- Convex Analysis
- On a stochastic integral equation
- Reflected forward-backward SDEs and obstacle problems with boundary conditions
