BSDEs with weak terminal condition

DOI10.1214/14-AOP913zbMath1321.60123arXiv1210.5364MaRDI QIDQ2338910

Bruno Bouchard, Romuald Elie, Anthony Réveillac

Publication date: 27 March 2015

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1210.5364

zbMATH Keywords

optimal controlbackward stochastic differential equationsquantile hedgingstochastic target problems

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80)

Related Items (14)

A comparison principle for PDEs arising in approximate hedging problems: application to Bermudan options ⋮ A unified approach to a priori estimates for supersolutions of BSDEs in general filtrations ⋮ Hedging Under an Expected Loss Constraint with Small Transaction Costs ⋮ A new Mertens decomposition of \(\mathscr{Y}^{g , \xi} \)-submartingale systems. Application to BSDEs with weak constraints at stopping times ⋮ Multi-dimensional BSDEs with mean reflection ⋮ General mean reflected backward stochastic differential equations ⋮ Mean-field reflected backward stochastic differential equations ⋮ BSDEs with mean reflection ⋮ Quadratic BSDEs with mean reflection ⋮ A Backward Dual Representation for the Quantile Hedging of Bermudan Options ⋮ Dual Representation of the Cost of Designing a Portfolio Satisfying Multiple Risk Constraints ⋮ Unnamed Item ⋮ A Numerical Scheme for the Quantile Hedging Problem ⋮ Quadratic mean-field reflected BSDEs

Cites Work

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• Wellposedness of second order backward SDEs
• Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob-Meyer's type
• Efficient hedging: cost versus shortfall risk
• Quantile hedging
• A general downcrossing inequality for \(g\)-martingales
• Risk measures via \(g\)-expectations
• Stochastic Target Problems with Controlled Loss
• Stochastic Target Problems with Controlled Loss in Jump Diffusion Models
• Backward Stochastic Differential Equations in Finance
• Stochastic Target Problems, Dynamic Programming, and Viscosity Solutions

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