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Recent advances in backward stochastic Riccati equations and their applications
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Global adapted solution of one-dimensional backward stochastic Riccati equations, with application to the mean-variance hedging
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Multi-dimensional backward stochastic Riccati equations, and applications
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A note on mean-variance hedging of non-attainable claims
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BSDES with stochastic Lipschitz condition
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Neyman-Pearson hedging and dynamic measures of risk
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Optimal control of linear stochastic systems with singular costs, and the mean-variance hedging problem with stochastic market conditions
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Recent advances in backward stochastic Riccati equations and their applications
-
Global adapted solution of one-dimensional backward stochastic Riccati equations, with application to the mean-variance hedging
-
Multi-dimensional backward stochastic Riccati equations, and applications
-
Global adapted solution of one-dimensional backward stochastic Riccati equations, with application to the mean-variance hedging
-
Neyman-Pearson hedging and dynamic measures of risk
-
BSDES with stochastic Lipschitz condition
-
Multi-dimensional backward stochastic Riccati equations, and applications
-
Optimal control of linear stochastic systems with singular costs, and the mean-variance hedging problem with stochastic market conditions
-
Recent advances in backward stochastic Riccati equations and their applications
-
A note on mean-variance hedging of non-attainable claims