SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Dual representation of minimal supersolutions of convex BSDEs
16 references·0 citing·31 second hop
Dual representation of minimal supersolutions of convex BSDEs (2016)Dual representation of minimal supersolut…Minimal supersolutions of convex BSDEs (2013)Minimal supersolutions of con…Backward SDEs with superquadratic growth (2010)Backward SDEs with superquadr…Representation of the penalty term of dynamic concave utilities (2009)Representation of the penalty…CASH SUBADDITIVE RISK MEASURES AND INTEREST RATE AMBIGUITY (2009)CASH SUBADDITIVE RISK MEASURE…Pricing, Hedging and Optimally Designing Derivatives Via Minimization of Risk Measures (2007)Pricing, Hedging and Optimall…Dynamic risk measures: Time consistency and risk measures from BMO martingales (2007)Dynamic risk measures: Time c…Risk measures via -expectations (2006)Risk measures via -expectatio…Utility maximization in incomplete markets (2005)Utility maximization in incom…Stochastic Finance (2004)Stochastic FinanceStochastic Finance: An Introduction in Discrete Time (2002)Stochastic Finance: An Introd…Backward stochastic differential equations and partial differential equations with quadratic growth (2000)Backward stochastic different…A Compactness Principle for Bounded Sequences of Martingales with Applications (1999)A Compactness Principle for B…Backward Stochastic Differential Equations in Finance (1997)Backward Stochastic Different…Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market (1995)Dynamic Programming and Prici…Continuous Exponential Martingales and BMO (1994)Continuous Exponential Martin…Adapted solution of a backward stochastic differential equation (1990)Adapted solution of a backwar…Nonlinear Expectations, Nonlinear Evaluations and Risk Measures (2004)Backward stochastic differential equations and quasilinear parabolic partial differential equations (2005)BSDE with quadratic growth and unbounded terminal value (2006)Martingales and arbitrage in multiperiod securities markets (1979)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)G-Expectation, G-Brownian Motion and Related Stochastic Calculus of Itô Type (2007)Function Spaces and Capacity Related to a Sublinear Expectation: Application to G-Brownian Motion Paths (2010)Optimum consumption and portfolio rules in a continuous-time model (1971)Inf-convolution of risk measures and optimal risk transfer (2005)Quadratic BSDEs with convex generators and unbounded terminal conditions (2007)Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)Brownian Motion and Stochastic Calculus (2007)Coherent Measures of Risk (1999)Dynamic exponential utility indifference valuation (2005)DYNAMIC INDIFFERENCE VALUATION VIA CONVEX RISK MEASURES (2007)Survey on normal distributions, central limit theorem, Brownian motion and the related stochastic calculus under sublinear expectations (2009)Continuous Martingales and Brownian Motion (1999)Representation results for law invariant time consistent functions (2009)COMPOSITION OF TIME-CONSISTENT DYNAMIC MONETARY RISK MEASURES IN DISCRETE TIME (2011)Dynamic Risk Measures (2011)The Pricing of Options and Corporate Liabilities (1973)Reflected solutions of backward SDE's, and related obstacle problems for PDE's (1997)Theory of rational option pricing (2005)Partial Differential Equations (2010)Generalized deviations in risk analysis (2005)Nonlinear Expectations and Stochastic Calculus under Uncertainty (2019)Exponential Hedging and Entropic Penalties (2002)Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging (2006)Coherent multiperiod risk adjusted values and Bellman’s principle (2006)AN OLD‐NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT (2007)Robustness and sensitivity analysis of risk measurement procedures (2010)
this work references cited by second hop

References

  • 1990Adapted solution of a backward stochastic differential equation2,676 cited
  • 1997Backward Stochastic Differential Equations in Finance2,339 cited
  • 2002Stochastic Finance: An Introduction in Discrete Time1,190 cited
  • 2000Backward stochastic differential equations and partial differential equations with quadratic growth763 cited
  • 2004Stochastic Finance701 cited
  • 1995Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market649 cited
  • 2005Utility maximization in incomplete markets425 cited
  • 1994Continuous Exponential Martingales and BMO422 cited
  • 2006Risk measures via -expectations289 cited
  • 2009Representation of the penalty term of dynamic concave utilities149 cited
  • 2007Pricing, Hedging and Optimally Designing Derivatives Via Minimization of Risk Measures148 cited
  • 2009CASH SUBADDITIVE RISK MEASURES AND INTEREST RATE AMBIGUITY144 cited
  • 2007Dynamic risk measures: Time consistency and risk measures from BMO martingales130 cited
  • 2010Backward SDEs with superquadratic growth95 cited
  • 1999A Compactness Principle for Bounded Sequences of Martingales with Applications68 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 2013Minimal supersolutions of convex BSDEs36 cited
  • Cited by

    No citing works inside the corpus for this window.