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BSDEs with jumps, optimization and applications to dynamic risk measures

Citations

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Cited by:

  1. Gechun Liang & Wei Wei & Zhen Wu & Zhenda Xu, 2024. "Recursive Optimal Stopping with Poisson Stopping Constraints," Papers 2407.17975, arXiv.org, revised May 2025.
  2. Dirk Becherer & Martin Buttner & Klebert Kentia, 2016. "On the monotone stability approach to BSDEs with jumps: Extensions, concrete criteria and examples," Papers 1607.06644, arXiv.org, revised Nov 2019.
  3. Monia Karouf, 2019. "Reflected and Doubly Reflected Backward Stochastic Differential Equations with Time-Delayed Generators," Journal of Theoretical Probability, Springer, vol. 32(1), pages 216-248, March.
  4. Miryana Grigorova & Marie-Claire Quenez & Peng Yuan, 2025. "Non-linear Non-zero-Sum Dynkin Games with Bermudan Strategies," Journal of Optimization Theory and Applications, Springer, vol. 206(1), pages 1-20, July.
  5. Maxim Bichuch & Agostino Capponi & Stephan Sturm, 2015. "Arbitrage-Free Pricing of XVA -- Part I: Framework and Explicit Examples," Papers 1501.05893, arXiv.org, revised Aug 2016.
  6. Bernt {O}ksendal & Agn`es Sulem, 2015. "Optimal control of predictive mean-field equations and applications to finance," Papers 1505.04921, arXiv.org.
  7. Perninge, Magnus, 2024. "Optimal stopping of BSDEs with constrained jumps and related zero-sum games," Stochastic Processes and their Applications, Elsevier, vol. 173(C).
  8. Roxana Dumitrescu & Marie-Claire Quenez & Agn`es Sulem, 2016. "BSDEs with default jump," Papers 1612.05681, arXiv.org, revised Sep 2017.
  9. Ma, Hanmin & Tian, Dejian, 2021. "Generalized entropic risk measures and related BSDEs," Statistics & Probability Letters, Elsevier, vol. 174(C).
  10. Klimsiak, Tomasz & Rzymowski, Maurycy, 2023. "Nonlinear BSDEs on a general filtration with drivers depending on the martingale part of the solution," Stochastic Processes and their Applications, Elsevier, vol. 161(C), pages 424-450.
  11. Quenez, Marie-Claire & Sulem, Agnès, 2014. "Reflected BSDEs and robust optimal stopping for dynamic risk measures with jumps," Stochastic Processes and their Applications, Elsevier, vol. 124(9), pages 3031-3054.
  12. Xiaomin Shi & Zuo Quan Xu, 2024. "Constrained mean-variance investment-reinsurance under the Cram\'er-Lundberg model with random coefficients," Papers 2406.10465, arXiv.org.
  13. T Kruse & A Popier, 2015. "Minimal supersolutions for BSDEs with singular terminal condition and application to optimal position targeting," Papers 1504.01150, arXiv.org, revised Dec 2015.
  14. Roxana Dumitrescu & Marie-Claire Quenez & Agn`es Sulem, 2015. "Game options in an imperfect market with default," Papers 1511.09041, arXiv.org, revised Jul 2017.
  15. Elmansouri, Badr & Marzougue, Mohamed, 2025. "Lp-solutions of backward stochastic differential equations with default time," Statistics & Probability Letters, Elsevier, vol. 223(C).
  16. Junbeom Lee & Chao Zhou, 2017. "Binary Funding Impacts in Derivative Valuation," Papers 1703.00259, arXiv.org, revised Aug 2020.
  17. Safa Alsheyab & Tahir Choulli, 2021. "Reflected backward stochastic differential equations under stopping with an arbitrary random time," Papers 2107.11896, arXiv.org.
  18. Anna Aksamit & Libo Li & Marek Rutkowski, 2021. "Generalized BSDEs with random time horizon in a progressively enlarged filtration," Papers 2105.06654, arXiv.org.
  19. Elisa Mastrogiacomo & Emanuela Rosazza Gianin, 2024. "Dynamic capital allocation rules via BSDEs: an axiomatic approach," Annals of Operations Research, Springer, vol. 336(1), pages 749-772, May.
  20. Alessandro Calvia & Emanuela Rosazza Gianin, 2019. "Risk measures and progressive enlargement of filtration: a BSDE approach," Papers 1904.13257, arXiv.org, revised Mar 2020.
  21. Miryana Grigorova & Peter Imkeller & Elias Offen & Youssef Ouknine & Marie-Claire Quenez, 2015. "Reflected BSDEs when the obstacle is not right-continuous and optimal stopping," Working Papers hal-01141801, HAL.
  22. Andrzej Ruszczynski & Jianing Yao, 2017. "A Dual Method For Backward Stochastic Differential Equations with Application to Risk Valuation," Papers 1701.06234, arXiv.org, revised Aug 2020.
  23. Kruse, T. & Popier, A., 2016. "Minimal supersolutions for BSDEs with singular terminal condition and application to optimal position targeting," Stochastic Processes and their Applications, Elsevier, vol. 126(9), pages 2554-2592.
  24. Lesedi Mabitsela & Calisto Guambe & Rodwell Kufakunesu, 2018. "A note on representation of BSDE-based dynamic risk measures and dynamic capital allocations," Papers 1808.04611, arXiv.org.
  25. Miryana Grigorova & Marie-Claire Quenez, 2017. "Optimal stopping and a non-zero-sum Dynkin game in discrete time with risk measures induced by BSDEs," Papers 1705.03724, arXiv.org.
  26. Miryana Grigorova & Marie-Claire Quenez & Yuan Peng, 2023. "Non-linear non-zero-sum Dynkin games with Bermudan strategies," Papers 2311.01086, arXiv.org.
  27. Miryana Grigorova & Marie-Claire Quenez, 2017. "Optimal stopping and a non-zero-sum Dynkin game in discrete time with risk measures induced by BSDEs," Post-Print hal-01519215, HAL.
  28. Miryana Grigorova & Peter Imkeller & Youssef Ouknine & Marie-Claire Quenez, 2016. "Optimal stopping with f -expectations: the irregular case," Papers 1611.09179, arXiv.org, revised Aug 2018.
  29. Cacitti-Holland, Dorian & Denis, Laurent & Popier, Alexandre, 2025. "Growth condition on the generator of BSDE with singular terminal value ensuring continuity up to terminal time," Stochastic Processes and their Applications, Elsevier, vol. 183(C).
  30. Miryana Grigorova & Peter Imkeller & Elias Offen & Youssef Ouknine & Marie-Claire Quenez, 2015. "Reflected BSDEs when the obstacle is not right-continuous and optimal stopping," Papers 1504.06094, arXiv.org, revised May 2017.
  31. Li Yang & Lin Liu, 2025. "The Adapted Solutions for Backward Stochastic Schrödinger Equations with Jumps," Mathematics, MDPI, vol. 13(5), pages 1-18, February.
  32. Tomasz R. Bielecki & Igor Cialenco & Marek Rutkowski, 2017. "Arbitrage-Free Pricing Of Derivatives In Nonlinear Market Models," Papers 1701.08399, arXiv.org, revised Apr 2018.
  33. Grigorova, Miryana & Imkeller, Peter & Quenez, Marie-Claire & Ouknine, Youssef, 2018. "Doubly Reflected BSDEs and $\mathcal{E}$$^ƒ$-Dynkin games: beyond the right-continuous case," Center for Mathematical Economics Working Papers 598, Center for Mathematical Economics, Bielefeld University.
  34. Grigorova, Miryana & Quenez, Marie-Claire & Sulem, Agnès, 2019. "Superhedging prices of European and American options in a non-linear incomplete market with default," Center for Mathematical Economics Working Papers 607, Center for Mathematical Economics, Bielefeld University.
  35. T Kruse & A Popier, 2015. "Minimal supersolutions for BSDEs with singular terminal condition and application to optimal position targeting," Working Papers hal-01139364, HAL.
  36. Grigorova, Miryana & Imkeller, Peter & Ouknine, Youssef & Quenez, Marie-Claire, 2020. "Optimal stopping with f-expectations: The irregular case," Stochastic Processes and their Applications, Elsevier, vol. 130(3), pages 1258-1288.
  37. Miryana Grigorova & Peter Imkeller & Youssef Ouknine & Marie-Claire Quenez, 2018. "Doubly Reflected BSDEs and ${\cal E}^{f}$-Dynkin games: beyond the right-continuous case," Working Papers hal-01497914, HAL.
  38. Masaaki Fujii & Akihiko Takahashi, 2018. "Asymptotic Expansion for Forward-Backward SDEs with JumpsAsymptotic Expansion for Forward-Backward SDEs with Jumps (Forthcoming in Stochastics) (Revised version of F-372)," CARF F-Series CARF-F-445, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  39. Choukroun, Sébastien & Cosso, Andrea & Pham, Huyên, 2015. "Reflected BSDEs with nonpositive jumps, and controller-and-stopper games," Stochastic Processes and their Applications, Elsevier, vol. 125(2), pages 597-633.
  40. Roxana Dumitrescu & Marie-Claire Quenez & Agnès Sulem, 2015. "Optimal Stopping for Dynamic Risk Measures with Jumps and Obstacle Problems," Journal of Optimization Theory and Applications, Springer, vol. 167(1), pages 219-242, October.
  41. Grigorova, Miryana & Imkeller, Peter & Ouknine, Youssef & Quenez, Marie-Claire, 2018. "Optimal Stopping With ƒ-Expectations: the irregular case," Center for Mathematical Economics Working Papers 587, Center for Mathematical Economics, Bielefeld University.
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