相关论文: Dynamic exponential utility indifference valuation

Gilboa and Schmeidler's (1989) uncertainty aversion plays a central role in decision theory and economics, yet many inconsistent behaviors have been observed in experiments. Motivated by this, we study an axiom postulating a minimal degree…

Employing a limiting case of a conjecture for constructing piecewise separable-variables functions, the elements of the Pseudoanalytic Function Theory are used for numerically approaching solutions of the forward Dirichlet boundary value…

This article deals with the asymptotic behaviour as $t\to +\infty$ of the survival function $P[T > t],$ where $T$ is the first passage time above a non negative level of a random process starting from zero. In many cases of physical…

We investigate a continuous-time investment-consumption problem with model uncertainty in a general diffusion-based market with random model coefficients. We assume that a power utility investor is ambiguity-averse, with the preference to…

We analyze the errors arising from discrete readjustment of the hedging portfolio when hedging options in exponential Levy models, and establish the rate at which the expected squared error goes to zero when the readjustment frequency…

There is an abundance of useful fluctuation identities for one-sided L\'evy processes observed up to an independent exponentially distributed time horizon. We show that all the fundamental formulas generalize to time horizons having matrix…

The exponential mechanism is a fundamental tool of Differential Privacy (DP) due to its strong privacy guarantees and flexibility. We study its extension to settings with summaries based on infinite dimensional outputs such as with…

We study the forward investment performance process (FIPP) in an incomplete semimartingale market model with closed and convex portfolio constraints, when the investor's risk preferences are of the power form. We provide necessary and…

We calculate explicitly the optimal strategy for an investor with exponential utility function when the stock price follows an autoregressive Gaussian process. We also calculate its performance and analyse it when the trading horizon tends…

In the theory of riskfree hedges in continuous time finance, one can start with the delta-hedge and derive the option pricing equation, or one can start with the replicating, self-financing hedging strategy and derive both the delta-hedge…

We give elementary proof of a stability result concerning an exponential asymptotic ($t\to\infty$) for filtering estimates generated by wrongly initialized Wonham filter. This proof is based on new exponential bound having independent…

We revisit the classical topic of quadratic and linear mean-variance equilibria with both financial and real assets. The novelty of our results is that they are the first allowing for equilibrium prices driven by general semimartingales and…

Consider the mutually catalytic branching process with finite branching rate $\gamma$. We show that as $\gamma\to\infty$, this process converges in finite-dimensional distributions (in time) to a certain discontinuous process. We give…

Equity premium, the surplus returns of stocks over bonds, has been an enduring puzzle. While numerous prior works approach the problem assuming the utility of money is invariant across contexts, our approach implies that in efficient…

We consider the complement value problem for a class of second order elliptic integro-differential operators. Let $D$ be a bounded Lipschitz domain of $\mathbb{R}^d$. Under mild conditions, we show that there exists a unique bounded…

In an incomplete financial market with general continuous semimartingale dynamics; we model an investor with log-utility preferences who, in addition to an initial capital, receives units of a non-traded endowment process. Using duality…

We study the continuous time portfolio optimization model on the market where the mean returns of individual securities or asset categories are linearly dependent on underlying economic factors. We introduce the functional $Q_\gamma$…

In this paper we study dynamic pricing mechanism of contingent claims. A typical model of such pricing mechanism is the so-called g-expectation $E^g_{s,t}[X]$ defined by the solution of the backward stochastic differential equation with…

Given the solution $f$ of the sequential fractional differential equation $_{a}D_{t}^{\alpha}(_{a}D_{t}^{\alpha}f)+P(t)f=0$, $t\in[b,c]$, where $-\infty<a<b<c<+\infty$, $\alpha\in({1/2},1)$ and $P:[a,+\infty)\to[0,P_{\infty}]$,…

This work is devoted to the study of a fully discrete scheme for a repulsive chemotaxis with quadratic production model. By following the ideas presented in [Guilen-Gonzalez et al], we introduce an auxiliary variable (the gradient of the…