Found 58 Documents (Results 1–58)
A new Mertens decomposition of \(\mathscr{Y}^{g , \xi} \)-submartingale systems. Application to BSDEs with weak constraints at stopping times. (English) Zbl 1521.93203
Convex duality for partial hedging of American options: continuous price processes. (English) Zbl 1520.91407
The infinite-horizon investment-consumption problem for Epstein-Zin stochastic differential utility. II: Existence, uniqueness and verification for \(\vartheta \in (0,1)\). (English) Zbl 1502.91055
Characterisation of honest times and optional semimartingales of class-\((\Sigma)\). (English) Zbl 1515.60120
Fine properties of the optimal Skorokhod embedding problem. (English) Zbl 1504.60062
Reviewer: Pavel Gapeev (London)
Utility maximization problem with transaction costs: optimal dual processes and stability. (English) Zbl 1471.91540
Reflected BSDEs with two optional barriers and monotone coefficient on general filtered space. (English) Zbl 1480.60160
Strong Snell envelopes and RBSDEs with regulated trajectories when the barrier is a semimartingale. (English) Zbl 1490.60073
Existence and uniqueness of stochastic equations of optional semimartingales under monotonicity condition. (English) Zbl 1490.60194
Characteristics and constructions of default times. (English) Zbl 1448.91312
Reviewer: George Stoica (Saint John)
A unified approach to a priori estimates for supersolutions of BSDEs in general filtrations. (English. French summary) Zbl 1434.60134
On linear stochastic equations of optional semimartingales and their applications. (English) Zbl 1377.60067
Strong supermartingales and limits of nonnegative martingales. (English) Zbl 1339.60045
Reviewer: Guy Jumarie (Montréal)
Three essays on exponential hedging with variable exit times. (English) Zbl 1418.91460
Kabanov, Yuri (ed.) et al., Inspired by finance. The Musiela Festschrift. Cham: Springer. 117-158 (2014).
MSC:
91G10
Consumption-investment problem with subsistence consumption, bankruptcy, and random market coefficients. (English) Zbl 0903.90019
Monotone stopping rules for stochastic processes in a semi-martingale representation with applications. (English) Zbl 0691.60038
Reviewer: P.H.Müller
Sur la théorie fine du potentiel. (French) Zbl 0562.31012
Reviewer: I.Laine
Temps d’arrêt optimal des processus non bornés. (French) Zbl 0533.60052
Reviewer: M.Dozzi
MSC:
60G40
Arret optimal sur le plan. (French) Zbl 0488.60057
Optimal stopping of continuous time stochastic processes and stochastic differential representations for the value functions. (English) Zbl 0431.60044
Several stability properties of the class of asymptotic martingales. (English) Zbl 0404.60053
MSC:
60G48
Temps d’arret optimal, théorie générale des processus et processus de Markov. (French) Zbl 0342.60036
Stochastic process measurability conditions. (English) Zbl 0287.60032
MSC:
60G05
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