BSDEs with Time-Delayed Generators of a Moving Average Type with Applications to Non-Monotone Preferences

DOI10.1080/15326349.2012.672281zbMath1254.60057arXiv1008.3722OpenAlexW2102131003MaRDI QIDQ2904313

Łukasz Delong

Publication date: 13 August 2012

Published in: Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1008.3722

zbMATH Keywords

habit formationrecursive preferencesbackward stochastic equationdisappointment effectvolatility aversion

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Stochastic integrals (60H05)

Related Items (5)

Forward–backward stochastic differential equations with delay generators ⋮ Time-delayed generalized BSDEs ⋮ Reflected and doubly reflected backward stochastic differential equations with time-delayed generators ⋮ A stochastic approach to path-dependent nonlinear Kolmogorov equations via BSDEs with time-delayed generators and applications to finance ⋮ Stochastic maximum principle for controlled backward delayed system via advanced stochastic differential equation

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