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ArticleBSDEs with jumps, optimization and applications to dynamic risk measures

Marie-Claire Quenez2013

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Articlebronze2013

BSDEs with jumps, optimization and applications to dynamic risk measures

Marie-Claire Quenez · Agnès Sulem

151 citations·0/0 files stored·Stochastic Processes and their Applications

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Stochastic processes and financial applications Risk and Portfolio Optimization Probability and Risk Models

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References

2005Stochastic Integration and Differential Equations 1990Adapted solution of a backward stochastic differential equation 1997Backward Stochastic Differential Equations in Finance 2002Stochastic Finance: An Introduction in Discrete Time 2005Backward stochastic differential equations and quasilinear parabolic partial differential equations 1997Backward stochastic differential equations and integral-partial differential equations 1994Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps 2004Risk measures for the 21st century

Cited by

2015BSDEs with monotone generator driven by Brownian and Poisson noises in a general filtration 2017Reflected BSDEs when the obstacle is not right-continuous and optimal stopping 2012Forward–Backward Stochastic Differential Games and Stochastic Control under Model Uncertainty 2014Reflected BSDEs and robust optimal stopping for dynamic risk measures with jumps 2013Infinite horizon optimal control of forward–backward stochastic differential equations with delay

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2014Reflected BSDEs and robust optimal stopping for dynamic risk measures with jumpsarticle · 7 shared references 2015BSDEs with monotone generator driven by Brownian and Poisson noises in a general filtrationarticle · 6 shared references 2008Reflected backward stochastic differential equation with jumps and RCLL obstaclearticle · 6 shared references 2017Reflected BSDEs when the obstacle is not right-continuous and optimal stoppingarticle · 6 shared references 2015A Fourier Cosine Method for an Efficient Computation of Solutions to BSDEsarticle · 6 shared references 2015Feynman–Kac representation for Hamilton–Jacobi–Bellman IPDEarticle · 6 shared references

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Year2013

Typearticle

Published2013-03-13

VenueStochastic Processes and their Applications

ISSN-L0304-4149

Languageen

Citations151

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.spa.2013.02.016

openalex_workW1978646054

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