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Monotone stability of quadratic semimartingales with applications to unbounded general quadratic BSDEs
16 references·16 citing·22 second hopsampled
Monotone stability of quadratic semimartingales with applications to unbounded general quadratic BSDEs (2013)Monotone stability of quadratic semimarti…Indifference Pricing (2008)Indifference PricingSolvability of backward stochastic differential equations with quadratic growth (2007)Solvability of backward stoch…Quadratic BSDEs with convex generators and unbounded terminal conditions (2007)Quadratic BSDEs with convex g…BSDE with quadratic growth and unbounded terminal value (2006)BSDE with quadratic growth an…Utility maximization in incomplete markets (2005)Utility maximization in incom…Stochastic Integration and Differential Equations. Second Edition. (2005)Stochastic Integration and Di…Stochastic Integration and Differential Equations (2005)Stochastic Integration and Di…Dynamic exponential utility indifference valuation (2005)Dynamic exponential utility i…Stochastic Finance: An Introduction in Discrete Time (2002)Stochastic Finance: An Introd…Exponential Hedging and Entropic Penalties (2002)Exponential Hedging and Entro…The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets (2000)The Minimal Entropy Martingal…Pricing Via Utility Maximization and Entropy (2000)Pricing Via Utility Maximizat…Backward stochastic differential equations and partial differential equations with quadratic growth (2000)Backward stochastic different…Backward stochastic differential equations with continuous coefficient (1997)Backward stochastic different…Backward Stochastic Differential Equations in Finance (1997)Backward Stochastic Different…Adapted solution of a backward stochastic differential equation (1990)Adapted solution of a backwar…Generalized Risk-Sensitive Optimal Control and Hamilton–Jacobi–Bellman Equation (2020)Generalized Risk-Sensitive Op…Open-loop equilibrium reinsurance-investment strategy under mean–variance criterion with stochastic volatility (2019)Open-loop equilibrium reinsur…Contracting Theory with Competitive Interacting Agents (2019)Contracting Theory with Compe…Quadratic backward stochastic differential equations driven by G -Brownian motion: Discrete solutions and approximation (2018)Quadratic backward stochastic…Open-Loop Equilibrium Strategy for Mean-Variance Portfolio Problem Under Stochastic Volatility (2018)Open-Loop Equilibrium Strateg…Existence and uniqueness results for BSDE with jumps: the whole nine yards (2018)Existence and uniqueness resu…A class of globally solvable Markovian quadratic BSDE systems and applications (2018)A class of globally solvable …Quadratic–exponential growth BSDEs with jumps and their Malliavin’s differentiability (2017)Quadratic–exponential growth …Quadratic BSDE with $\mathbb{L}^{2}$-terminal data: Krylov’s estimate, Itô–Krylov’s formula and existence results (2017)Quadratic BSDE with $\mathbb{…Numerical simulation of quadratic BSDEs (2016)Numerical simulation of quadr…Moral Hazard in Dynamic Risk Management (2016)Moral Hazard in Dynamic Risk …Stochastic control for a class of nonlinear kernels and applications (2015)Stochastic control for a clas…Quadratic BSDEs with jumps: a fixed-point approach (2015)Quadratic BSDEs with jumps: a…On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions: The critical case (2015)On the uniqueness of solution…Second order backward stochastic differential equations with quadratic growth (2013)Second order backward stochas…A simple constructive approach to quadratic BSDEs with or without delay (2013)A simple constructive approac…Nonlinear Expectations, Nonlinear Evaluations and Risk Measures (2004)Backward stochastic differential equations and quasilinear parabolic partial differential equations (2005)Optimum consumption and portfolio rules in a continuous-time model (1971)Inf-convolution of risk measures and optimal risk transfer (2005)Optimal replication of contingent claims under transaction costs (1989)Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin (1995)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)The cumulant process and Esscher's change of measure (2002)Dynamic Monetary Risk Measures for Bounded Discrete-Time Processes (2006)Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)Brownian Motion and Stochastic Calculus (2007)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)Modeling Term Structures of Defaultable Bonds (1999)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The distribution of realized stock return volatility (2001)Backward Stochastic Differential Equations and Viscosity Solutions of Systems of Semilinear Parabolic and Elliptic PDEs of Second Order (1998)Option pricing and Esscher transform under regime switching (2005)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 2005Stochastic Integration and Differential Equations4,594 cited
  • 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
  • 2000The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets584 cited
  • 2000Pricing Via Utility Maximization and Entropy454 cited
  • 2005Utility maximization in incomplete markets425 cited
  • 2002Exponential Hedging and Entropic Penalties369 cited
  • 1997Backward stochastic differential equations with continuous coefficient354 cited
  • 2006BSDE with quadratic growth and unbounded terminal value314 cited
  • 2005Stochastic Integration and Differential Equations. Second Edition.306 cited
  • 2007Quadratic BSDEs with convex generators and unbounded terminal conditions223 cited
  • 2005Dynamic exponential utility indifference valuation192 cited
  • 2008Indifference Pricing191 cited

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2007
Solvability of backward stochastic differential equations with quadratic growth
186 cited

Cited by

  • 2016Moral Hazard in Dynamic Risk Management90 cited
  • 2013A simple constructive approach to quadratic BSDEs with or without delay76 cited
  • 2018A class of globally solvable Markovian quadratic BSDE systems and applications74 cited
  • 2015Stochastic control for a class of nonlinear kernels and applications59 cited
  • 2016Numerical simulation of quadratic BSDEs58 cited
  • 2019Contracting Theory with Competitive Interacting Agents51 cited
  • 2018Existence and uniqueness results for BSDE with jumps: the whole nine yards42 cited
  • 2017Quadratic BSDE with $\mathbb{L}^{2}$-terminal data: Krylov’s estimate, Itô–Krylov’s formula and existence results39 cited
  • 2020Generalized Risk-Sensitive Optimal Control and Hamilton–Jacobi–Bellman Equation36 cited
  • 2018Open-Loop Equilibrium Strategy for Mean-Variance Portfolio Problem Under Stochastic Volatility34 cited
  • 2015On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions: The critical case32 cited
  • 2019Open-loop equilibrium reinsurance-investment strategy under mean–variance criterion with stochastic volatility32 cited
  • 2013Second order backward stochastic differential equations with quadratic growth29 cited
  • 2017Quadratic–exponential growth BSDEs with jumps and their Malliavin’s differentiability29 cited
  • 2015Quadratic BSDEs with jumps: a fixed-point approach28 cited
  • 2018Quadratic backward stochastic differential equations driven by G -Brownian motion: Discrete solutions and approximation26 cited