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ArticleRisk minimization in financial markets modeled by Itô-Lévy processes

Bernt Øksendal2014

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Articlegreen2014

Risk minimization in financial markets modeled by Itô-Lévy processes

Bernt Øksendal · Agnès Sulem

42 citations·0/0 files stored·Afrika Matematika

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

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References

1999Coherent Measures of Risk 2003Limit Theorems for Stochastic Processes 1978Temporal Resolution of Uncertainty and Dynamic Choice Theory 1991Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis 2002Convex measures of risk and trading constraints 1992Stochastic Differential Utility 2005Applied Stochastic Control of Jump Diffusions 2002Putting order in risk measures

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2016Optimal control of systems with noisy memory and BSDEs with Malliavin derivatives 2019Dynamic risk measure for BSVIE with jumps and semimartingale issues

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Year2014

Typearticle

Published2014-05-17

VenueAfrika Matematika

ISSN-L1012-9405

Languageen

Citations42

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s13370-014-0248-9

openalex_workW2054375998

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