Pages that link to "Item:Q3460679"
From MaRDI portal
The following pages link to UTILITY MAXIMIZATION WITH RANDOM HORIZON: A BSDE APPROACH (Q3460679):
Displaying 14 items.
- Minimal supersolutions for BSDEs with singular terminal condition and application to optimal position targeting (Q737168) (← links)
- Existence and uniqueness results for BSDE with jumps: the whole nine yards (Q1722017) (← links)
- Optimal investment for insurance company with exponential utility and wealth-dependent risk aversion coefficient (Q1731595) (← links)
- Asymptotic optimality of a first-order approximate strategy for an exponential utility maximization problem with a small coefficient of wealth-dependent risk aversion (Q2045132) (← links)
- Locally Lipschitz BSDE driven by a continuous martingale a path-derivative approach (Q2238894) (← links)
- Pricing and hedging equity-linked life insurance contracts beyond the classical paradigm: the principle of equivalent forward preferences (Q2273979) (← links)
- On the weak representation property in progressively enlarged filtrations with an application in exponential utility maximization (Q2289809) (← links)
- Information uncertainty related to marked random times and optimal investment (Q2296112) (← links)
- A Monte Carlo method for backward stochastic differential equations with Hermite martingales (Q2417976) (← links)
- Limit behaviour of BSDE with jumps and with singular terminal condition (Q2954247) (← links)
- Quadratic BSDEs with jumps and related PIDEs (Q5086911) (← links)
- Indifference pricing of pure endowments via BSDEs under partial information (Q5140641) (← links)
- Risk-sharing and optimal contracts with large exogenous risks (Q6098176) (← links)
- Epstein‐Zin utility maximization on a random horizon (Q6146695) (← links)
