相关论文: BSDEs in Utility Maximization with BMO Market Pric…

We introduce a novel class of semilinear nonlocal backward stochastic partial differential equations (BSPDE) on half-spaces driven by an infinite-dimensional c\`adl\`ag martingale. The equations exhibit a degeneracy and have no explicit…

We study an optimal control problem related to swing option pricing in a general non-Markovian setting in continuous time. As a main result we show that the value process solves a first-order non-linear backward stochastic partial…

Using properties of backward stochastic differential equations we give new proofs of some well known results on BMO martingales and improve some estimates of BMO norms.

We consider a utility-maximization problem in a general semimartingale financial model, subject to constraints on the number of shares held in each risky asset. These constraints are modeled by predictable convex-set-valued processes whose…

We introduce the entropic measure transform (EMT) problem for a general process and prove the existence of a unique optimal measure characterizing the solution. The density process of the optimal measure is characterized using a…

In this paper, we study the solvability of anticipated backward stochastic differential equations (BSDEs, for short) with quadratic growth for one-dimensional case and multi-dimensional case. In these BSDEs, the generator, which is of…

We consider a backward stochastic differential equation with jumps (BSDEJ) which is driven by a Brownian motion and a Poisson random measure. We present two candidate-approximations to this BSDEJ and we prove that the solution of each…

In this paper, we consider scaling limits of exponential utility indifference prices for European contingent claims in the Bachelier model. We show that the scaling limit can be represented in terms of the \emph{specific relative entropy},…

In this paper, we consider a continuous-time Markov decision process (CTMDP) in Borel spaces, where the certainty equivalent with respect to the exponential utility of the total undiscounted cost is to be minimized. The cost rate is…

As is known, an option price is a solution to a certain partial differential equation (PDE) with terminal conditions (payoff functions). There is a close association between the solution of PDE and the solution of a backward stochastic…

This work takes up the challenges of utility maximization problem when the market is indivisible and the transaction costs are included. First there is a so-called solvency region given by the minimum margin requirement in the problem…

We establish some well-posedness and comparison results for BSDEs driven by one- and multi-dimensional martingales. On the one hand, our approach is largely motivated by results and methods developed in Carbone et al. (2008) and El Karoui…

We establish the existence and characterization of a primal and a dual facelift - discontinuity of the value function at the terminal time - for utility-maximization in incomplete semimartingale-driven financial markets. Unlike in the…

This article deals with the numerical resolution of Markovian backward stochastic differential equations (BSDEs) with drivers of quadratic growth with respect to $z$ and bounded terminal conditions. We first show some bound estimates on the…

This paper studies the problem of maximizing expected utility from terminal wealth in a semi-static market composed of derivative securities, which we assume can be traded only at time zero, and of stocks, which can be traded continuously…

We analyze a class of multidimensional linear-quadratic stochastic control problems with random coefficients, motivated by multi-asset optimal trade execution. The problems feature non-diffusive controlled state dynamics and a terminal…

This paper studies a competitive optimal portfolio selection problem in a model where the interest rate, the appreciation rate and volatility rate of the risky asset are all stochastic processes, thus forming a non-Markovian financial…

We refine the solvability of quadratic semimartingale BSDEs by employing a Lipschitz-quadratic regularization procedure. In the first step, we prove an existence and uniqueness result for a class of Lipschitz-quadratic BSDEs. A…

We consider a discrete-time version of the popular optimal dividend pay-out problem in risk theory. The novel aspect of our approach is that we allow for a risk averse insurer, i.e., instead of maximising the expected discounted dividends…

We investigate a class of quadratic backward stochastic differential equations (BSDEs) with generators singular in $ y $. First, we establish the existence of solutions and a comparison theorem, thereby extending results in the literature.…