Keywords: معادله دیفرانسیل تصادفی برگشتی; C61; G11; G22; Asset-liability management; Derivative investment; Mean-variance criterion; Stochastic volatility; Backward stochastic differential equation;
مقالات ISI معادله دیفرانسیل تصادفی برگشتی (ترجمه نشده)
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Keywords: معادله دیفرانسیل تصادفی برگشتی; 35R09; 35D40; 60G99; 60H30; 60J75; Integro-partial differential equations; Viscosity solution; Backward stochastic differential equation; Singular condition;
Keywords: معادله دیفرانسیل تصادفی برگشتی; Mean-variance model; Stochastic LQ control; Backward stochastic differential equation; BMO-martingale;
Keywords: معادله دیفرانسیل تصادفی برگشتی; Consumption-investment-reinsurance strategy; Time inconsistence; Equilibrium strategy; Backward stochastic differential equation; Integral equation;
Keywords: معادله دیفرانسیل تصادفی برگشتی; Backward stochastic differential equation; Life insurance; Multistate models; Markov process; Mean-field; Surrender value; Thiele's equation;
Keywords: معادله دیفرانسیل تصادفی برگشتی; 60H10; 60G40; 60H30Mean-field; Backward stochastic differential equation; Subdifferential operator; McKean–Vlasov equation; Viscosity solution
Keywords: معادله دیفرانسیل تصادفی برگشتی; IM52; IE13; IB91; Investment-reinsurance; Mean-variance criterion; Backward stochastic differential equation; Efficient strategy; Efficient frontier;
Keywords: معادله دیفرانسیل تصادفی برگشتی; Principal-agent problem; Cumulative prospect theory; Contracts; Moral hazard; Control; Backward stochastic differential equation;
Keywords: معادله دیفرانسیل تصادفی برگشتی; Backward stochastic differential equation; Fractional Brownian motion; Quasi-conditional expectation; Jensen's inequality; Comparison theorem; Comonotonic theorem;
Keywords: معادله دیفرانسیل تصادفی برگشتی; 97M30; 91G80s; 60H30; Investment; Consumption; Reinsurance; Backward stochastic differential equation; Malliavin calculus;
Keywords: معادله دیفرانسیل تصادفی برگشتی; Stochastic maximum principle; Mean-field model; Stochastic delay differential equation; Backward stochastic differential equation; Mean–variance portfolio selection
Keywords: معادله دیفرانسیل تصادفی برگشتی; Backward stochastic differential equation; Non-integrable data; Viscosity solutions of partial differential equations
A kind of LQ non-zero sum differential game of backward stochastic differential equation with asymmetric information
Keywords: معادله دیفرانسیل تصادفی برگشتی; Asymmetric information; Backward stochastic differential equation; Feedback Nash equilibrium point; Filter; Non-zero sum differential game;
Maximum principle for an optimal control problem associated to a SPDE with nonlinear boundary conditions
Keywords: معادله دیفرانسیل تصادفی برگشتی; Stochastic control; Maximum principle; Stochastic evolution equation; Backward stochastic differential equation;
A representation theorem for generators of BSDEs with general growth generators in y and its applications
Keywords: معادله دیفرانسیل تصادفی برگشتی; 60H10; 35K58; Backward stochastic differential equation; Representation theorem; General growth; Weak monotonicity; Viscosity solution;
Valuing American options by simulation: A BSDEs approach
Keywords: معادله دیفرانسیل تصادفی برگشتی; American option; Backward stochastic differential equation; Obstacle problem; Numerical approximation
Representation theorems for generators of BSDEs with monotonic and convex growth generators
Keywords: معادله دیفرانسیل تصادفی برگشتی; 60H10; Backward stochastic differential equation; Representation theorem of generator; Converse comparison theorem; Convex growth;
Lp solutions of multidimensional BSDEs with weak monotonicity and general growth generators
Keywords: معادله دیفرانسیل تصادفی برگشتی; Backward stochastic differential equation; Lp solution; Weak monotonicity condition; Comparison theorem; Stability theorem;
Stochastic quadratic BSDE with two RCLL obstacles
Keywords: معادله دیفرانسیل تصادفی برگشتی; 60H10; 60H20; Backward stochastic differential equation; Stochastic quadratic growth; Comparison theorem; Exponential transformation;
Reflected mean-field backward stochastic differential equations. Approximation and associated nonlinear PDEs
Keywords: معادله دیفرانسیل تصادفی برگشتی; Backward stochastic differential equation; Mean-field approach; Mean-field BSDE; Reflected BSDE; Penalization method; Viscosity solution
Stochastic differential utility as the continuous-time limit of recursive utility
Keywords: معادله دیفرانسیل تصادفی برگشتی; D81; D91Stochastic differential utility; Recursive utility; Convergence; Backward stochastic differential equation
BSDEs with terminal conditions that have bounded Malliavin derivative
Keywords: معادله دیفرانسیل تصادفی برگشتی; Backward stochastic differential equation; Malliavin derivative; Forward–backward stochastic differential equation; Semilinear parabolic PDE; Dirichlet boundary condition; Neumann boundary condition; Viscosity solution
A general maximum principle for optimal control of forward–backward stochastic systems
Keywords: معادله دیفرانسیل تصادفی برگشتی; Stochastic optimal control; Maximum principle; Backward stochastic differential equation; Forward–backward stochastic control system; Linear-quadratic optimal control
BSDE driven by Poisson point processes with discontinuous coefficient
Keywords: معادله دیفرانسیل تصادفی برگشتی; Backward stochastic differential equation; Adapted solution; Comparison theorem
Harnack inequality for mean-field stochastic differential equations
Keywords: معادله دیفرانسیل تصادفی برگشتی; Mean-field models; Harnack inequality; Stochastic differential equations; Backward stochastic differential equation; Coupling
BSDEs with polynomial growth generators in a defaultable market
Keywords: معادله دیفرانسیل تصادفی برگشتی; Backward stochastic differential equation; Defaultable market; Polynomial growth generator; Default time; Default process;
A representation theorem for generators of BSDEs with finite or infinite time intervals and linear-growth generators
Keywords: معادله دیفرانسیل تصادفی برگشتی; 60H10; Backward stochastic differential equation; Finite or infinite time intervals; Representation theorem; Converse comparison theorem;
The maximum principle for a jump-diffusion mean-field model and its application to the mean–variance problem
Keywords: معادله دیفرانسیل تصادفی برگشتی; Mean-field model; Stochastic maximum principle; Jump-diffusion; Backward stochastic differential equation; Mean–variance portfolio selection
Dirichlet forms and semilinear elliptic equations with measure data
Keywords: معادله دیفرانسیل تصادفی برگشتی; Semilinear elliptic equation; Measure data; Dirichlet form; Backward stochastic differential equation
A partial information non-zero sum differential game of backward stochastic differential equations with applications
Keywords: معادله دیفرانسیل تصادفی برگشتی; Backward stochastic differential equation; Maximum principle; Open-loop Nash equilibrium point; Non-zero sum stochastic differential game; Filtering; Portfolio choice
On backward stochastic differential equations and strict local martingales
Keywords: معادله دیفرانسیل تصادفی برگشتی; Backward stochastic differential equation; Strict local martingale; Viscosity solution; Comparison theorem
Stochastic maximum principle for SPDEs with noise and control on the boundary
Keywords: معادله دیفرانسیل تصادفی برگشتی; Stochastic control; Maximum principle; Stochastic evolution equation; Backward stochastic differential equation
Near-optimal control for stochastic recursive problems
Keywords: معادله دیفرانسیل تصادفی برگشتی; Backward stochastic differential equation; Ekeland’s principle; Near-optimal; Necessary condition; Sufficient condition
A BSDE approach to a risk-based optimal investment of an insurer
Keywords: معادله دیفرانسیل تصادفی برگشتی; Backward stochastic differential equation; Optimal investment; Insurance company; Convex risk measure; Diffusion approximation; Zero-sum stochastic differential game; Existence and uniqueness of optimal strategies
Ergodic BSDEs under weak dissipative assumptions
Keywords: معادله دیفرانسیل تصادفی برگشتی; Backward stochastic differential equation; Bismut–Elworthy formula; Coupling estimate; Ergodic control; Hamilton–Jacobi–Bellman equation; Recurrence property; Weak dissipative assumption
An optimal investment strategy for a stream of liabilities generated by a step process in a financial market driven by a Lévy process
Keywords: معادله دیفرانسیل تصادفی برگشتی; C61; 49N10; 60G51; 60G57; 60H10; Backward stochastic differential equation; Weak property of predictable representation; Quadratic optimization; Equity-linked payment process; Unsystematic and systematic insurance risk;
Backward stochastic differential equations with a uniformly continuous generator and related gg-expectation
Keywords: معادله دیفرانسیل تصادفی برگشتی; Backward stochastic differential equation; g-expectation; Strict monotonicity; Uniform continuity; Uniqueness
On Malliavin’s differentiability of BSDEs with time delayed generators driven by Brownian motions and Poisson random measures
Keywords: معادله دیفرانسیل تصادفی برگشتی; Backward stochastic differential equation; Time delayed generator; Poisson random measure; Malliavin’s calculus; Canonical Lévy space; Picard difference operator
A PDE approach to regularity of solutions to finite horizon optimal switching problems
Keywords: معادله دیفرانسیل تصادفی برگشتی; 60G40; 93E20; 62P20; 91B99Real options; Security design; Backward stochastic differential equation; Default risk; Snell envelope; Stopping time; Stopping and starting; Optimal switching; Viscosity solution of PDEs; Variational inequalities
A class of backward stochastic differential equations with discontinuous coefficients
Keywords: معادله دیفرانسیل تصادفی برگشتی; 60H10; Backward stochastic differential equation; Adapted solution; Comparison theorem;
Cooperative hedging with a higher interest rate for borrowing
Keywords: معادله دیفرانسیل تصادفی برگشتی; primary; 91B28; 91A12; secondary; 60H30; Hedging; Neyman Pearson lemma; Stochastic volatility; Backward stochastic differential equation;
Homeomorphism of solutions to backward SDEs and applications
Keywords: معادله دیفرانسیل تصادفی برگشتی; 60H10; 60H30; 35K15; 35K55Homeomorphism; Backward stochastic differential equation; Comparison theorem
Converse comparison theorems for backward stochastic differential equations
Keywords: معادله دیفرانسیل تصادفی برگشتی; 60H10; Backward stochastic differential equation; Generator; Comparison theorem; Converse comparison theorem;