A probabilistic method for a class of non-Lipschitz BSDEs with application to fund management
From MaRDI portal
Publication:5080488
Recommendations
- A numerical scheme to solve nonlinear BSDEs with Lipschitz and non-Lipschitz coefficients
- The solutions of BSDEs driven by continuous semi-martingales under non-Lipschitz conditions
- Backward stochastic differential equations with non-Lipschitz coefficients
- \(L^p\) solutions of BSDEs with a new kind of non-Lipschitz coefficients
- Recursive backward scheme for the solution of a BSDE with a non Lipschitz generator
Cites work
- scientific article; zbMATH DE number 140601 (Why is no real title available?)
- scientific article; zbMATH DE number 1985274 (Why is no real title available?)
- scientific article; zbMATH DE number 3277871 (Why is no real title available?)
- A BSDE approach to a risk-based optimal investment of an insurer
- A BSDE with delayed generator approach to pricing under counterparty risk and collateralization
- A Fourier cosine method for an efficient computation of solutions to BSDEs
- A convolution method for numerical solution of backward stochastic differential equations
- A forward-backward SDE approach to affine models
- A partially observed non-zero sum differential game of forward-backward stochastic differential equations and its application in finance
- A simple constructive approach to quadratic BSDEs with or without delay
- A stochastic approach to path-dependent nonlinear Kolmogorov equations via BSDEs with time-delayed generators and applications to finance
- About the pricing equations in finance
- Adapted solution of a backward stochastic differential equation
- BSDEs with terminal conditions that have bounded Malliavin derivative
- Backward SDEs for control with partial information
- Backward SDEs with superquadratic growth
- Backward Stochastic Differential Equations in Finance
- Backward stochastic difference equations and nearly time-consistent nonlinear expectations
- Backward stochastic differential equations and applications to optimal control
- Backward stochastic differential equations and partial differential equations with quadratic growth.
- Backward stochastic differential equations with locally Lipschitz coefficient
- Backward stochastic differential equations. From linear to fully nonlinear theory
- Backward-forward stochastic differential equations
- Computations of Greeks in a market with jumps via the Malliavin calculus
- Conjugate convex functions in optimal stochastic control
- Constrained Quadratic Risk Minimization via Forward and Backward Stochastic Differential Equations
- Consumption-Investment Models with Constraints
- Continuous-time stochastic control and optimization with financial applications
- Convergence of Recent Multistep Schemes for a Forward-Backward Stochastic Differential Equation
- Convex duality in constrained portfolio optimization
- DUALITY IN OPTIMAL INVESTMENT AND CONSUMPTION PROBLEMS WITH MARKET FRICTIONS
- Discrete-time approximation for continuously and discretely reflected BSDEs
- Existence, uniqueness and comparisons for BSDEs in general spaces
- Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control
- Inter‐temporal mutual‐fund management
- MUTUAL FUND PORTFOLIO CHOICE IN THE PRESENCE OF DYNAMIC FLOWS
- Malliavin calculus for backward stochastic differential equations and application to numerical solutions
- Markovian quadratic and superquadratic BSDEs with an unbounded terminal condition
- Mean field approach to stochastic control with partial information
- Mean-variance asset-liability management problem under non-Markovian regime-switching models
- Mild solutions to the dynamic programming equation for stochastic optimal control problems
- Mutual fund competition in the presence of dynamic flows
- Numerical Fourier method and second-order Taylor scheme for backward SDEs in finance
- On Malliavin's differentiability of BSDEs with time delayed generators driven by Brownian motions and Poisson random measures
- On Weak Solutions of Backward Stochastic Differential Equations
- On the existence and uniqueness of solutions to FBSDEs in a non-degenerate case.
- Optimal consumption and portfolio policies when asset prices follow a diffusion process
- Optimal control of predictive mean-field equations and applications to finance
- Optimal control of stochastic delay equations and time-advanced backward stochastic differential equations
- Optimum consumption and portfolio rules in a continuous-time model
- Poisson discretizations of Wiener functionals and Malliavin operators with Wasserstein estimates
- Quadratic BSDEs with convex generators and unbounded terminal conditions
- Regularity properties for general HJB equations: a backward stochastic differential equation method
- Representation theorems for backward stochastic differential equations
- Smooth value functions for a class of nonsmooth utility maximization problems
- Stochastic analysis in discrete and continuous settings. With normal martingales.
- The Malliavin Calculus and Related Topics
- Unemployment risks and optimal retirement in an incomplete market
- Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation
- Wealth-path dependent utility maximization in incomplete markets
Cited in
(2)
This page was built for publication: A probabilistic method for a class of non-Lipschitz BSDEs with application to fund management
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5080488)
