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

We propose some machine-learning-based algorithms to solve hedging problems in incomplete markets. Sources of incompleteness cover illiquidity, untradable risk factors, discrete hedging dates and transaction costs. The proposed algorithms…

We consider a ramification of the deep BSDE loss functional designed to apply for BSDEs on bounded domains, i.e. with random (unbounded) time horizons. We derive a general convergence rate of the loss functional; precisely for a class of…

The question of pricing and hedging a given contingent claim has a unique solution in a complete market framework. When some incompleteness is introduced, the problem becomes however more difficult. Several approaches have been adopted in…

The present paper provides a study of high-dimensional statistical arbitrage that combines factor models with the tools from stochastic control, obtaining closed-form optimal strategies which are both interpretable and computationally…

Driven by diverse applications, several recent models impose randomly switching boundary conditions on either a PDE or SDE. The purpose of this paper is to provide tools for calculating statistics of these models and to establish a…

Stochastic differential equations (SDEs) using jump-diffusion processes describe many natural phenomena at the microscopic level. Since they are commonly used to model economic and financial evolutions, the calibration and optimal control…

We study a class of reflected backward stochastic differential equations with nonpositive jumps and upper barrier. Existence and uniqueness of a minimal solution is proved by a double penalization approach under regularity assumptions on…

Stochastic optimization methods have been hugely successful in making large-scale optimization problems feasible when computing the full gradient is computationally prohibitive. Using the theory of modified equations for numerical…

In this article we consider an optimization problem of expected utility maximization of continuous-time trading in a financial market. This trading is constrained by a benchmark for a utility-based shortfall risk measure. The market…

In this paper, we study a multi-dimensional backward stochastic differential equation (BSDE) with oblique reflection, which is a BSDE reflected on the boundary of a special unbounded convex domain along an oblique direction, and which…

This paper studies an optimal forward investment problem in an incomplete market with model uncertainty, in which the underlying stocks depend on the correlated stochastic factors. The uncertainty stems from the probability measure chosen…

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 construct an aggregated version of the value processes associated with stochastic control problems, where the criterion to optimise is given by solutions to semi-martingale backward stochastic differential equations (BSDEs). The results…

In this paper we are concerned with backward stochastic differential equations with random default time and their applications to default risk. The equations are driven by Brownian motion as well as a mutually independent martingale…

In this short note we consider RBSDE with Lipschitz drivers and barrier processes that are optional and right upper semicontinuous. We treat the case when the barrier can be represented as a decreasing limit of cadlag barriers. We combine…

This paper studies the utility maximization problem of an agent with non-trivial endowment, and whose preferences are modeled by the maximal subsolution of a BSDE. We prove existence of an optimal trading strategy and relate our existence…

In this paper we investigate the pricing problem of a pure endowment contract when the insurer has a limited information on the mortality intensity of the policyholder. The payoff of this kind of policies depends on the residual life time…

This paper considers the problem of uniqueness of the solutions to a class of Markovian backward stochastic differential equations (BSDEs) which are also connected to certain nonlinear partial differential equation (PDE) through a…

We investigate the adaptive robust control framework for portfolio optimization and loss-based hedging under drift and volatility uncertainty. Adaptive robust problems offer many advantages but require handling a double optimization problem…

We study Backward Stochastic Differential Equations on a probability space equipped with a Brownian filtration. We assume that the terminal value and the generator at zero are merely integrable. Moreover, the generator is assumed to be…