Risk-sensitive credit portfolio optimization under partial information and contagion risk (Q2083252)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Risk-sensitive credit portfolio optimization under partial information and contagion risk |
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Risk-sensitive credit portfolio optimization under partial information and contagion risk (English)
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10 October 2022
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BSDE with jumps
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default contagion
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martingale representation theorem
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partial observations
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risk-sensitive control
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uniqueness of the solution
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