Keywords: 60G40; 60H10; BSDE; g-expectation; Optimal stopping; Free boundary problem; Ambiguity;
مقالات ISI (ترجمه نشده)
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Keywords: Asset-liability management; Correlation risk; Wishart process; BSDE; Mean-variance criteria;
Mean-variance asset-liability management under constant elasticity of variance process
Keywords: Mean-variance; Asset-liability management; Constant elasticity of variance; Multiple assets; BSDE;
A note on optimal investment-consumption-insurance in a Lévy market
Keywords: Investment-consumption-insurance; Jump-diffusion; HJB; BSDE;
BSDEs of counterparty risk
Keywords: 60H10; 60G44; 91G40; BSDE; Progressive enlargement of filtration; Counterparty risk;
A cubature based algorithm to solve decoupled McKean–Vlasov forward–backward stochastic differential equations
Keywords: Cubature; McKean–Vlasov processes; BSDE; Mean field games; Non-local PDE
Anticipated backward stochastic differential equations with jumps under the non-Lipschitz condition
Keywords: BSDE; Non-Lipschitz; Comparison; Anticipated; Jumps;
Multi-player stopping games with redistribution of payoffs and BSDEs with oblique reflection
Keywords: Multi-player game; Redistribution game; Stopping game; BSDE; Oblique reflection
Representing filtration consistent nonlinear expectations as g-expectations in general probability spaces
Keywords: 60G48; 60H20; 91B06; BSDE; Nonlinear expectation; Doob-Meyer decomposition;
Martingale representation theorem for the GG-expectation
Keywords: 60H10; 60H30GG-expectation; GG-martingale; Nonlinear expectation; Stochastic target problem; Singular measure; BSDE; 2BSDE; Duality
Multi-dimensional G-Brownian motion and related stochastic calculus under G-expectation
Keywords: 60H10; 60H05; 60H30gg-expectation; GG-expectation; GG-normal distribution; BSDE; SDE; Nonlinear probability theory; Nonlinear expectation; Brownian motion; Itô’s stochastic calculus; Itô’s integral; Itô’s formula; Gaussian process; Quadratic variation pro
Backward stochastic differential equations with enlarged filtration: Option hedging of an insider trader in a financial market with jumps
Keywords: Enlargement of filtration; BSDE; Option hedging; Insider trading; Asymmetric information; Martingale representation;
Lifetime consumption-portfolio choice under trading constraints, recursive preferences, and nontradeable income
Keywords: Finance; Optimal portfolios; Recursive utility; BSDE; FBSDE;