A maximum principle approach to risk indifference pricing with partial information.
An, Ta Thi Kieu, Øksendal, Bernt, Proske, Frank (2008)
Journal of Applied Mathematics and Stochastic Analysis
Similarity:
An, Ta Thi Kieu, Øksendal, Bernt, Proske, Frank (2008)
Journal of Applied Mathematics and Stochastic Analysis
Similarity:
Chang, Mou-Hsiung (2007)
Journal of Applied Mathematics and Stochastic Analysis
Similarity:
Baten, Azizul, Kamil, Anton Abdulbasah (2009)
Journal of Probability and Statistics
Similarity:
Aman, Auguste, N'Zi, Modeste (2003)
Journal of Applied Mathematics and Stochastic Analysis
Similarity:
Mokhtar Hafayed, Petr Veverka, Syed Abbas (2014)
Applications of Mathematics
Similarity:
We establish necessary and sufficient conditions of near-optimality for nonlinear systems governed by forward-backward stochastic differential equations with controlled jump processes (FBSDEJs in short). The set of controls under consideration is necessarily convex. The proof of our result is based on Ekeland's variational principle and continuity in some sense of the state and adjoint processes with respect to the control variable. We prove that under an additional hypothesis, the near-maximum...
Edward Nelson (1985)
Séminaire de probabilités de Strasbourg
Similarity:
Wang, Lianwen (2007)
Boundary Value Problems [electronic only]
Similarity:
Picard, Jean (2006)
Electronic Journal of Probability [electronic only]
Similarity:
Siu, Tak Kuen, Lau, John W., Yang, Hailiang (2008)
Journal of Applied Mathematics and Stochastic Analysis
Similarity:
Baten, Md.Azizul (2006)
Journal of Applied Mathematics and Stochastic Analysis
Similarity: