SZodixStudyAcademic Library

Dashboard Shelves Open access My library Inbox Notes Write Learn Alerts

More

Ask your library Notifications Quick cite Review

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

Non-linear pricing theory and backward stochastic differential equations · Study

ChapterShelves

ChapterNon-linear pricing theory and backward stochastic differential equations

Nicole El Karoui1997

Chapter1997

Non-linear pricing theory and backward stochastic differential equations

Nicole El Karoui · Marie-Claire Quenez

150 citations·0/0 files stored·Lecture notes in mathematics

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 Economic theories and models Risk and Portfolio 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 — 150 citations exist upstream.

References

2007Brownian Motion and Stochastic Calculus 1999Continuous Martingales and Brownian Motion 1971Optimum consumption and portfolio rules in a continuous-time model 1989Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework 1979Martingales and arbitrage in multiperiod securities markets 1993Dynamic Asset Pricing Theory.1981Martingales and stochastic integrals in the theory of continuous trading 2005Controlled Markov Processes and Viscosity Solutions

Cited by

2009CASH SUBADDITIVE RISK MEASURES AND INTEREST RATE AMBIGUITY 2010RISK MEASURES: RATIONALITY AND DIVERSIFICATION 2004Optimal derivatives design under dynamic risk measures 2001Donsker-Type Theorem for BSDEs 2017Reflected BSDEs when the obstacle is not right-continuous and optimal stopping 2001Free lunch and arbitrage possibilities in a financial market model with an insider

Related works

Explore the map →

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

2001A dynamic maximum principle for the optimization of recursive utilities under constraintsarticle · 17 shared references 2000Continuous‐Time Methods in Finance: A Review and an Assessmentarticle · 15 shared references 1997Optimal trading under constraintschapter · 15 shared references 2006Dynamic Portfolio Choice and Risk Aversionpreprint · 15 shared references 2004Nonlinear Expectations, Nonlinear Evaluations and Risk Measureschapter · 14 shared references 1998Backward Stochastic Differential Equations and Viscosity Solutions of Systems of Semilinear Parabolic and Elliptic PDEs of Second Orderchapter · 14 shared references

Details

Year1997

Typechapter

Published1997-01-01

VenueLecture notes in mathematics

ISSN-L0075-8434

Languageen

Citations150

Files0 public / 0

ShelfStochastic processes and financial applications

Identifiers

doi10.1007/bfb0092001

openalex_workW33873526

Links

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

2014Reflected BSDEs and robust optimal stopping for dynamic risk measures with jumps

2009Bid-ask dynamic pricing in financial markets with transaction costs and liquidity risk