BSDEs with Time-Delayed Generators of a Moving Average Type with Applications to Non-Monotone Preferences
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Publication:2904313
DOI10.1080/15326349.2012.672281zbMath1254.60057arXiv1008.3722MaRDI QIDQ2904313
Publication date: 13 August 2012
Published in: Stochastic Models (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1008.3722
habit formation; recursive preferences; backward stochastic equation; disappointment effect; volatility aversion
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
60H30: Applications of stochastic analysis (to PDEs, etc.)
91G80: Financial applications of other theories
60H05: Stochastic integrals
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