44th seminar on probability. Including papers from the `Journées de Probabilités', Dijon, France, June 2010

DOI10.1007/978-3-642-27461-9zbMath1244.60005arXiv1101.2582OpenAlexW185155797MaRDI QIDQ660368

Nicholas Westray, Markus Mocha

Publication date: 1 February 2012

Published in: Lecture Notes in Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1101.2582

zbMATH Keywords

convex generatorsexponential momentsquadratic semimartingale BSDEs

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Proceedings of conferences of miscellaneous specific interest (00B25) Proceedings, conferences, collections, etc. pertaining to probability theory (60-06) Brownian motion (60J65) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Free probability and free operator algebras (46L54) Martingales with continuous parameter (60G44) Diffusion processes (60J60)

Related Items (9)

BSDEs Driven by Multidimensional Martingales and Their Applications to Markets with Funding Costs ⋮ Monotone stability of quadratic semimartingales with applications to unbounded general quadratic BSDEs ⋮ BSDEs in utility maximization with BMO market price of risk ⋮ Pseudo linear pricing rule for utility indifference valuation ⋮ Existence and uniqueness results for BSDE with jumps: the whole nine yards ⋮ Backward stochastic differential equations with unbounded generators ⋮ New proofs of some results on bounded mean oscillation martingales using backward stochastic differential equations ⋮ Decoupling on the Wiener Space, Related Besov Spaces, and Applications to BSDEs ⋮ Stability results for martingale representations: The general case

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Monotone stability of quadratic semimartingales with applications to unbounded general quadratic BSDEs
• BSDEs in utility maximization with BMO market price of risk
• On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions
• Adapted solution of a backward stochastic differential equation
• Backward SDEs with superquadratic growth
• On exponential hedging and related quadratic backward stochastic differential equations
• Quadratic BSDEs with convex generators and unbounded terminal conditions
• Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging
• Continuous exponential martingales and BMO
• Backward stochastic differential equations with continuous coefficient
• Conjugate convex functions in optimal stochastic control
• Robust control and recursive utility
• Backward stochastic differential equations and partial differential equations with quadratic growth.
• On securitization, market completion and equilibrium risk transfer
• Optimal consumption and portfolio selection with stochastic differential utility
• Backward stochastic partial differential equations related to utility maximization and hedging
• Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem
• The Bellman equation for power utility maximization with semimartingales
• BSDE with quadratic growth and unbounded terminal value
• Solvability of backward stochastic differential equations with quadratic growth
• Utility maximization in incomplete markets
• Dynamic exponential utility indifference valuation
• Pricing Via Utility Maximization and Entropy
• The Stability of the Constrained Utility Maximization Problem: A BSDE Approach
• Uniqueness Results for Second-Order Bellman--Isaacs Equations under Quadratic Growth Assumptions and Applications
• Backward Stochastic Differential Equations in Finance
• Some New BSDE Results for an Infinite-Horizon Stochastic Control Problem
• Convergence results for the indifference value based on the stability of BSDEs

This page was built for publication: 44th seminar on probability. Including papers from the `Journées de Probabilités', Dijon, France, June 2010