[BOOK][B] Backward stochastic differential equations
J Zhang, J Zhang - 2017 - Springer
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Arbitrage and duality in nondominated discrete-time models
B Bouchard, M Nutz - 2015 - projecteuclid.org
We consider a nondominated model of a discrete-time financial market where stocks are
traded dynamically, and options are available for static hedging. In a general measure …
traded dynamically, and options are available for static hedging. In a general measure …
McKean–Vlasov optimal control: the dynamic programming principle
We study the McKean–Vlasov optimal control problem with common noise which allow the
law of the control process to appear in the state dynamics under various formulations: strong …
law of the control process to appear in the state dynamics under various formulations: strong …
[HTML][HTML] Constructing sublinear expectations on path space
M Nutz, R Van Handel - Stochastic processes and their applications, 2013 - Elsevier
We provide a general construction of time-consistent sublinear expectations on the space of
continuous paths. It yields the existence of the conditional G-expectation of a Borel …
continuous paths. It yields the existence of the conditional G-expectation of a Borel …
Moral hazard in dynamic risk management
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 …
project. When the agent chooses volatility components of the output process and the …
Robust fundamental theorem for continuous processes
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 …
uncertainty, modeled via a family of possible physical measures. A robust notion of no …
Superreplication under volatility uncertainty for measurable claims
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 …
nal o f P r o b ability Electron. J. Probab. 18 (2013), no. 48, 1–14. ISSN: 1083-6489 DOI …
Pathwise construction of stochastic integrals
M Nutz - 2012 - projecteuclid.org
We propose a method to construct the stochastic integral simultaneously under a non-
dominated family of probability measures. Path-by-path, and without referring to a probability …
dominated family of probability measures. Path-by-path, and without referring to a probability …
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 …
Measuring distribution model risk
T Breuer, I Csiszár - Mathematical Finance, 2016 - Wiley Online Library
We propose to interpret distribution model risk as sensitivity of expected loss to changes in
the risk factor distribution, and to measure the distribution model risk of a portfolio by the …
the risk factor distribution, and to measure the distribution model risk of a portfolio by the …