Risk minimization in financial markets modeled by Itô-Lévy processes

DOI10.1007/s13370-014-0248-9zbMath1334.60122arXiv1402.3131OpenAlexW2054375998MaRDI QIDQ497032

Bernt Øksendal, Agnès Sulem

Publication date: 23 September 2015

Published in: Afrika Matematika (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1402.3131

zbMATH Keywords

maximum principlestochastic controlbackward stochastic differential equationsstochastic differential gamerisk minimizationutility optimizationItō-Lévy processes

Mathematics Subject Classification ID

Related Items (22)

Optimal control of systems with noisy memory and BSDEs with Malliavin derivatives ⋮ A Hida–Malliavin white noise calculus approach to optimal control ⋮ Risk minimization for an insurer with investment and reinsurance via g-expectation ⋮ A note on representation of BSDE-based dynamic risk measures and dynamic capital allocations ⋮ New approach to optimal control of stochastic Volterra integral equations ⋮ Singular recursive utility ⋮ PRICING TEMPERATURE DERIVATIVES UNDER WEATHER FORECASTS ⋮ The stochastic Leibniz formula for Volterra integrals under enlarged filtrations ⋮ Optimal insider control of stochastic partial differential equations ⋮ Optimal control of forward-backward mean-field stochastic delayed systems ⋮ Dynamic risk measure for BSVIE with jumps and semimartingale issues ⋮ Forward-backward stochastic differential equation games with delay and noisy memory ⋮ Maximum principle for forward-backward control system driven by Itô-Lévy processes under initial-terminal constraints ⋮ Dynamic robust duality in utility maximization ⋮ Model uncertainty stochastic mean-field control ⋮ Minimal variance hedging in multicurve interest rate modeling ⋮ A Donsker delta functional approach to optimal insider control and applications to finance ⋮ Stochastic differential games with inside information ⋮ Mean-field FBSDE and optimal control ⋮ An anticipative stochastic minimum principle under enlarged filtrations ⋮ The optimal control of fully-coupled forward-backward doubly stochastic systems driven by Itô-Lévy processes ⋮ Malliavin calculus and optimal control of stochastic Volterra equations

Cites Work

• Unnamed Item
• Unnamed Item
• Backward stochastic differential equations with jumps and related nonlinear expectations
• A note on the spectra of operator Schur matrices and the maximal group of the algebra of triangular conservative matrices
• Convex measures of risk and trading constraints
• Solution of forward-backward stochastic differential equations
• Matrix maps on sequence spaces associated with sets of integers
• Forward-backward stochastic differential games and stochastic control under model uncertainty
• BSDEs with jumps, optimization and applications to dynamic risk measures
• Coherent Measures of Risk
• A Stochastic HJB Equation for Optimal Control of Forward-Backward SDEs
• Risk minimizing portfolios and HJBI equations for stochastic differential games
• Stochastic Differential Utility
• Temporal Resolution of Uncertainty and Dynamic Choice Theory
• Martingale Representation of Functionals of Lévy Processes
• Stackelberg equilibria in a continuous-time vertical contracting model with uncertain demand and delayed information
• Applied stochastic control of jump diffusions
• Stochastic finance. An introduction in discrete time

This page was built for publication: Risk minimization in financial markets modeled by Itô-Lévy processes