Classical solutions to reaction-diffusion systems for hedging problems with interacting Itô and point processes
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Abstract: We use probabilistic methods to study classical solutions for systems of interacting semilinear parabolic partial differential equations. In a modeling framework for a financial market with interacting Ito and point processes, such PDEs are shown to provide a natural description for the solution of hedging and valuation problems for contingent claims with a recursive payoff structure.
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Cited in
(33)- Mean-variance portfolio selection for a non-life insurance company
- Dynamic investment strategies to reaction-diffusion systems based upon stochastic differential utilities
- Optimal consumption and investment for a large investor: an intensity-based control framework
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- Fitted finite volume method for indifference pricing in an exponential utility regime-switching model
- Systems of ergodic BSDEs arising in regime switching forward performance processes
- Optimal portfolio in a regime-switching model
- Probabilistic models of the conservation and balance laws in switching regimes
- Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging
- Lumped finite elements for reaction-cross-diffusion systems on stationary surfaces
- Utility indifference pricing and hedging for structured contracts in energy markets
- Backward SDE representation for stochastic control problems with nondominated controlled intensity
- Continuous-time mean field games with finite state space and common noise
- Pricing and hedging of general rating-sensitive claims in a jump-diffusion market model in the presence of stochastic factors
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- ACCOUNTING FOR RISK AVERSION, VESTING, JOB TERMINATION RISK AND MULTIPLE EXERCISES IN VALUATION OF EMPLOYEE STOCK OPTIONS
- Mild to classical solutions for XVA equations under stochastic volatility
- Optimal investment and reinsurance strategies for an insurer with stochastic economic factor
- Optimal investment and consumption in a Black-Scholes market with Lévy-driven stochastic coefficients
- Optimization of two-level methods for DG discretizations of reaction-diffusion equations
- Optimal mean-variance efficiency of a family with life insurance under inflation risk
- Risk-sensitive asset management and cascading defaults
- Portfolio Choice with Market--Credit-Risk Dependencies
- Asset allocation with contagion and explicit bankruptcy procedures
- Optimal investment and risk control for an insurer with stochastic factor
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