We consider the problem of superhedging under volatility uncertainty for an investor allowed
to dynamically trade the underlying asset, and statically trade European call options for all …

Backward Stochastic Differential Equations | SpringerLink Skip to main content Advertisement
SpringerLink Account Menu Find a journal Publish with us Track your research Search Cart …

We consider a general formulation of the principal–agent problem with a lump-sum payment
on a finite horizon, providing a systematic method for solving such problems. Our approach …

We consider a contracting problem in which a principal hires an agent to manage a risky
project. When the agent chooses volatility components of the output process and the …

This paper studies a robust continuous‐time Markowitz portfolio selection problem where
the model uncertainty affects the covariance matrix of multiple risky assets. This problem is …

We study a continuous‐time financial market with continuous price processes under model
uncertainty, modeled via a family of possible physical measures. A robust notion of no …

We develop a theory for continuous-time non-Markovian stochastic control problems which
are inherently time-inconsistent. Their distinguishing feature is that the classical Bellman …

Electron. J. Probab. 18 (2013), no. 48, DOI: 10.1214/EJP.v18-2358 Page 1 E lectro n i c J o u r
nal o f P r o b ability Electron. J. Probab. 18 (2013), no. 48, 1–14. ISSN: 1083-6489 DOI …

Model-free Hedging: A Martingale Optimal Transport Viewpoint focuses on the computation
of model-independent bounds for exotic options consistent with market prices of liquid …

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 …