相关论文: Bounded solutions to backward SDE's with jumps for…

We propose a novel numerical approach for nonlocal diffusion equations [8] with integrable kernels, based on the relationship between the backward Kolmogorov equation and backward stochastic differential equations (BSDEs) driven by L\`{e}vy…

We study the dynamics of the exponential utility indifference value process C(B;\alpha) for a contingent claim B in a semimartingale model with a general continuous filtration. We prove that C(B;\alpha) is (the first component of) the…

We consider a backward stochastic differential equation with a generator that can be subjected to delay, in the sense that its current value depends on the weighted past values of the solutions, for instance a distorted recent average.…

We investigate two-barriers-reflected backward stochastic differential equations with data from rank-based stochastic differential equation. More specifically, we focus on the solution of backward stochastic differential equations…

In this paper we study a class of infinite horizon fully coupled forward-backward stochastic differential equations (FBSDEs), that are stimulated by various continuous time future expectations models with random coefficients. Under standard…

Computational approaches to PDE-constrained optimization under uncertainty may involve finite-dimensional approximations of control and state spaces, sample average approximations of measures of risk and reliability, smooth approximations…

This paper considers utility indifference valuation of derivatives under model uncertainty and trading constraints, where the utility is formulated as an additive stochastic differential utility of both intertemporal consumption and…

In this paper we study, by probabilistic techniques, the convergence of the value function for a two-scale, infinite-dimensional, stochastic controlled system as the ratio between the two evolution speeds diverges. The value function is…

This paper is mainly a survey of recent research developments regarding methods for risk minimization in financial markets modeled by It\^o-L\'evy processes, but it also contains some new results on the underlying stochastic maximum…

We apply the concepts of utility based pricing and hedging of derivatives in stochastic volatility markets and introduce a new class of "reciprocal affine" models for which the indifference price and optimal hedge portfolio for pure…

The mean-variance hedging (MVH) problem is studied in a partially observable market where the drift processes can only be inferred through the observation of asset or index processes. Although most of the literatures treat the MVH problem…

In this paper, we consider a financial market with assets exposed to some risks inducing jumps in the asset prices, and which can still be traded after default times. We use a default-intensity modeling approach, and address in this…

We consider the optimal control problem of stochastic evolution equations in a Hilbert space under a recursive utility, which is described as the solution of a backward stochastic differential equation (BSDE). A very general maximum…

We study an optimal consumption and investment problem in a possibly incomplete market with general, not necessarily convex, stochastic constraints. We give explicit solutions for investors with exponential, logarithmic and power utility.…

In this paper we study the existence of stationary solutions for stochastic partial differential equations. We establish a new connection between $L_{\rho}^2({\mathbb{R}^{d}};{\mathbb{R}^{1}}) \otimes…

This paper considers the optimal portfolio selection problem in a dynamic multi-period stochastic framework with regime switching. The risk preferences are of exponential (CARA) type with an absolute coefficient of risk aversion which…

This article deals with the numerical resolution of backward stochastic differential equations. Firstly, we consider a rather general case where the filtration is generated by a Brownian motion and a Poisson random measure. We provide a…

We introduce and solve a new type of quadratic backward stochastic differential equation systems defined in an infinite time horizon, called \emph{ergodic BSDE systems}. Such systems arise naturally as candidate solutions to characterize…

In this paper we deal with the utility maximization problem with a general utility function. We derive a new approach in which we reduce the utility maximization problem with general utility to the study of a fully-coupled Forward-Backward…

We study the properties of nonlinear Backward Stochastic Differential Equations (BSDEs) driven by a Brownian motion and a martingale measure associated with a default jump with intensity process $(\lambda_t)$. We give a priori estimates for…