scientific article

From MaRDI portal
Publication:3925594

zbMath0472.60002MaRDI QIDQ3925594

Nicole El Karoui

Publication date: 1981


Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.



Related Items

Optimal stopping under g-Expectation with -integrable reward process, Reflected and doubly reflected BSDEs driven by RCLL martingales, Merton's Optimal Investment Problem with Jump Signals, A General Optimal Multiple Stopping Problem with an Application to Swing Options, Multi-dimensional BSDE with oblique reflection and optimal switching, Monte-Carlo Valuation of American Options: Facts and New Algorithms to Improve Existing Methods, Russian options with a finite time horizon, A Note on Market Completeness with American Put Options, Infinite Horizon Stochastic Impulse Control with Delay and Random Coefficients, Generalized reflected BSDEs driven by a Lévy process and an obstacle problem for PDIEs with a nonlinear Neumann boundary condition, Subgame-perfect equilibria in stochastic timing games, Infinite horizon impulse control problem with jumps and continuous switching costs, Consistent utility of investment and consumption: a forward/backward SPDE viewpoint, Optimal contract with moral hazard for Public Private Partnerships, On the existence of shadow prices for optimal investment with random endowment, Unnamed Item, Finite Horizon Impulse control of Stochastic Functional Differential Equations, Portfolio diversification and model uncertainty: A robust dynamic mean‐variance approach, Existence and uniqueness for reflected BSDE with multivariate point process and right upper semicontinuous obstacle, Reflected BSDEs with regulated trajectories, An extended McKean-Vlasov dynamic programming approach to robust equilibrium controls under ambiguous covariance matrix, A weak martingale approach to linear-quadratic Mckean-Vlasov stochastic control problems, Rate-independent stochastic evolution equations: parametrized solutions, Encounters with Martingales in Stochastic Control, Viscosity Solutions for Obstacle Problems on Wasserstein Space, Time-inconsistent mean-field optimal stopping: a limit approach, Optimal stopping with expectation constraints, Irregular barrier reflected BSDEs driven by a Lévy process, Reflected generalized BSDE with jumps under stochastic conditions and an obstacle problem for integral-partial differential equations with nonlinear Neumann boundary conditions, Optimal stopping in predictable setting, On the Continuity of Optimal Stopping Surfaces for Jump-Diffusions, Optimal multiple stopping problem under nonlinear expectation, Generalized BSDE and reflected BSDE with random time horizon, Black's Inverse Investment Problem and Forward Criteria with Consumption, Dynamic Programming Equation for the Mean Field Optimal Stopping Problem, Dynamic programming approach to reflected backward stochastic differential equations, Backward stochastic differential equations associated to jump Markov processes and applications, A continuous-time model of self-protection, An Overview of Viscosity Solutions of Path-Dependent PDEs, OPTIMAL STOCHASTIC CONTROL PROBLEM UNDER MODEL UNCERTAINTY WITH NONENTROPY PENALTY, 𝕃p solutions of reflected backward stochastic differential equations with jumps, The multi-player nonzero-sum Dynkin game in discrete time, MUTUAL FUND PORTFOLIO CHOICE IN THE PRESENCE OF DYNAMIC FLOWS, Optimal dividend policy and growth option, A dynamic look-ahead Monte Carlo algorithm for pricing Bermudan options, Construction of the Value Function and Optimal Rules in Optimal Stopping of One-Dimensional Diffusions, Max-plus decomposition of supermartingales and convex order. Application to American options and portfolio insurance, Properties of American option prices, Reflected backward stochastic differential equations with two RCLL barriers, Pricing rules under asymmetric information, Potentials of a Markov process are expected suprema, Optimal Investment-consumption for Partially Observed Jump-diffusions, Application of doubly reflected BSDEs to an impulse control problem, Optimal hitting time and perpetual option in a non-Lévy model: application to real options, Two parameter optimal stopping and bi-Markov processes, Maturity randomization for stochastic control problems, On Threshold Strategies and the Smooth-Fit Principle for Optimal Stopping Problems, Characterization of Stochastic Viability of Any Nonsmooth Set Involving Its Generalized Contingent Curvature, An Optimal Stopping Problem Arising from a Decision Model with Many Agents, A Pseudo-Markov Property for Controlled Diffusion Processes, Backward Stochastic Riccati Equation with Jumps Associated with Stochastic Linear Quadratic Optimal Control with Jumps and Random Coefficients, Reflected Backward SDEs with General Jumps, Optimal Stopping Under Uncertainty in Drift and Jump Intensity, Optimal Skorokhod Embedding Under Finitely Many Marginal Constraints, Unnamed Item, Nonlinear semigroups associated with optimal stopping of controlled diffusions under partial observation, On the Compensator in the Doob--Meyer Decomposition of the Snell Envelope, Finite-Horizon Optimal Multiple Switching with Signed Switching Costs, Existence and Uniqueness of Viscosity Solutions of an Integro-differential Equation Arising in Option Pricing, The Valuation of American Options with Stochastic Stopping Time Constraints, An integral equation for American put options on assets with general dividend processes, Dual Representation of the Cost of Designing a Portfolio Satisfying Multiple Risk Constraints, Dynamic Programming for General Linear Quadratic Optimal Stochastic Control with Random Coefficients, On the optimal stopping problem for one-dimensional diffusions., Penalization method for reflected backward stochastic differential equations with one r.c.l.l. barrier, Reflected BSDEs when the obstacle is not right-continuous in a general filtration, [https://portal.mardi4nfdi.de/wiki/Publication:3949750 Arr�t Optimal sur le Plan], Reflected BSDEs when the obstacle is predictable and nonlinear optimal stopping problem, Reflected BSDEs and mixed game problem, Optimal stopping with random maturity under nonlinear expectations, A stochastic representation theorem with applications to optimization and obstacle problems., Optimal stopping of a Hilbert space valued diffusion: an infinite dimensional variational inequality, Optimal multiple stopping problems under \(g\)-expectation, On randomized stopping points and perfect graphs, Stochastic control methods in optimal design of life testing, A Bayesian-martingale approach to the general disorder problem, BSDEs with two RCLL reflecting obstacles driven by Brownian motion and Poisson measure and a related mixed zero-sum game, A unified approach to a priori estimates for supersolutions of BSDEs in general filtrations, Optimal double stopping time problem, Existence and uniqueness for \(\mathbb{D}\)-solutions of reflected BSDEs with two barriers without Mokobodzki's condition, Reflected solutions of backward SDE's, and related obstacle problems for PDE's, Preemptive investment under uncertainty, Nonlinear predictable representation and \({\mathbb{L}^1} \)-solutions of backward SDEs and second-order backward SDEs, Equal risk pricing under convex trading constraints, Optimal exercise of American put options near maturity: a new economic perspective, RBSDEs with optional barriers: monotone approximation, On the stochastic control-stopping problem, On the value of non-Markovian Dynkin games with partial and asymmetric information, A dynamic programming approach to distribution-constrained optimal stopping, Impulse control of piecewise-deterministic processes, Consumption-investment problem with subsistence consumption, bankruptcy, and random market coefficients, Reflected generalized BSDEs with random time and applications, Optimal stopping for dynamic convex risk measures, Mean-variance hedging via stochastic control and BSDEs for general semimartingales, Optimal control and zero-sum stochastic differential game problems of mean-field type, A Mckean-Vlasov approach to distributed electricity generation development, Measurability of semimartingale characteristics with respect to the probability law, No-arbitrage commodity option pricing with market manipulation, Applications of an infinite horizon BSDE's to an impulse control problem, Optimal control versus stochastic target problems: an equivalence result, A note on optional Snell envelopes and reflected backward SDEs, Second order backward SDE with random terminal time, On the strict value of the non-linear optimal stopping problem, Feynman-Kac's representation in time-space domains and sensitivity with respect to the domain, Cone-constrained continuous-time Markowitz problems, Reflected BSDE with a constraint and its applications in an incomplete market, Optimal multiple stopping time problem, On the pricing of American options, Reflected BSDEs with optional barrier in a general filtration, Nonanticipative risk sensitive control: the martingale method., The valuation of American call options on the minimum of two dividend-paying assets, Backward stochastic differential equations with reflection and weak assumptions on the coefficients, The root solution to the multi-marginal embedding problem: an optimal stopping and time-reversal approach, Reflected BSDEs on filtered probability spaces, Martingale approach to stochastic differential games of control and stopping, Zero-sum stochastic differential games and backward equations, Backward stochastic differential equations with reflection and Dynkin games, American options in a non-linear incomplete market model with default, Reflected generalized BSDEs with discontinuous barriers driven by a Lévy process, Modelling information flows by Meyer-\( \sigma \)-fields in the singular stochastic control problem of irreversible investment, Stochastic control for a class of nonlinear kernels and applications, Convex integral functionals of regular processes, Existence and uniqueness of viscosity solutions for nonlinear variational inequalities associated with mixed control, Switching problem and related system of reflected backward SDEs, Recursive utility optimization with concave coefficients, Event risk, contingent claims and the temporal resolution of uncertainty, The use of BSDEs to characterize the mean-variance hedging problem and the variance optimal martingale measure for defaultable claims, Analysis of an optimal stopping problem arising from hedge fund investing, A characterization of the martingale property of exponentially affine processes, The right time to sell a stock whose price is driven by Markovian noise, \(\pi \) options, The critical price for the American put in an exponential Lévy model, Stopping of functionals with discontinuity at the boundary of an open set, Reflected backward stochastic differential equations with two optional barriers, On randomized stopping, Optimal stopping of marked point processes and reflected backward stochastic differential equations, A framework for the dynamic programming principle and martingale-generated control correspondences, Reflected BSDEs with two optional barriers and monotone coefficient on general filtered space, American options in nonlinear markets, Reflected BSDEs and robust optimal stopping for dynamic risk measures with jumps, On the finite horizon optimal switching problem with random lag, Linear quadratic optimal control of conditional McKean-Vlasov equation with random coefficients and applications, Optimal expulsion and optimal confinement of a Brownian particle with a switching cost, Optimal stopping with \(f\)-expectations: the irregular case, Optimal stopping under adverse nonlinear expectation and related games, Second-order BSDEs with jumps: formulation and uniqueness, Impulse control problem on finite horizon with execution delay, Variational inequalities and the pricing of American options, Viscosity solutions of fully nonlinear second-order equations and optimal stochastic control in infinite dimensions. I: The case of bounded stochastic evolutions, Probabilistic solution of the American options, Optimal exploitation of a resource with stochastic population dynamics and delayed renewal, On the controller-stopper problems with controlled jumps, Bayesian sequential least-squares estimation for the drift of a Wiener process, Control and optimal stopping mean field games: a linear programming approach, Risk-sensitive optimal stopping with unbounded terminal cost function, On a stochastic representation theorem for Meyer-measurable processes, A finite horizon optimal switching problem with memory and application to controlled SDDEs, Control and stopping of a diffusion process on an interval, A sequential estimation problem with control and discretionary stopping, Two-barriers reflected backward doubly SDEs beyond right continuity, Interview with Ulf Hashagen: exhibitions and mathematical models in the nineteenth and twentieth centuries, A quickest detection problem with an observation cost, Non-linear Dynkin games over split stopping times, Solution examples of an impulse control problem, Feynman-Kac representation for Hamilton-Jacobi-Bellman IPDE, Switching game of backward stochastic differential equations and associated system of obliquely reflected backward stochastic differential equations, Randomized and backward SDE representation for optimal control of non-Markovian SDEs, Doubly reflected backward stochastic differential equations in the predictable setting