SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

BSDEs driven by time-changed Lévy noises and optimal control · Study

ArticleShelves

ArticleBSDEs driven by time-changed Lévy noises and optimal control

Giulia Di Nunno2014

OA

Articlebronze2014

BSDEs driven by time-changed Lévy noises and optimal control

Giulia Di Nunno · Steffen Sjursen

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

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Stochastic processes and financial applications Nonlinear Differential Equations Analysis Fuzzy Systems and Optimization

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 17 citations exist upstream.

References

1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1987The Pricing of Options on Assets with Stochastic Volatilities 2003Stochastic Differential Equations 2003Limit Theorems for Stochastic Processes 2006The Malliavin Calculus and Related Topics 2004Lévy Processes and Stochastic Calculus 1991Continuous Martingales and Brownian Motion 1995The Malliavin Calculus and Related Topics

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2006Martingale Representation and All Thatchapter · 7 shared references 2018Existence and uniqueness results for BSDE with jumps: the whole nine yardsarticle · 6 shared references 2013Backward Stochastic Differential Equationschapter · 6 shared references 2007On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatilityarticle · 5 shared references 2010Estimation and pricing under long-memory stochastic volatilityarticle · 5 shared references 2006A Didactic Note on Affine Stochastic Volatility Modelschapter · 5 shared references

Details

Year2014

Typearticle

Published2014-01-02

VenueStochastic Processes and their Applications

ISSN-L0304-4149

Languageen

Citations17

Files0 public / 0

ShelfStochastic processes and financial applications

Identifiers

doi10.1016/j.spa.2013.12.010

openalex_workW2058818786

Links

Imported from OpenAlex (CC0) — nothing here is generated.