BSDEs with jumps, optimization and applications to dynamic risk measures
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Cites work
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- Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
- Optimal stopping for dynamic convex risk measures
- Representation of the penalty term of dynamic concave utilities
- Stochastic finance. An introduction in discrete time
- Théorie probabiliste du contrôle des diffusions
Cited in
(91)- Backward nonlinear expectation equations
- The obstacle problem of integro-partial differential equations with applications to stochastic optimal control/stopping problem
- Reflected and doubly reflected backward stochastic differential equations with time-delayed generators
- Existence and uniqueness results for BSDE with jumps: the whole nine yards
- [[:Publication:1722018|Doubly reflected BSDEs and \(\mathcal{E} ^Template:F\)-Dynkin games: beyond the right-continuous case]]
- Jump-filtration consistent nonlinear expectations with \(\mathbb{L}^p\) domains
- A penalty scheme and policy iteration for nonlocal HJB variational inequalities with monotone nonlinearities
- Approximation schemes for mixed optimal stopping and control problems with nonlinear expectations and jumps
- Backward stochastic differential equations with non-Markovian singular terminal conditions for general driver and filtration
- American options in nonlinear markets
- RBSDEs with optional barriers: monotone approximation
- Limit behaviour of the minimal solution of a BSDE with singular terminal condition in the non Markovian setting
- Generalized entropic risk measures and related BSDEs
- Forward-backward stochastic differential games and stochastic control under model uncertainty
- Forward-backward stochastic differential games for optimal investment and dividend problem of an insurer under model uncertainty
- Arbitrage-free pricing of derivatives in nonlinear market models
- \(\mathbb{L}^2\)-solutions for reflected BSDEs with jumps under monotonicity and general growth conditions: a penalization method
- Integro-partial differential equations with singular terminal condition
- Reflected BSDEs with nonpositive jumps, and controller-and-stopper games
- Existence, uniqueness and strict comparison theorems for BSDEs driven by RCLL martingales
- Mean-field BSDEs with jumps and dual representation for global risk measures
- Optimal control of predictive mean-field equations and applications to finance
- BSDEs with monotone generator driven by Brownian and Poisson noises in a general filtration
- Quadratic BSDEs with jumps: related nonlinear expectations
- BSDEs, càdlàg martingale problems, and orthogonalization under basis risk
- A weak dynamic programming principle for combined optimal stopping/stochastic control with \({\mathcal E}^{f}\)-expectations
- Numerical approximation of doubly reflected BSDEs with jumps and RCLL obstacles
- Limit behaviour of BSDE with jumps and with singular terminal condition
- A stochastic HJB equation for optimal control of forward-backward SDEs
- A BSDE arising in an exponential utility maximization problem in a pure jump market model
- CREDIT RISK PREMIA AND QUADRATIC BSDEs WITH A SINGLE JUMP
- BSDE and risk measures
- On \(g\)-evaluations with \(\mathbb{L}^p\) domains under jump filtration
- Backward stochastic differential equations approach to hedging, option pricing, and insurance problems
- Risk measures for processes and BSDEs
- Risk minimization in financial markets modeled by Itô-Lévy processes
- An ergodic BSDE risk representation in a jump-diffusion framework
- Reflected BSDEs when the obstacle is predictable and nonlinear optimal stopping problem
- On the monotone stability approach to BSDEs with jumps: extensions, concrete criteria and examples
- BSDEs and enlargement of filtration
- Reflected and doubly reflected BSDEs driven by RCLL martingales
- \(\mathbb{D}\)-solutions of BSDEs with Poisson jumps
- Latency and liquidity risk
- A note on representation of BSDE-based dynamic risk measures and dynamic capital allocations
- Asymptotic expansion for forward-backward SDEs with jumps
- Quadratic BSDEs with jumps and related PIDEs
- Risk measures and progressive enlargement of filtration: a BSDE approach
- \(\mathbb{L}^{p}\) solutions of reflected backward stochastic differential equations with jumps
- BSDE representations for optimal switching problems with controlled volatility
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- Dynamic robust duality in utility maximization
- \(\mathbb{L}^p\) \((p\geq 2)\)-solutions of generalized BSDEs with jumps and monotone generator in a general filtration
- Ergodicity of Robust Switching Control and Nonlinear System of Quasi-Variational Inequalities
- Prediction-Correction Scheme for Decoupled Forward Backward Stochastic Differential Equations with Jumps
- Dynamic risk measure for BSVIE with jumps and semimartingale issues
- A Dual Method For Evaluation of Dynamic Risk in Diffusion Processes
- The stochastic Leibniz formula for Volterra integrals under enlarged filtrations
- A default contagion model for pricing defaultable bonds from an information based perspective
- Anticipated backward stochastic Volterra integral equations with jumps and applications to dynamic risk measures
- The maximum principle for discounted optimal control of partially observed forward-backward stochastic systems with jumps on infinite horizon
- Nonlinear BSDEs on a general filtration with drivers depending on the martingale part of the solution
- The Global Maximum Principle for Progressive Optimal Control of Partially Observed Forward-Backward Stochastic Systems with Random Jumps
- Generalized BSDE and reflected BSDE with random time horizon
- Reflections on BSDEs
- Dynamic risk measures via backward doubly stochastic Volterra integral equations with jumps
- Optimal stopping: Bermudan strategies meet non-linear evaluations
- Constrained mean-variance investment-reinsurance under the Cramér-Lundberg model with random coefficients
- Optimal control over split stopping times in defaultable settings and reflected BSDEs with irregular obstacles
- Generalized Dynkin games and doubly reflected BSDEs driven by RCLL martingales
- Pricing game options in financial markets with default: a doubly reflected BSDEs approach
- Comparison theorems for multidimensional BSDEs with jumps and applications to constrained stochastic linear-quadratic control
- Reflected BSEs, reflected BSDEs and fixed-point problems
- Graphon mean-field backward stochastic differential equations with jumps and associated dynamic risk measures
- Applications of doubly reflected BSDEs driven by RCLL martingales to Dynkin games and American game options
- Recursive optimal stopping with Poisson stopping constraints
- Relationship between general MP and DPP for the stochastic recursive optimal control problem with jumps
- Non-linear non-zero-sum Dynkin games with Bermudan strategies
- Backward stochastic Volterra integral equations with jumps and some related problems
- \(\mathbb{L}^p\)-solutions of backward stochastic differential equations with default time
- Growth condition on the generator of BSDE with singular terminal value ensuring continuity up to terminal time
- Quadratic-exponential growth backward stochastic Volterra integral equations with jumps and associated dynamic risk measure
- Indifference pricing of mortality-linked securities using backward stochastic differential equations
- On the \(\mathbb{L}^p\)-solution for BSDELs with continuous or left continuous coefficient
- On reflected BSDEs with jumps and default time
- Locally Lipschitz path dependent FBSDEs with unbounded terminal conditions in Brownian and Lévy settings
- BSDEs and reflected BSDEs with default time and stochastic Lipschitz drivers: theory and some financial applications
- Minimal supersolutions for BSDEs with singular terminal condition and application to optimal position targeting
- A general maximum principle for progressive optimal control of fully coupled forward-backward stochastic systems with jumps
- Reflected BSDEs and robust optimal stopping for dynamic risk measures with jumps
- Optimal stopping for dynamic risk measures with jumps and obstacle problems
- Reflected scheme for doubly reflected BSDEs with jumps and RCLL obstacles
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