Pages that link to "Item:Q988683"
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The following pages link to Stochastic control under progressive enlargement of filtrations and applications to multiple defaults risk management (Q988683):
Displaying 27 items.
- Drift operator in a viable expansion of information flow (Q288832) (← links)
- Progressive enlargement of filtrations and backward stochastic differential equations with jumps (Q471510) (← links)
- Dynamic credit investment in partially observed markets (Q889624) (← links)
- Dynamic investment and counterparty risk (Q1705168) (← links)
- The dynamic spread of the forward CDS with general random loss (Q1724436) (← links)
- Explicit pricing formulas for European option with asset exposed to double defaults risk (Q1727278) (← links)
- Optimal investment under multiple defaults risk: a BSDE-decomposition approach (Q1948694) (← links)
- A maximum principle for a stochastic control problem with multiple random terminal times (Q2128538) (← links)
- Option pricing for path-dependent options with assets exposed to multiple defaults risk (Q2183237) (← links)
- Viscosity characterization of the value function of an investment-consumption problem in presence of an illiquid asset (Q2251580) (← links)
- Stochastic maximum principle for optimal liquidation with control-dependent terminal time (Q2674442) (← links)
- A stochastic maximum principle for backward control systems with random default time (Q2871780) (← links)
- INFORMATION AND OPTIMAL INVESTMENT IN DEFAULTABLE ASSETS (Q2939921) (← links)
- Portfolio Choice with Market--Credit-Risk Dependencies (Q4582831) (← links)
- Some existence results for advanced backward stochastic differential equations with a jump time (Q4606386) (← links)
- A polynomial scheme of asymptotic expansion for backward SDEs and option pricing (Q5001141) (← links)
- A stochastic maximum principle for backward control systems with random default time (Q5022829) (← links)
- Risk-sensitive stopping problems for continuous-time Markov chains (Q5085843) (← links)
- Asymptotic expansion for forward-backward SDEs with jumps (Q5086422) (← links)
- Risk Measures and Progressive Enlargement of Filtration: A BSDE Approach (Q5131410) (← links)
- Stochastic linear-quadratic control with a jump and regime switching on a random horizon (Q6074828) (← links)
- Risk-sharing and optimal contracts with large exogenous risks (Q6098176) (← links)
- Non-concave expected utility optimization with uncertain time horizon (Q6133682) (← links)
- A linear-quadratic mean-field stochastic Stackelberg differential game with random exit time (Q6163386) (← links)
- A robust investment-consumption optimization problem in a switching regime interest rate setting (Q6173963) (← links)
- Impact of time illiquidity in a mixed market without full observation (Q6497101) (← links)
- Affine models with path-dependence under parameter uncertainty and their application in finance (Q6633872) (← links)
