[图书][B] Backward stochastic differential equations
J Zhang, J Zhang - 2017 - Springer
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On viscosity solutions of path dependent PDEs
In this paper we propose a notion of viscosity solutions for path dependent semi-linear
parabolic PDEs. This can also be viewed as viscosity solutions of non-Markovian backward …
parabolic PDEs. This can also be viewed as viscosity solutions of non-Markovian backward …
Stochastic control for a class of nonlinear kernels and applications
We consider a stochastic control problem for a class of nonlinear kernels. More precisely,
our problem of interest consists in the optimization, over a set of possibly nondominated …
our problem of interest consists in the optimization, over a set of possibly nondominated …
Stochastic perron's method for Hamilton--Jacobi--Bellman equations
E Bayraktar, M Sirbu - SIAM Journal on Control and Optimization, 2013 - SIAM
We show that the value function of a stochastic control problem is the unique solution of the
associated Hamilton--Jacobi--Bellman equation, completely avoiding the proof of the so …
associated Hamilton--Jacobi--Bellman equation, completely avoiding the proof of the so …
On Gerber–Shiu functions and optimal dividend distribution for a Lévy risk process in the presence of a penalty function
F Avram, Z Palmowski, MR Pistorius - 2015 - projecteuclid.org
This paper concerns an optimal dividend distribution problem for an insurance company
whose risk process evolves as a spectrally negative Lévy process (in the absence of …
whose risk process evolves as a spectrally negative Lévy process (in the absence of …
The optimal equilibrium for time-inconsistent stopping problems---the discrete-time case
We study an infinite-horizon discrete-time optimal stopping problem under nonexponential
discounting. A new method, which we call the iterative approach, is developed to find …
discounting. A new method, which we call the iterative approach, is developed to find …
Optimal equilibria for time‐inconsistent stopping problems in continuous time
For an infinite‐horizon continuous‐time optimal stopping problem under nonexponential
discounting, we look for an optimal equilibrium, which generates larger values than any …
discounting, we look for an optimal equilibrium, which generates larger values than any …
Zero-sum path-dependent stochastic differential games in weak formulation
We consider zero-sum stochastic differential games with possibly path-dependent volatility
controls. Unlike the previous literature, we allow for weak solutions of the state equation so …
controls. Unlike the previous literature, we allow for weak solutions of the state equation so …
Optimal reinsurance under the mean–variance premium principle to minimize the probability of ruin
X Liang, Z Liang, VR Young - Insurance: Mathematics and Economics, 2020 - Elsevier
We consider the problem of minimizing the probability of ruin by purchasing reinsurance
whose premium is computed according to the mean–variance premium principle, a …
whose premium is computed according to the mean–variance premium principle, a …
Path-dependent equations and viscosity solutions in infinite dimension
Path-dependent partial differential equations (PPDEs) are natural objects to study when one
deals with non-Markovian models. Recently, after the introduction of the so-called pathwise …
deals with non-Markovian models. Recently, after the introduction of the so-called pathwise …